Exclude cash in base currency from portfolio performance calculation

apps/api/src/app/portfolio/calculator/portfolio-calculator.ts

@@ -327,6 +327,7 @@ export abstract class PortfolioCalculator {
         totalInvestmentValueWithCurrencyEffect: Big;
         totalNetPerformanceValue: Big;
         totalNetPerformanceValueWithCurrencyEffect: Big;
+        totalNetWorthValueWithCurrencyEffect: Big;
         totalTimeWeightedInvestmentValue: Big;
         totalTimeWeightedInvestmentValueWithCurrencyEffect: Big;
       };
@@ -341,6 +342,7 @@ export abstract class PortfolioCalculator {
         investmentValuesWithCurrencyEffect: { [date: string]: Big };
         netPerformanceValues: { [date: string]: Big };
         netPerformanceValuesWithCurrencyEffect: { [date: string]: Big };
+        netWorthValuesWithCurrencyEffect: { [date: string]: Big };
         timeWeightedInvestmentValues: { [date: string]: Big };
         timeWeightedInvestmentValuesWithCurrencyEffect: { [date: string]: Big };
       };
@@ -359,7 +361,8 @@ export abstract class PortfolioCalculator {
 
       const isCashInBaseCurrency =
         item.assetSubClass === AssetSubClass.CASH &&
-        item.currency === this.currency;
+        item.currency === this.currency &&
+        item.symbol === this.currency;
 
       const {
         currentValues,
@@ -402,16 +405,19 @@ export abstract class PortfolioCalculator {
       hasAnySymbolMetricsErrors = hasAnySymbolMetricsErrors || hasErrors;
 
       // Cash in the base currency cannot generate a currency effect and thus
-      // contributes nothing but its balance to the performance calculation
+      // contributes nothing but its balance to the performance calculation. It
+      // is therefore excluded from the value and the investment, while still
+      // contributing to the net worth.
       valuesBySymbol[item.symbol] = isCashInBaseCurrency
         ? {
-            currentValues,
-            currentValuesWithCurrencyEffect,
+            currentValues: {},
+            currentValuesWithCurrencyEffect: {},
             investmentValuesAccumulated: {},
             investmentValuesAccumulatedWithCurrencyEffect: {},
             investmentValuesWithCurrencyEffect: {},
             netPerformanceValues: {},
             netPerformanceValuesWithCurrencyEffect: {},
+            netWorthValuesWithCurrencyEffect: currentValuesWithCurrencyEffect,
             timeWeightedInvestmentValues: {},
             timeWeightedInvestmentValuesWithCurrencyEffect: {}
           }
@@ -424,7 +430,8 @@ export abstract class PortfolioCalculator {
             netPerformanceValues,
             netPerformanceValuesWithCurrencyEffect,
             timeWeightedInvestmentValues,
-            timeWeightedInvestmentValuesWithCurrencyEffect
+            timeWeightedInvestmentValuesWithCurrencyEffect,
+            netWorthValuesWithCurrencyEffect: currentValuesWithCurrencyEffect
           };
 
       positions.push({
@@ -528,6 +535,10 @@ export abstract class PortfolioCalculator {
           symbolValues.netPerformanceValuesWithCurrencyEffect?.[dateString] ??
           new Big(0);
 
+        const netWorthValueWithCurrencyEffect =
+          symbolValues.netWorthValuesWithCurrencyEffect?.[dateString] ??
+          new Big(0);
+
         const timeWeightedInvestmentValue =
           symbolValues.timeWeightedInvestmentValues?.[dateString] ?? new Big(0);
 
@@ -546,7 +557,7 @@ export abstract class PortfolioCalculator {
               ?.totalCashValueWithCurrencyEffect ?? new Big(0)
           ).add(
             cashSymbols.has(symbol)
-              ? currentValueWithCurrencyEffect
+              ? netWorthValueWithCurrencyEffect
               : new Big(0)
           ),
           totalCurrentValue: (
@@ -572,6 +583,10 @@ export abstract class PortfolioCalculator {
             accumulatedValuesByDate[dateString]
               ?.totalNetPerformanceValueWithCurrencyEffect ?? new Big(0)
           ).add(netPerformanceValueWithCurrencyEffect),
+          totalNetWorthValueWithCurrencyEffect: (
+            accumulatedValuesByDate[dateString]
+              ?.totalNetWorthValueWithCurrencyEffect ?? new Big(0)
+          ).add(netWorthValueWithCurrencyEffect),
           totalTimeWeightedInvestmentValue: (
             accumulatedValuesByDate[dateString]
               ?.totalTimeWeightedInvestmentValue ?? new Big(0)
@@ -596,6 +611,7 @@ export abstract class PortfolioCalculator {
         totalInvestmentValueWithCurrencyEffect,
         totalNetPerformanceValue,
         totalNetPerformanceValueWithCurrencyEffect,
+        totalNetWorthValueWithCurrencyEffect,
         totalTimeWeightedInvestmentValue,
         totalTimeWeightedInvestmentValueWithCurrencyEffect
       } = values;
@@ -622,7 +638,7 @@ export abstract class PortfolioCalculator {
         netPerformance: totalNetPerformanceValue.toNumber(),
         netPerformanceWithCurrencyEffect:
           totalNetPerformanceValueWithCurrencyEffect.toNumber(),
-        netWorth: totalCurrentValueWithCurrencyEffect.toNumber(),
+        netWorth: totalNetWorthValueWithCurrencyEffect.toNumber(),
         totalCashInBaseCurrency: totalCashValueWithCurrencyEffect.toNumber(),
         totalInvestment: totalInvestmentValue.toNumber(),
         totalInvestmentValueWithCurrencyEffect:

apps/api/src/app/portfolio/calculator/roai/portfolio-calculator-cash.spec.ts

@@ -433,6 +433,11 @@ describe('PortfolioCalculator', () => {
         totalLiabilitiesWithCurrencyEffect: new Big(0)
       });
 
+      /**
+       * Value: 0 CHF (the cash is excluded from the performance calculation
+       * and therefore from the value it is measured against)
+       * Net worth: 2000 CHF (the cash still counts towards the net worth)
+       */
       expect(portfolioSnapshot.historicalData.at(-1)).toEqual({
         date: '2025-01-01',
         investmentValueWithCurrencyEffect: 0,
@@ -444,8 +449,8 @@ describe('PortfolioCalculator', () => {
         totalCashInBaseCurrency: 2000,
         totalInvestment: 0,
         totalInvestmentValueWithCurrencyEffect: 0,
-        value: 2000,
-        valueWithCurrencyEffect: 2000
+        value: 0,
+        valueWithCurrencyEffect: 0
       });
     });
   });

apps/api/src/app/portfolio/calculator/roai/portfolio-calculator.ts

@@ -41,12 +41,6 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
     let totalTimeWeightedInvestmentWithCurrencyEffect = new Big(0);
 
     for (const currentPosition of positions) {
-      if (currentPosition.feeInBaseCurrency) {
-        totalFeesWithCurrencyEffect = totalFeesWithCurrencyEffect.plus(
-          currentPosition.feeInBaseCurrency
-        );
-      }
-
       if (currentPosition.valueInBaseCurrency) {
         currentValueInBaseCurrency = currentValueInBaseCurrency.plus(
           currentPosition.valueInBaseCurrency
@@ -59,6 +53,12 @@ export class RoaiPortfolioCalculator extends PortfolioCalculator {
         continue;
       }
 
+      if (currentPosition.feeInBaseCurrency) {
+        totalFeesWithCurrencyEffect = totalFeesWithCurrencyEffect.plus(
+          currentPosition.feeInBaseCurrency
+        );
+      }
+
       if (currentPosition.investment) {
         totalInvestment = totalInvestment.plus(currentPosition.investment);
 

apps/api/src/app/portfolio/portfolio.service.ts

@@ -2040,7 +2040,7 @@ export class PortfolioService {
         .toNumber(),
       interestInBaseCurrency: interest.toNumber(),
       liabilitiesInBaseCurrency: liabilities.toNumber(),
-      totalCashInBaseCurrency: totalCashInBaseCurrency?.toNumber() ?? 0,
+      totalCashInBaseCurrency: balanceInBaseCurrency,
       totalInvestment: totalInvestment.toNumber(),
       totalInvestmentValueWithCurrencyEffect:
         totalInvestmentWithCurrencyEffect.toNumber(),