Greg Pomerantz
5e5a10d725
Yahoo's dividend endpoint returns the fund's TOTAL per-share distribution
(dividend + capital gain) for many share classes while the capitalGains
endpoint returns the cap-gain portion separately; summing both double-counted
cap gains and broke pre/post-tax comparability (after-tax engine could beat
the adj-based pre-tax return: impossible).
Add _fix_total_distributions to the bundle-assembly invariants
(layout-agnostic, survives re-downloads): on same-date div>capg events, the
exact Yahoo-adj implied distribution (d = P - Q*A_{t-1}/A_t) must match the
div-file amount (not the sum) on >=3 dates before rewriting div -= capg.
Self-validating: genuine separate same-date distributions are untouched.
Rewrote 17,900 cells on 1,957 symbols.
Pool check (scripts/check_adj_consistency.py): all 14 symbols now
TR(close+events) == TR(adj) to 0.01pt and post < pre with plausible drags.
Tests: rewrite case, no-rewrite case, idempotency (tests/test_data.py).
1.8 KiB
1.8 KiB
Adj/event consistency check (window from 2016-01-01)
TR(sim) = pre-tax reinvestment of raw Close + declared dividend/capitalGain events. Must match TR(adj) if Yahoo's adj factor was built from the same history. POST>PRE = post-tax engine would beat pre-tax: impossible, data broken.
| sym | flag | price-only | TR(adj) | TR(sim) | decl yield | gap |
|---|---|---|---|---|---|---|
| bntx | 35.15% | 35.40% | 35.40% | 1.74% | -0.00% | |
| pmaix | 3.05% | 9.46% | 9.46% | 64.11% | -0.00% | |
| slg | -6.29% | -0.70% | -0.70% | 52.61% | -0.00% | |
| atesx | 4.68% | 8.28% | 8.28% | 30.81% | -0.00% | |
| cosix | -0.38% | 3.88% | 3.88% | 44.09% | +0.00% | |
| egrax | 2.53% | 6.26% | 6.26% | 38.84% | -0.00% | |
| pfe | -0.75% | 3.84% | 3.84% | 45.61% | -0.00% | |
| qspnx | 0.06% | 7.19% | 7.19% | 68.93% | +0.00% | |
| svarx | 1.95% | 6.98% | 6.98% | 51.38% | +0.00% | |
| cvsix | 2.52% | 4.67% | 4.67% | 21.78% | +0.00% | |
| flcsx | 9.84% | 15.75% | 15.75% | 58.07% | -0.00% | |
| menkx | 0.58% | 3.65% | 3.65% | 11.96% | +0.00% | |
| flpsx | 0.21% | 11.39% | 11.39% | 111.47% | -0.00% | |
| spy | 13.40% | 15.23% | 15.23% | 15.74% | -0.00% |
details
- bntx: div 2.11 capg 0.00;
- pmaix: div 7.28 capg 0.00; same-date 0
- slg: div 38.81 capg 0.00;
- atesx: div 0.18 capg 3.88; same-date 0
- cosix: div 9.48 capg 0.68; same-date 3 (exact 0, div>cap 0)
- egrax: div 4.00 capg 0.00; same-date 0
- pfe: div 15.94 capg 0.00;
- qspnx: div 5.93 capg 0.00; same-date 0
- svarx: div 9.46 capg 2.45; same-date 7 (exact 0, div>cap 4)
- cvsix: div 3.08 capg 0.00; same-date 0
- flcsx: div 8.54 capg 14.82; same-date 20 (exact 1, div>cap 3)
- menkx: div 1.35 capg 0.00;
- flpsx: div 8.12 capg 45.49; same-date 20 (exact 0, div>cap 1)
- spy: div 62.47 capg 0.00;