[ROI] provide not annualized TWR

[chrpinedo]

Nowadays the hledger roi command provides the annualized TWR and the annualized IRR. I think that IRR must be always annualized but TWR value firstly is calculated over one period and then this value can be annualized (and in fact the hledger roi command provides it always annualized).

Annualized value of TWR and the IRR is good to calculate the performance of one investment over long periods of time however:

• it provides very huge values with short periods of time of, for example, a couple of months
• it is useless to track the evolution of the investment (I explain later).

To track the evolution of the investment over one period (-b begin-date and -e end-date) I often use the hledger roi command with subperiods -Y (yearly), -M (monthly) and even in rare occasions -W (weekly). However, hledger roi command provides the annualized value of TWR and IRR for the subperiods. It would be very useful to provide also the "simple TWR" or "TWR of the subperiod" and the "accumulative TWR" of the period with the previous periods.

[adept]

hledger/hledger/Hledger/Cli/Commands/Roi.hs

Line 132 in f7dbfcf

twr <- timeWeightedReturn showCashFlow prettyTables investmentsQuery trans mixedAmountValue thisSpan

is where the twr for the period is computed. It could return final amount of units and final unit price which could enable the "accumulated TWR" computation, if it is passed on to the subsequent call on the next loop iteration and used as initialUnits and initialUnitPrice here:

hledger/hledger/Hledger/Cli/Commands/Roi.hs

Line 156 in f7dbfcf

let initialUnitPrice = 100 :: Decimal

hledger/hledger/Hledger/Cli/Commands/Roi.hs

Line 227 in f7dbfcf

annualizedTWR = 100*((1+(realToFrac totalTWR/100))**(1/years)-1) :: Double

is where the TWR is annualized, so returning totalTWR along with annualizedTWR there should be, I think, the unadjusted TWR for the period.

It wold be nice to have some examples with TWR computed by not-hledger (say, by excel) to verify this, though.

@chrpinedo do you happen to have some numbers that could be useful as tests?

[chrpinedo]

@adept just now I don't have a third party software to calculate TWR/IRR. I was just evaluating if hledger roi command was enough for me to track the performance of the investments or if I should export cashflows from hledger to create one spreadsheet (I don't know if it is easy to export cashflows in CSV format with hledger roi command or perhaps with hledger commands).
If you find useful I could try to provide one use case with one stock of my portfolio with hledger roi and with one google sheet.