Feature/set up asset class cluster risk x-ray rule (#4128)

* Set up Asset Class Cluster Risk rule (equity)

* Set up Asset Class Cluster Risk rule (fixed income)

* Update changelog

CHANGELOG.md

@@ -7,6 +7,11 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 
 ## Unreleased
 
+### Added
+
+- Added a new static portfolio analysis rule: _Asset Class Cluster Risk_ (Equity)
+- Added a new static portfolio analysis rule: _Asset Class Cluster Risk_ (Fixed Income)
+
 ### Changed
 
 - Extracted the market data management from the admin control panel endpoint to a dedicated endpoint

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

@@ -7,6 +7,8 @@ import { UserService } from '@ghostfolio/api/app/user/user.service';
 import { getFactor } from '@ghostfolio/api/helper/portfolio.helper';
 import { AccountClusterRiskCurrentInvestment } from '@ghostfolio/api/models/rules/account-cluster-risk/current-investment';
 import { AccountClusterRiskSingleAccount } from '@ghostfolio/api/models/rules/account-cluster-risk/single-account';
+import { AssetClassClusterRiskEquity } from '@ghostfolio/api/models/rules/asset-class-cluster-risk/equity';
+import { AssetClassClusterRiskFixedIncome } from '@ghostfolio/api/models/rules/asset-class-cluster-risk/fixed-income';
 import { CurrencyClusterRiskBaseCurrencyCurrentInvestment } from '@ghostfolio/api/models/rules/currency-cluster-risk/base-currency-current-investment';
 import { CurrencyClusterRiskCurrentInvestment } from '@ghostfolio/api/models/rules/currency-cluster-risk/current-investment';
 import { EconomicMarketClusterRiskDevelopedMarkets } from '@ghostfolio/api/models/rules/economic-market-cluster-risk/developed-markets';
@@ -1198,19 +1200,17 @@ export class PortfolioService {
               userSettings
             )
           : undefined,
-      economicMarketClusterRisk:
+      assetClassClusterRisk:
         summary.ordersCount > 0
           ? await this.rulesService.evaluate(
               [
-                new EconomicMarketClusterRiskDevelopedMarkets(
+                new AssetClassClusterRiskEquity(
                   this.exchangeRateDataService,
-                  marketsTotalInBaseCurrency,
-                  markets.developedMarkets.valueInBaseCurrency
+                  Object.values(holdings)
                 ),
-                new EconomicMarketClusterRiskEmergingMarkets(
+                new AssetClassClusterRiskFixedIncome(
                   this.exchangeRateDataService,
-                  marketsTotalInBaseCurrency,
-                  markets.emergingMarkets.valueInBaseCurrency
+                  Object.values(holdings)
                 )
               ],
               userSettings
@@ -1232,6 +1232,24 @@ export class PortfolioService {
               userSettings
             )
           : undefined,
+      economicMarketClusterRisk:
+        summary.ordersCount > 0
+          ? await this.rulesService.evaluate(
+              [
+                new EconomicMarketClusterRiskDevelopedMarkets(
+                  this.exchangeRateDataService,
+                  marketsTotalInBaseCurrency,
+                  markets.developedMarkets.valueInBaseCurrency
+                ),
+                new EconomicMarketClusterRiskEmergingMarkets(
+                  this.exchangeRateDataService,
+                  marketsTotalInBaseCurrency,
+                  markets.emergingMarkets.valueInBaseCurrency
+                )
+              ],
+              userSettings
+            )
+          : undefined,
       emergencyFund: await this.rulesService.evaluate(
         [
           new EmergencyFundSetup(

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

@@ -5,6 +5,8 @@ import { PortfolioChangedEvent } from '@ghostfolio/api/events/portfolio-changed.
 import { getRandomString } from '@ghostfolio/api/helper/string.helper';
 import { AccountClusterRiskCurrentInvestment } from '@ghostfolio/api/models/rules/account-cluster-risk/current-investment';
 import { AccountClusterRiskSingleAccount } from '@ghostfolio/api/models/rules/account-cluster-risk/single-account';
+import { AssetClassClusterRiskEquity } from '@ghostfolio/api/models/rules/asset-class-cluster-risk/equity';
+import { AssetClassClusterRiskFixedIncome } from '@ghostfolio/api/models/rules/asset-class-cluster-risk/fixed-income';
 import { CurrencyClusterRiskBaseCurrencyCurrentInvestment } from '@ghostfolio/api/models/rules/currency-cluster-risk/base-currency-current-investment';
 import { CurrencyClusterRiskCurrentInvestment } from '@ghostfolio/api/models/rules/currency-cluster-risk/current-investment';
 import { EconomicMarketClusterRiskDevelopedMarkets } from '@ghostfolio/api/models/rules/economic-market-cluster-risk/developed-markets';
@@ -226,15 +228,11 @@ export class UserService {
         undefined,
         {}
       ).getSettings(user.Settings.settings),
-      EconomicMarketClusterRiskDevelopedMarkets:
-        new EconomicMarketClusterRiskDevelopedMarkets(
-          undefined,
+      AssetClassClusterRiskEquity: new AssetClassClusterRiskEquity(
         undefined,
         undefined
       ).getSettings(user.Settings.settings),
-      EconomicMarketClusterRiskEmergingMarkets:
-        new EconomicMarketClusterRiskEmergingMarkets(
-          undefined,
+      AssetClassClusterRiskFixedIncome: new AssetClassClusterRiskFixedIncome(
         undefined,
         undefined
       ).getSettings(user.Settings.settings),
@@ -248,6 +246,18 @@ export class UserService {
           undefined,
           undefined
         ).getSettings(user.Settings.settings),
+      EconomicMarketClusterRiskDevelopedMarkets:
+        new EconomicMarketClusterRiskDevelopedMarkets(
+          undefined,
+          undefined,
+          undefined
+        ).getSettings(user.Settings.settings),
+      EconomicMarketClusterRiskEmergingMarkets:
+        new EconomicMarketClusterRiskEmergingMarkets(
+          undefined,
+          undefined,
+          undefined
+        ).getSettings(user.Settings.settings),
       EmergencyFundSetup: new EmergencyFundSetup(
         undefined,
         undefined

apps/api/src/models/rules/asset-class-cluster-risk/equity.ts

@@ -0,0 +1,95 @@
+import { RuleSettings } from '@ghostfolio/api/models/interfaces/rule-settings.interface';
+import { Rule } from '@ghostfolio/api/models/rule';
+import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
+import { PortfolioPosition, UserSettings } from '@ghostfolio/common/interfaces';
+
+export class AssetClassClusterRiskEquity extends Rule<Settings> {
+  private holdings: PortfolioPosition[];
+
+  public constructor(
+    protected exchangeRateDataService: ExchangeRateDataService,
+    holdings: PortfolioPosition[]
+  ) {
+    super(exchangeRateDataService, {
+      key: AssetClassClusterRiskEquity.name,
+      name: 'Equity'
+    });
+
+    this.holdings = holdings;
+  }
+
+  public evaluate(ruleSettings: Settings) {
+    const holdingsGroupedByAssetClass = this.groupCurrentHoldingsByAttribute(
+      this.holdings,
+      'assetClass',
+      ruleSettings.baseCurrency
+    );
+    let totalValue = 0;
+
+    const equityValueInBaseCurrency =
+      holdingsGroupedByAssetClass.find(({ groupKey }) => {
+        return groupKey === 'EQUITY';
+      })?.value ?? 0;
+
+    for (const { value } of holdingsGroupedByAssetClass) {
+      totalValue += value;
+    }
+
+    const equityValueRatio = totalValue
+      ? equityValueInBaseCurrency / totalValue
+      : 0;
+
+    if (equityValueRatio > ruleSettings.thresholdMax) {
+      return {
+        evaluation: `The equity contribution of your current investment (${(equityValueRatio * 100).toPrecision(3)}%) exceeds ${(
+          ruleSettings.thresholdMax * 100
+        ).toPrecision(3)}%`,
+        value: false
+      };
+    } else if (equityValueRatio < ruleSettings.thresholdMin) {
+      return {
+        evaluation: `The equity contribution of your current investment (${(equityValueRatio * 100).toPrecision(3)}%) is below ${(
+          ruleSettings.thresholdMin * 100
+        ).toPrecision(3)}%`,
+        value: false
+      };
+    }
+
+    return {
+      evaluation: `The equity contribution of your current investment (${(equityValueRatio * 100).toPrecision(3)}%) is within the range of ${(
+        ruleSettings.thresholdMin * 100
+      ).toPrecision(
+        3
+      )}% and ${(ruleSettings.thresholdMax * 100).toPrecision(3)}%`,
+      value: true
+    };
+  }
+
+  public getConfiguration() {
+    return {
+      threshold: {
+        max: 1,
+        min: 0,
+        step: 0.01,
+        unit: '%'
+      },
+      thresholdMax: true,
+      thresholdMin: true
+    };
+  }
+
+  public getSettings({ baseCurrency, xRayRules }: UserSettings): Settings {
+    return {
+      baseCurrency,
+      isActive: xRayRules?.[this.getKey()]?.isActive ?? true,
+      thresholdMax: xRayRules?.[this.getKey()]?.thresholdMax ?? 0.82,
+      thresholdMin: xRayRules?.[this.getKey()]?.thresholdMin ?? 0.78
+    };
+  }
+}
+
+interface Settings extends RuleSettings {
+  baseCurrency: string;
+  thresholdMin: number;
+  thresholdMax: number;
+}

apps/api/src/models/rules/asset-class-cluster-risk/fixed-income.ts

@@ -0,0 +1,95 @@
+import { RuleSettings } from '@ghostfolio/api/models/interfaces/rule-settings.interface';
+import { Rule } from '@ghostfolio/api/models/rule';
+import { ExchangeRateDataService } from '@ghostfolio/api/services/exchange-rate-data/exchange-rate-data.service';
+import { PortfolioPosition, UserSettings } from '@ghostfolio/common/interfaces';
+
+export class AssetClassClusterRiskFixedIncome extends Rule<Settings> {
+  private holdings: PortfolioPosition[];
+
+  public constructor(
+    protected exchangeRateDataService: ExchangeRateDataService,
+    holdings: PortfolioPosition[]
+  ) {
+    super(exchangeRateDataService, {
+      key: AssetClassClusterRiskFixedIncome.name,
+      name: 'Fixed Income'
+    });
+
+    this.holdings = holdings;
+  }
+
+  public evaluate(ruleSettings: Settings) {
+    const holdingsGroupedByAssetClass = this.groupCurrentHoldingsByAttribute(
+      this.holdings,
+      'assetClass',
+      ruleSettings.baseCurrency
+    );
+    let totalValue = 0;
+
+    const fixedIncomeValueInBaseCurrency =
+      holdingsGroupedByAssetClass.find(({ groupKey }) => {
+        return groupKey === 'FIXED_INCOME';
+      })?.value ?? 0;
+
+    for (const { value } of holdingsGroupedByAssetClass) {
+      totalValue += value;
+    }
+
+    const fixedIncomeValueRatio = totalValue
+      ? fixedIncomeValueInBaseCurrency / totalValue
+      : 0;
+
+    if (fixedIncomeValueRatio > ruleSettings.thresholdMax) {
+      return {
+        evaluation: `The fixed income contribution of your current investment (${(fixedIncomeValueRatio * 100).toPrecision(3)}%) exceeds ${(
+          ruleSettings.thresholdMax * 100
+        ).toPrecision(3)}%`,
+        value: false
+      };
+    } else if (fixedIncomeValueRatio < ruleSettings.thresholdMin) {
+      return {
+        evaluation: `The fixed income contribution of your current investment (${(fixedIncomeValueRatio * 100).toPrecision(3)}%) is below ${(
+          ruleSettings.thresholdMin * 100
+        ).toPrecision(3)}%`,
+        value: false
+      };
+    }
+
+    return {
+      evaluation: `The fixed income contribution of your current investment (${(fixedIncomeValueRatio * 100).toPrecision(3)}%) is within the range of ${(
+        ruleSettings.thresholdMin * 100
+      ).toPrecision(
+        3
+      )}% and ${(ruleSettings.thresholdMax * 100).toPrecision(3)}%`,
+      value: true
+    };
+  }
+
+  public getConfiguration() {
+    return {
+      threshold: {
+        max: 1,
+        min: 0,
+        step: 0.01,
+        unit: '%'
+      },
+      thresholdMax: true,
+      thresholdMin: true
+    };
+  }
+
+  public getSettings({ baseCurrency, xRayRules }: UserSettings): Settings {
+    return {
+      baseCurrency,
+      isActive: xRayRules?.[this.getKey()]?.isActive ?? true,
+      thresholdMax: xRayRules?.[this.getKey()]?.thresholdMax ?? 0.22,
+      thresholdMin: xRayRules?.[this.getKey()]?.thresholdMin ?? 0.18
+    };
+  }
+}
+
+interface Settings extends RuleSettings {
+  baseCurrency: string;
+  thresholdMin: number;
+  thresholdMax: number;
+}

apps/api/src/models/rules/currency-cluster-risk/base-currency-current-investment.ts

@@ -28,7 +28,12 @@ export class CurrencyClusterRiskBaseCurrencyCurrentInvestment extends Rule<Setti
     let maxItem = holdingsGroupedByCurrency[0];
     let totalValue = 0;
 
-    holdingsGroupedByCurrency.forEach((groupItem) => {
+    const baseCurrencyValue =
+      holdingsGroupedByCurrency.find(({ groupKey }) => {
+        return groupKey === ruleSettings.baseCurrency;
+      })?.value ?? 0;
+
+    for (const groupItem of holdingsGroupedByCurrency) {
       // Calculate total value
       totalValue += groupItem.value;
 
@@ -36,13 +41,11 @@ export class CurrencyClusterRiskBaseCurrencyCurrentInvestment extends Rule<Setti
       if (groupItem.investment > maxItem.investment) {
         maxItem = groupItem;
       }
-    });
-
-    const baseCurrencyItem = holdingsGroupedByCurrency.find((item) => {
-      return item.groupKey === ruleSettings.baseCurrency;
-    });
+    }
 
-    const baseCurrencyValueRatio = baseCurrencyItem?.value / totalValue || 0;
+    const baseCurrencyValueRatio = totalValue
+      ? baseCurrencyValue / totalValue
+      : 0;
 
     if (maxItem?.groupKey !== ruleSettings.baseCurrency) {
       return {

apps/client/src/app/pages/portfolio/x-ray/x-ray-page.component.html

@@ -72,6 +72,30 @@
           (rulesUpdated)="onRulesUpdated($event)"
         />
       </div>
+      <div
+        class="mb-4"
+        [ngClass]="{
+          'd-none': assetClassClusterRiskRules?.length === 0
+        }"
+      >
+        <h4 class="align-items-center d-flex m-0">
+          <span i18n>Asset Class Cluster Risks</span>
+          @if (user?.subscription?.type === 'Basic') {
+            <gf-premium-indicator class="ml-1" />
+          }
+        </h4>
+        <gf-rules
+          [hasPermissionToUpdateUserSettings]="
+            !hasImpersonationId &&
+            hasPermissionToUpdateUserSettings &&
+            user?.settings?.isExperimentalFeatures
+          "
+          [isLoading]="isLoading"
+          [rules]="assetClassClusterRiskRules"
+          [settings]="user?.settings?.xRayRules"
+          (rulesUpdated)="onRulesUpdated($event)"
+        />
+      </div>
       <div
         class="mb-4"
         [ngClass]="{

apps/client/src/app/pages/portfolio/x-ray/x-ray-page.component.ts

@@ -19,6 +19,7 @@ import { Subject, takeUntil } from 'rxjs';
 })
 export class XRayPageComponent {
   public accountClusterRiskRules: PortfolioReportRule[];
+  public assetClassClusterRiskRules: PortfolioReportRule[];
   public currencyClusterRiskRules: PortfolioReportRule[];
   public economicMarketClusterRiskRules: PortfolioReportRule[];
   public emergencyFundRules: PortfolioReportRule[];
@@ -102,6 +103,11 @@ export class XRayPageComponent {
             return isActive;
           }) ?? null;
 
+        this.assetClassClusterRiskRules =
+          rules['assetClassClusterRisk']?.filter(({ isActive }) => {
+            return isActive;
+          }) ?? null;
+
         this.currencyClusterRiskRules =
           rules['currencyClusterRisk']?.filter(({ isActive }) => {
             return isActive;

libs/common/src/lib/interfaces/x-ray-rules-settings.interface.ts

@@ -1,6 +1,8 @@
 export interface XRayRulesSettings {
   AccountClusterRiskCurrentInvestment?: RuleSettings;
   AccountClusterRiskSingleAccount?: RuleSettings;
+  AssetClassClusterRiskEquity?: RuleSettings;
+  AssetClassClusterRiskFixedIncome?: RuleSettings;
   CurrencyClusterRiskBaseCurrencyCurrentInvestment?: RuleSettings;
   CurrencyClusterRiskCurrentInvestment?: RuleSettings;
   EconomicMarketClusterRiskDevelopedMarkets?: RuleSettings;