2009/5/12 Derek Mahar <[email protected]>: > > On May 10, 5:07 am, Mark Carter <[email protected]> wrote: >> Are you trying to get an idea of portfolio performance? If so, then I >> recommend using the fstats function, as it is based on cash flow, and >> is therefore able to provide a "true" rate of return. I can discuss >> more if you're interested. > > Yes, I'm interested in portfolio performance for both long and short > positions. Can fstats compute rate of return for short positions in a > portfolio?
Hmmm. I'm not sure. My answer is "yes, I guess so, provided you've set everything up correctly". > Where may I obtain fstats? Is it part of TACC or part of a separate > project? Yes. fstats is part of TACC. It can be obtained from: http://github.com/blippy/tacc/tree/master The requirements are listed on that page. The easiest way to run it is probably to go to the command line and type: tacc which will respond with the prompt tacc-0.1> What you get is a Tcl REPL, with some useful ledger functions thrown in. If you have a portfolio called Equities, you can obtain the performance using the command: tacc-0.1> fstats Equities You can obtain the performance of several accounts together, e.g. Eq1 and Eq2, using tacc-0.1> fstats { Eq1 Eq2 } Typical output is something like: CRR% 6 IRR% 10 PROFIT 1000.00 This tells you that the profit you made (realised+unrealised) is 1000.00, and the interal rate of return you are making is 10%. IRR is "a true compound rate of return" - which I think is the most meaningful way of measuring the performance of a portfolio. It does suffer from some theoretical weaknesses; but to me, it is the most sensible statistic available. The CRR figure is a bit of a home-brew statistic, which measures the "current rate of return". All it does is apportion the IRR according to the current date. So, if, for instance, the Dow is up 2% for the current calendar year, you can see that you are currently beating the index by 4% (6-2). My goal in TACC is to be able to massage the data produce by ledger-cli (it sometimes has a little quirky behaviour), and be extensible. I think of it as being like John's REPL for v3, but fully programmable. Hope that helps a little. TACC could well do with more documentation, and it's something that I should really work on. I have been exploring the possibility of writing my own accounts package in python again, but in a very much simplified form, with a minute codebase. Hope that helps a little. Regards, Mark. > > Derek
