Greg Pomerantz
576d9fba97
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.
94 lines
3.5 KiB
JSON
94 lines
3.5 KiB
JSON
{
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"symbol": "jlpsx",
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"name": "JPMorgan U.S. Large Cap Core Plus Fund (I shares)",
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"note": "Yahoo listed the year-end capital-gain distribution in BOTH the dividend and capitalGains event files. Expressed as layout-agnostic invariants because a 2026-08 re-download shows Yahoo no longer returns capitalGain events for this fund at all (the dividend stream still carries the year-end rows): 'dedup' keeps at most one copy of each (date, amount) (the capitalGain copy when both files carry it; the lone dividend copy otherwise); 'drop_capg_copy' drops the spurious capitalGain row on a date where the dividend row is the true distribution (any amount). Official per-share data (JPMorgan 497, filed 2025-11-03, Class I, FYE June 30): FY2025 1.37, FY2024 2.03, FY2023 4.86, FY2022 6.78, FY2021 6.89 - local sums after dedup match every one (1.368, 2.029, 4.859, 6.785, 6.889). 2006-12-15 (div 0.207 vs capg 0.141) and 2019-08-08 (div 4.138 vs capg 4.077) keep the dividend amount per the pattern confirmed on all other verified same-date pairs; pre-2012 years have no official totals (the 2021 497 is delisted from SEC Archives) - mechanism-inferred. 'history' patches the 2020-12-11 Adj Close cell: Yahoo dated the 6.824 distribution on the 12-11 record date but the market went ex-div on 2020-12-14 (close 30.10 -> 23.22, i.e. -6.88), so the raw Adj Close column spiked +29.3% on 12-11 and snapped back -22.9% on 12-14; setting 12-11 to the 12-10 value (11.247889) removes the bogus 3-day wiggle (cumulative return unchanged). adj-close repair: Yahoo dated a distribution on 2020-12-11 (record date) but the price went ex-div on 2020-12-14 (close 30.10 -> 23.22, drop ~6.824); the raw Adj Close column spiked +29.3% on 2020-12-11 and snapped back later. Cells in [2020-12-11, 2020-12-14) rescaled by (1-f) so the adjusted path is smooth; cumulative returns are unchanged. Mechanism: scripts/fix_adj_misalign.py, scan: reports/adj_misalign/scan.md. Distribution date moved 2020-12-11 -> 2020-12-14 (true ex-div date, close 30.10 -> 23.22 for JLPSX / 30.29 -> 23.40 for JLPYX): Yahoo dated the 6.824 capital-gain distribution on the 12-11 record date, but the after-tax model reinvests at the event date's raw close, so the cash flow must sit on the day the price actually dropped. Ops: remove both file copies on 12-11, add the capitalGains copy on 12-14 (kept in capitalGains so it is taxed at the cap-gain rate, matching the 497's CG 6.82 / NII 0.07 split).",
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"verified": [
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"FY2021-FY2025 exact match against 497 filed 2025-11-03 (accession 0001193125-25-261054, CIK 0000763852)"
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],
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"dedup": [
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[
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"2007-12-17",
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0.654
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],
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[
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"2012-12-13",
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0.981
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],
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[
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"2013-12-12",
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2.312
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],
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[
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"2014-12-12",
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2.133
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],
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[
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"2015-12-11",
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2.415
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],
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[
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"2016-12-14",
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1.235
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],
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[
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"2017-12-13",
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4.123
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],
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[
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"2018-12-12",
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4.117
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],
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[
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"2019-12-12",
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1.517
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],
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[
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"2021-12-13",
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6.785
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],
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[
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"2022-12-13",
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4.841
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],
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[
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"2023-12-13",
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1.989
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],
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[
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"2024-12-12",
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1.347
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]
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],
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"drop_capg_copy": [
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"2006-12-15",
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"2019-08-08"
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],
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"history": {
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"2020-12-11": {
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"Adj Close": 11.247889
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}
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},
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"dividends": {
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"remove": [
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[
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"2020-12-11",
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6.824
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]
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]
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},
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"capitalGains": {
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"remove": [
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[
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"2020-12-11",
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6.824
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]
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],
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"add": [
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[
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"2020-12-14",
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6.824
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]
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]
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}
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}
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