The full rate stack (federal + NIIT + state) was used for the recorded
tax columns and for realized gains at rebalances, but the equity path
itself deducted only the FEDERAL rate in two places:
1. distribution reinvestment kept (1 - div_rate)/(1 - lt_rate) instead of
(1 - div_rate - niit - sl_rate);
2. the per-date liquidation tax ('sell everything today') passed bare
(lt_rate, st_rate) to _liquidation_tax.
Symptom: FLCSX 10Y showed a 1.4pt after-tax drag instead of the true
~2.8pt. Fix: d_keep/c_keep factors and stacked liquidation rates.
Regression tests pin the equity path: reinvested net with NIIT+state,
ST and LT liquidation tax at the full stack (all fail on the old code).
Corrected 2015-2026 NYC after-tax: SPY 13.82->11.23, IVV 13.81->11.22,
JLPSX 13.68->9.18 (previously reported 12.51/12.50/11.31, superseded).
NYC residents pay, on a capital-gain distribution, roughly 20% federal
+ 3.8% NIIT + 6.85-9.65% NY + 3.876% NYC = ~34-37% — the old model's
flat 20% understated the real after-tax drag of high-distribution
funds for this user by ~15 points on exactly the flows that matter.
tax.py: new niit + sl_rate params (decimals). sl_rate is the
state+local marginal rate applied at ORDINARY rates to every flow —
state and local have NO preferential cap-gain rate, so the composite
is lt_rate+niit+sl_rate on cap-gain dists, div_rate+niit+sl_rate on
dividends, and (st/lt_rate)+niit+sl_rate on realized gains.
app.py: two new sidebar fields (persisted in settings.json), wired
through _compute_portfolio's cache key.
tests/test_tax.py: 3 new cases (capg and div composite rates,
net-taxed realized ST gains/losses at st+NIIT+SL).
README: NYC rate note with the 2025 IT-201 schedule values (NYC 3.876%
over $50k; NY 6.85% at $215,400-$1.077M, 9.65% at $1.077M-$5M,
single filer) and the composite example.
The old model valued holdings in ADJ (total-return index) units but
computed distribution flows as raw per-share dollars — so every
distribution, and its tax, was overstated by the raw/adj ratio
(JLPSX: 30.10/11.25 = 2.7x; the Dec-2020 cap-gain tax showed as 12.1%
of the account instead of the true 4.5%). The wiggle in the after-tax
curve was this bug, not a convention issue.
tax.py now:
- values holdings in RAW share units on close prices (bundle.close);
- receives the per-share distribution on its event date, pays the tax
(recorded in TaxResult.taxes), and reinvests the after-tax remainder
at the same day's raw close — the tax's effect lives in the (smaller)
reinvested units and is NOT also deducted from cash (double-count
caught and fixed in review);
- recomputes market value after the reinvestment so equity[t] is the
post-event liquidation value.
With the fix, the 'as-if-liquidated' equity on JLPSX's ex-div day drops
by exactly the true tax cost (4.72% vs 12.1% before); the -22.9% price
drop is offset by the distribution kept.
Also:
- app.py passes bundle.close to the after-tax model (pre-tax
portfolio_returns still uses adj);
- JLPSX/JLPYX: the 2020-12-11 6.824 capital-gain distribution is moved
to the true ex-div date 2020-12-14 (remove/add correction ops), so
the reinvestment prices at the post-drop close;
- tests/test_tax.py: 8 synthetic regression tests (tax magnitude,
reinvestment MV, no double-count, ex-div equity step, per-component
rates); run_tests.sh now runs it.
- single spec grammar for symbol and benchmark fields: commas join one
portfolio (MSFT:0.6,V:0.4), spaces separate distinct symbols/portfolios;
both fields accept one or many entries
- benchmarks simulated with the same scheme/cost/tax rules; per-benchmark
beta/alpha columns; after-tax benchmark curves
- global Curve mode (pre/after/both) above the tabs; clean names in
single-curve mode
- live updates: field commits on Enter/blur, page recomputes per rerun;
portfolio+tax sims cached (st.cache_data); plotly.js from CDN (4.6MB ->
browser-cached) with F_INLINE_PLOTLY=1 offline fallback
- chart: legend underneath, solid lines, pan sticks to data edges
(width-preserving), zoom edge-clamped
- inputs persist in settings.json across reloads/restarts/devices
- tests: tests/test_app.py (AppTest) + tests/test_e2e_browser.py
(Playwright) via ./run_tests.sh
