[R-SIG-Finance] Blotter returns question, portfolio vs account

[Bos, Roger]

All,

I am looking into calculating portfolio and/or account returns using blotter.  (I am also trying to learn better the difference between portfolios and accounts.)  So I created a simple example pasted below.  I get a portfolio return of 6.9% which matches my manual calculation, but I get an account return of -2.0%, so I asking why that might be?  The table below shows the portfolio returns, the account returns, and account returns I calculated myself and the account returns I calculated myself match pretty closely to the portfolio returns:

> cbind(portfolio_rets, account_rets, account_test)
              IBM.DailyEndEq                e1            End.Eq
1950-01-01                NA                NA                NA
2017-01-03                NA                NA      0.00716868674699
2017-01-04  0.01963852409639  0.00526341880180  0.01238108125628
2017-01-05 -0.00337348192771 -0.01564818890663 -0.00330850771915
2017-01-06  0.00500001204819  0.00840183742261  0.00491998823213
2017-01-09 -0.01132533132530 -0.01624412256496 -0.01108951224615
2017-01-10 -0.01283126506024 -0.00152318430183 -0.01270498106907
2017-01-11  0.01343371084337  0.02660636928014  0.01347266762995
2017-01-12  0.00120480120482 -0.01206680763400  0.00119223248882
2017-01-13 -0.00367470481928 -0.00487363426366 -0.00363203936229
2017-01-17  0.00331327108434  0.00701374936220  0.00328673965069
2017-01-18 -0.00656624096386 -0.00984688664341 -0.00649232239259
2017-01-19  0.00006021084337  0.00667025027784  0.00005992206127
2017-01-20  0.02253015060241  0.02246858690647  0.02242074842540
2017-01-23  0.00289154216867 -0.01920589668888  0.00281440041956
2017-01-24  0.02933731927711  0.02636952850479  0.02847450756285
2017-01-25  0.01439758433735 -0.01451393499485  0.01358726027017
2017-01-26  0.00222898192771 -0.01199589056355  0.00207533240522
2017-01-27 -0.00819277710843 -0.01039858078750 -0.00761222976352
2017-01-27 -0.00000001807229                NA                NA
2017-01-27                NA  0.00826043493841 -0.00000001692047
2017-01-30  0.00000000000000  0.00000001807229  0.00000000000000
2017-01-31  0.00000000000000  0.00000000000000  0.00000000000000


I tried to figure it out discrepancy with AcctReturns by running the code in AcctReturns interactively, but it uses a non-exported function called .getBySymbol, so I got stuck there.


While I am here, I would be happy to get some advice.  If I want to calculate the returns for three strategies, say a small cap fund, mid cap fund, and large cap fund, should I have 3 portfolios in one account or 3 accounts each with one portfolio?  I am leaning towards the latter, but then I am wondering why the difference between portfolio and account?

Thanks,

Roger


require(blotter)
require(FinancialInstrument)
require(quantmod)
rm(.blotter)
if(!exists(".instrument")) .instrument <<- new.env()
if(!exists(".blotter")) .blotter <<- new.env()

currency("USD")
symbols = c("IBM")
for(symbol in symbols){ # establish tradable instruments
  stock(symbol, currency="USD", multiplier=1)
}

getSymbols(symbols, from='2017-01-01', to='2017-01-31', src='yahoo', index.class=c("POSIXt","POSIXct"))

initPortf("p", symbols=symbols, currency="USD")

## Trades must be made in date order.
addTxn(Portfolio = "p", Symbol = "IBM", TxnDate = '2017-01-03', TxnQty = 1, TxnPrice = 166, TxnFees = 00)
addTxn("p", "IBM", '2017-01-27', -1, 177.30, TxnFees = 0)

updatePortf(Portfolio="p",Dates='2017-01')

initAcct(name="a", portfolios="p", initEq=166, currency="USD")
updateAcct("a",'2017-01')
updateEndEq("a",'2017-01')

portfolio_rets <- PortfReturns(Account="a", Dates="2017", Portfolios="p")
Return.cumulative(rets)

account_rets <- AcctReturns(Account="a", Dates="2017", Portfolios="p")
Return.cumulative(arets)

p = getPortfolio("p")
a = getAccount("a")

account_test <- CalculateReturns(a$summary$End.Eq)
cbind(portfolio_rets, account_rets, account_test)




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