optimize annual performance calculation (#367)

* Optimize annual performance calculation

* Update changelog

Co-authored-by: Valentin Zickner <github@zickner.ch>
Co-authored-by: Thomas <4159106+dtslvr@users.noreply.github.com>

CHANGELOG.md

@@ -5,6 +5,12 @@ All notable changes to this project will be documented in this file.
 The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/),
 and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html).
 
+## Unreleased
+
+### Changed
+
+- Optimized the annualized performance calculation
+
 ## 1.52.0 - 11.09.2021
 
 ### Added

apps/api/src/app/portfolio/interfaces/current-positions.interface.ts

@@ -6,6 +6,7 @@ export interface CurrentPositions {
   positions: TimelinePosition[];
   grossPerformance: Big;
   grossPerformancePercentage: Big;
+  netAnnualizedPerformance: Big;
   netPerformance: Big;
   netPerformancePercentage: Big;
   currentValue: Big;

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

@@ -1,3 +1,4 @@
+import { PortfolioService } from '@ghostfolio/api/app/portfolio/portfolio.service';
 import { OrderType } from '@ghostfolio/api/models/order-type';
 import { parseDate, resetHours } from '@ghostfolio/common/helper';
 import { Currency } from '@prisma/client';
@@ -1147,6 +1148,7 @@ describe('PortfolioCalculator', () => {
         currentValue: new Big('3897.2'),
         grossPerformance: new Big('303.2'),
         grossPerformancePercentage: new Big('0.27537838148272398344'),
+        netAnnualizedPerformance: new Big('0.1412977563032074'),
         netPerformance: new Big('253.2'),
         netPerformancePercentage: new Big('0.2566937088951485493'),
         totalInvestment: new Big('2923.7'),
@@ -2261,6 +2263,66 @@ describe('PortfolioCalculator', () => {
       ]);
     });
   });
+
+  describe('annualized performance percentage', () => {
+    const portfolioCalculator = new PortfolioCalculator(
+      currentRateService,
+      Currency.USD
+    );
+
+    it('Get annualized performance', async () => {
+      expect(
+        portfolioCalculator
+          .getAnnualizedPerformancePercent({
+            daysInMarket: NaN, // differenceInDays of date-fns returns NaN for the same day
+            netPerformancePercent: new Big(0)
+          })
+          .toNumber()
+      ).toEqual(0);
+
+      expect(
+        portfolioCalculator
+          .getAnnualizedPerformancePercent({
+            daysInMarket: 0,
+            netPerformancePercent: new Big(0)
+          })
+          .toNumber()
+      ).toEqual(0);
+
+      /**
+       * Source: https://www.readyratios.com/reference/analysis/annualized_rate.html
+       */
+      expect(
+        portfolioCalculator
+          .getAnnualizedPerformancePercent({
+            daysInMarket: 65, // < 1 year
+            netPerformancePercent: new Big(0.1025)
+          })
+          .toNumber()
+      ).toBeCloseTo(0.729705);
+
+      expect(
+        portfolioCalculator
+          .getAnnualizedPerformancePercent({
+            daysInMarket: 365, // 1 year
+            netPerformancePercent: new Big(0.05)
+          })
+          .toNumber()
+      ).toBeCloseTo(0.05);
+
+      /**
+       * Source: https://www.investopedia.com/terms/a/annualized-total-return.asp#annualized-return-formula-and-calculation
+       */
+      expect(
+        portfolioCalculator
+          .getAnnualizedPerformancePercent({
+            daysInMarket: 575, // > 1 year
+            netPerformancePercent: new Big(0.2374)
+          })
+          .toNumber()
+      ).toBeCloseTo(0.145);
+    });
+  });
 });
 
 const ordersMixedSymbols: PortfolioOrder[] = [

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

@@ -7,6 +7,7 @@ import {
   addDays,
   addMonths,
   addYears,
+  differenceInDays,
   endOfDay,
   format,
   isAfter,
@@ -14,7 +15,7 @@ import {
   max,
   min
 } from 'date-fns';
-import { flatten } from 'lodash';
+import { flatten, isNumber } from 'lodash';
 
 import { CurrentRateService } from './current-rate.service';
 import { CurrentPositions } from './interfaces/current-positions.interface';
@@ -103,6 +104,23 @@ export class PortfolioCalculator {
     }
   }
 
+  public getAnnualizedPerformancePercent({
+    daysInMarket,
+    netPerformancePercent
+  }: {
+    daysInMarket: number;
+    netPerformancePercent: Big;
+  }): Big {
+    if (isNumber(daysInMarket) && daysInMarket > 0) {
+      const exponent = new Big(365).div(daysInMarket).toNumber();
+      return new Big(
+        Math.pow(netPerformancePercent.plus(1).toNumber(), exponent)
+      ).minus(1);
+    }
+
+    return new Big(0);
+  }
+
   public getTransactionPoints(): TransactionPoint[] {
     return this.transactionPoints;
   }
@@ -118,6 +136,7 @@ export class PortfolioCalculator {
         hasErrors: false,
         grossPerformance: new Big(0),
         grossPerformancePercentage: new Big(0),
+        netAnnualizedPerformance: new Big(0),
         netPerformance: new Big(0),
         netPerformancePercentage: new Big(0),
         positions: [],
@@ -410,6 +429,11 @@ export class PortfolioCalculator {
     let netPerformance = new Big(0);
     let netPerformancePercentage = new Big(0);
     let completeInitialValue = new Big(0);
+    let netAnnualizedPerformance = new Big(0);
+
+    // use Date.now() to use the mock for today
+    const today = new Date(Date.now());
+
     for (const currentPosition of positions) {
       if (currentPosition.marketPrice) {
         currentValue = currentValue.add(
@@ -437,6 +461,15 @@ export class PortfolioCalculator {
         grossPerformancePercentage = grossPerformancePercentage.plus(
           currentPosition.grossPerformancePercentage.mul(currentInitialValue)
         );
+        netAnnualizedPerformance = netAnnualizedPerformance.plus(
+          this.getAnnualizedPerformancePercent({
+            daysInMarket: differenceInDays(
+              today,
+              parseDate(currentPosition.firstBuyDate)
+            ),
+            netPerformancePercent: currentPosition.netPerformancePercentage
+          }).mul(currentInitialValue)
+        );
         netPerformancePercentage = netPerformancePercentage.plus(
           currentPosition.netPerformancePercentage.mul(currentInitialValue)
         );
@@ -453,6 +486,8 @@ export class PortfolioCalculator {
         grossPerformancePercentage.div(completeInitialValue);
       netPerformancePercentage =
         netPerformancePercentage.div(completeInitialValue);
+      netAnnualizedPerformance =
+        netAnnualizedPerformance.div(completeInitialValue);
     }
 
     return {
@@ -460,6 +495,7 @@ export class PortfolioCalculator {
       grossPerformance,
       grossPerformancePercentage,
       hasErrors,
+      netAnnualizedPerformance,
       netPerformance,
       netPerformancePercentage,
       totalInvestment

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

@@ -1,62 +0,0 @@
-import { PortfolioService } from './portfolio.service';
-
-describe('PortfolioService', () => {
-  let portfolioService: PortfolioService;
-
-  beforeAll(async () => {
-    portfolioService = new PortfolioService(
-      null,
-      null,
-      null,
-      null,
-      null,
-      null,
-      null,
-      null,
-      null
-    );
-  });
-
-  it('Get annualized performance', async () => {
-    expect(
-      portfolioService.getAnnualizedPerformancePercent({
-        daysInMarket: NaN, // differenceInDays of date-fns returns NaN for the same day
-        netPerformancePercent: 0
-      })
-    ).toEqual(0);
-
-    expect(
-      portfolioService.getAnnualizedPerformancePercent({
-        daysInMarket: 0,
-        netPerformancePercent: 0
-      })
-    ).toEqual(0);
-
-    /**
-     * Source: https://www.readyratios.com/reference/analysis/annualized_rate.html
-     */
-    expect(
-      portfolioService.getAnnualizedPerformancePercent({
-        daysInMarket: 65, // < 1 year
-        netPerformancePercent: 0.1025
-      })
-    ).toBeCloseTo(0.729705);
-
-    expect(
-      portfolioService.getAnnualizedPerformancePercent({
-        daysInMarket: 365, // 1 year
-        netPerformancePercent: 0.05
-      })
-    ).toBeCloseTo(0.05);
-
-    /**
-     * Source: https://www.investopedia.com/terms/a/annualized-total-return.asp#annualized-return-formula-and-calculation
-     */
-    expect(
-      portfolioService.getAnnualizedPerformancePercent({
-        daysInMarket: 575, // > 1 year
-        netPerformancePercent: 0.2374
-      })
-    ).toBeCloseTo(0.145);
-  });
-});

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

@@ -81,21 +81,6 @@ export class PortfolioService {
     private readonly symbolProfileService: SymbolProfileService
   ) {}
 
-  public getAnnualizedPerformancePercent({
-    daysInMarket,
-    netPerformancePercent
-  }: {
-    daysInMarket: number;
-    netPerformancePercent: number;
-  }) {
-    if (isNumber(daysInMarket) && daysInMarket > 0) {
-      const exponent = new Big(365).div(daysInMarket).toNumber();
-      return Math.pow(1 + netPerformancePercent, exponent) - 1;
-    }
-
-    return 0;
-  }
-
   public async getInvestments(
     aImpersonationId: string
   ): Promise<InvestmentItem[]> {
@@ -573,6 +558,7 @@ export class PortfolioService {
       return {
         hasErrors: false,
         performance: {
+          annualizedPerformancePercent: 0,
           currentGrossPerformance: 0,
           currentGrossPerformancePercent: 0,
           currentNetPerformance: 0,
@@ -591,6 +577,8 @@ export class PortfolioService {
     );
 
     const hasErrors = currentPositions.hasErrors;
+    const annualizedPerformancePercent =
+      currentPositions.netAnnualizedPerformance.toNumber();
     const currentValue = currentPositions.currentValue.toNumber();
     const currentGrossPerformance =
       currentPositions.grossPerformance.toNumber();
@@ -603,6 +591,7 @@ export class PortfolioService {
     return {
       hasErrors: currentPositions.hasErrors || hasErrors,
       performance: {
+        annualizedPerformancePercent,
         currentGrossPerformance,
         currentGrossPerformancePercent,
         currentNetPerformance,
@@ -731,12 +720,6 @@ export class PortfolioService {
     const fees = this.getFees(orders);
     const firstOrderDate = orders[0]?.date;
 
-    const annualizedPerformancePercent = this.getAnnualizedPerformancePercent({
-      daysInMarket: differenceInDays(new Date(), firstOrderDate),
-      netPerformancePercent:
-        performanceInformation.performance.currentNetPerformancePercent
-    });
-
     const totalBuy = this.getTotalByType(orders, currency, TypeOfOrder.BUY);
     const totalSell = this.getTotalByType(orders, currency, TypeOfOrder.SELL);
 
@@ -748,7 +731,6 @@ export class PortfolioService {
 
     return {
       ...performanceInformation.performance,
-      annualizedPerformancePercent,
       fees,
       firstOrderDate,
       netWorth,

libs/common/src/lib/interfaces/portfolio-performance.interface.ts

@@ -1,4 +1,5 @@
 export interface PortfolioPerformance {
+  annualizedPerformancePercent: number;
   currentGrossPerformance: number;
   currentGrossPerformancePercent: number;
   currentNetPerformance: number;