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.
Greg Pomerantz
576d9fba97