TTWORR is too big


#1

Hello,

Sorry, I don’t speak german. So I will post in English.
The TTWORR of my Portfolio shoots up to 346% on 7 september.

This seems to happen because of a deposit I made 7 september:

When I put the the deposit in 6 september, I seem to get a more realistic TTWORR of 21%.

Am I doing something wrong? Only this day (7 september) seems to be causing the problem.


#2

Welcome to the community :slight_smile:

Out of curiosity: How did you get to know Portfolio Performance?

It’s a little hard to reproduce the problem as there is only very little information.

What might help you unterstand the problem: PP calculates on a daily basis. So, two transactions on the same day will get netted. For transactions on different days, this won’t happen. The TTWROR - in contrast to the IRR - takes out inflow and outflow of funds after the initial investment for the performance calculation.

Usually it helps to reduce the number of transaction to the minimum that’s needed to reproduce the “problem”.


#3

I got to know Portfolio Performance through an Investing sub-forum on a Dutch IT Site (www.tweakers.net).

I have an EUR deposit account and an USD deposit account.
I transfer from my EUR account to USD to exchange currency. Assets are bought through my USD account.

Basically, does that mean in this situation where all the transactions are done on the same day:

-50 EUR transfer to USD
+50 USD transfer from EUR
+50 EUR deposit
-50 USD buy1 etf @ 50

That I have “gained” an asset worth of 50 usd even though I am netting at 0 USD/EUR? That would explain why I have such an high TTWORR.


#4

One thing that could explain it (but most likely needs more details) is this:

PP calculates the performance on a daily basis. At the moment, it makes the assumption, that any cash inflows or outflows happen at the end of that day. That is the 50 Euro Deposit. That also means, that any changes in valuation (profit or loss) are attributed to the previously existing invested capital.

Usually that is not a problem. But if the invested capital is very small (say 50 Euro). If you then add additional investment (say: 5000 Euros) and immediately buy shares and pay fees of, say, 25 Euros, then this loss is attributed to the previously invested capital of 50 Euros. And a loss of 50%. Pretty big. Maybe this is happening here in reverse (b/c if you put the cash inflow one day earlier it does not happen).

I am trying to fix this at the moment as described here: https://github.com/buchen/portfolio/issues/615 (in German…). Basically, I change the assumption about inflows and outflows: inflows happen at the beginning of the day, outflow at the end of the day. Hopefully the addresses these extreme cases better.


:sunny: Neues & Nennenswertes