Sandbox::https://github.com/rustledger/rustledger/pull/1830

robcohen · 2026-07-20T16:52:36Z

What

Adds the time-weighted return (TWR) alongside the money-weighted return, closing #1819 (phase-1 of #1814). The two answer different questions:

MWR (XIRR) — "what did I earn, given when I moved money" (the personal-performance metric, already shipped).
TWR — "how did the investments perform, independent of my contribution timing" (the GIPS / manager-comparison metric).

Report both, MWR as the headline.

Engine (`rustledger-returns`)

twr(directives, scope, currency, oracle, end_date) -> Result<Option<f64>, ExtractError> — the annualized time-weighted return via the unit-value (mutual-fund NAV) method: value the portfolio at every external cash-flow date, chain the sub-period returns geometrically, annualize (actual/365, matching xirr). Each contribution/withdrawal is netted out at its date, so only market movement — and income the holdings generate (reinvested dividends, internal reshuffling, which aren't external flows) — drives the result. None when undefined (no flows, a single-day span, or a non-positive portfolio value where unit accounting breaks down — a documented MVP limitation).

Refactored terminal_value's realize-and-value loop into a shared investment_value_at primitive that both terminal_value (value at the end date) and twr (value at each flow date) use.

CLI (`rledger report returns`)

A Time-weighted return line in text and a time_weighted_return_pct field in json/csv, next to the money-weighted return.

The divergence, in the tests

A ledger that sits flat for the first half-year, then takes a large contribution right before a +20% second half:

Money-weighted return   27.13%
Time-weighted return    20.00%

TWR is exactly 20% — the investments returned 0% then +20%, chained, regardless of timing. MWR is higher because most of the money was present only for the winning half. That gap is the point of having both.

Tests

4 engine tests: single-flow = holding-period return (10%); the timing-neutralization case above (TWR 20% while MWR is materially higher); None for no-flows and single-day spans.
1 CLI integration test asserting TWR = 20.00% and MWR > 25% on the divergence fixture.

45 engine tests + 7 returns integration tests; clippy/doc/fmt clean.

Scope

True TWR via the NAV method. Still open per #1814: dividend / ex-dividend breakout, and per-group breakdown (#1820).

Closes #1819. Part of #1814.

🤖 Generated with Claude Code

Adds the time-weighted return alongside the money-weighted return (#1819, phase-1 of #1814). MWR (XIRR) answers "what did I earn given when I moved money"; TWR answers "how did the investments perform, independent of my contribution timing" -- the GIPS / manager-comparison metric. Engine (rustledger-returns): - twr(directives, scope, currency, oracle, end_date) -> Option<f64>, the annualized time-weighted return via the unit-value (mutual-fund NAV) method: value the portfolio at every external cash-flow date, chain the sub-period returns geometrically, annualize (actual/365, matching xirr). Each contribution/withdrawal is netted out at its date, so only market movement -- and income the holdings generate (reinvested dividends, internal reshuffling) -- drives the result. Returns None when undefined (no flows, single-day span, or a non-positive portfolio value where unit accounting breaks down). - Factored terminal_value's realize-and-value loop into a shared investment_value_at(directives, scope, currency, oracle, date) primitive that both terminal_value and twr use. CLI (rledger report returns): - A "Time-weighted return" line in text and a time_weighted_return_pct field in json/csv, next to the money-weighted return (MWR stays the headline). Tests: 4 engine tests (single-flow = holding-period return; timing neutralization where TWR diverges from MWR; None for no-flows and single-day) and a CLI integration test showing TWR 20% vs a higher MWR when a large contribution lands right before a rally. Follow-ups still open: dividend/ex-dividend breakout, per-group breakdown (#1820).

Copilot

Pull request overview

Adds time-weighted return (TWR) to the rustledger-returns engine and surfaces it in rledger report returns, complementing the existing money-weighted return (XIRR/MWR) so users can compare investment performance independent of contribution timing.

Changes:

Introduces twr(...) -> Result<Option<f64>, ExtractError> using the unit-value (NAV) method and annualizes it to match XIRR’s day-count convention.
Refactors end-date valuation into a shared investment_value_at(...) primitive reused by both terminal_value and twr.
Extends the returns report output (text/json/csv) and integration tests to include time_weighted_return_pct / “Time-weighted return”.

Reviewed changes

Copilot reviewed 5 out of 5 changed files in this pull request and generated 4 comments.

Show a summary per file

File	Description
crates/rustledger-returns/src/extract.rs	Adds `twr`, factors out `investment_value_at`, and reworks `terminal_value` to use it.
crates/rustledger-returns/src/lib.rs	Updates crate-level docs and re-exports `twr`.
crates/rustledger-returns/README.md	Marks TWR as implemented and documents it in the crate feature list.
crates/rustledger/src/cmd/report_cmd/returns.rs	Adds TWR computation and outputs it in text/JSON/CSV formats.
crates/rustledger/tests/report_returns_test.rs	Adds a timing-divergence fixture/test and asserts JSON includes the new field.

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github-actions · 2026-07-20T16:55:26Z

📊 Benchmark Results

Tool	Time	Memory
rustledger	32.7ms ± 1.4ms	23.9 MB
beancount	904.7ms ± 15.5ms	50.4 MB
Comparison	27.7x faster	2.1x less

vs main branch (2026-07-20)

Metric	main	this PR	Change
Time	31.6ms	32.7ms	+3.5% ✅
_{10K transactions · 5 runs, 2 warmup · hyperfine}

What do these numbers mean?

Time: Wall-clock time to parse and validate the ledger (± std dev)
Memory: Peak resident set size (RSS)
vs main: Compared to latest nightly benchmark on main branch

github-actions · 2026-07-20T17:01:31Z

✅ Compatibility Test Results

Metric	Result
Check Compatibility	100%
BQL Compatibility	100%
Full AST Match	100%
Total Files	812

What's tested

Check: Exit codes and error counts match bean-check
BQL: Query results match bean-query
Files: ~800 test files downloaded from 10+ beancount repositories

_{Full results available in workflow artifacts}

codecov · 2026-07-20T17:01:52Z

Codecov Report

❌ Patch coverage is 66.66667% with 2 lines in your changes missing coverage. Please review.

Files with missing lines	Patch %	Lines
crates/rustledger/src/cmd/report_cmd/returns.rs	66.66%	2 Missing ⚠️

📢 Thoughts on this report? Let us know!

Deep review of the TWR PR found two correctness regressions plus doc/test gaps. - Report abort (CLI): twr's MissingPrice was propagated with `?`, so a price gap at any intermediate cash-flow date failed the ENTIRE report, killing the already-computed money-weighted output too. TWR needs a price at every flow date (more than MWR); a missing one now degrades TWR to n/a instead of aborting. - Closed-out position (engine): a position fully liquidated at the last flow left v_prev == 0, and the final-segment match returned None — discarding a well-defined holding-period TWR for the very common "what did my sold-out position return" case. The final segment now skips (contributes no return) when the position was closed, so the whole-period figure in `cumulative` is reported. Regression test added (buy then sell-all on the report date → ~10%, which also exercises the withdrawal/outflow sign path that had no coverage). - Removed a `.expect("non-empty")` panic path: first_date is captured during the ordered loop instead of re-derived. - Docs: the annualization now warns that sub-year spans extrapolate (a +10% month reads as ~+214%/yr); added a # Performance note that valuation is O(flow_dates x directives) with a linear single-pass left as a follow-up; the mid-stream-only None limitation clarified; the investment_value_at drift-guard comment now names the exact guarding test. Engine 46 tests, returns integration 7 tests.

robcohen · 2026-07-20T17:50:44Z

Deep review — round 1

Workflow-backed review (4 finder angles + adversarial verify) on the new TWR math. It found two genuine correctness regressions plus doc/test gaps; two findings refuted; one false positive I verified and corrected. All addressed in 6a4fabc0.

1. TWR error aborted the whole report (CONFIRMED — fixed)

TWR values the portfolio at every cash-flow date, so it needs more prices than MWR (which only needs them at transaction dates + the end). twr's MissingPrice was propagated with ?, so a price gap at any intermediate flow date failed the entire rledger report returns — killing the already-computed money-weighted output too. Fixed: a missing price now degrades TWR to n/a; the headline MWR still renders.

2. A closed-out position reported n/a instead of its return (CONFIRMED — fixed)

Buy then sell-all on the report date: the final segment saw v_prev == 0 and returned None, discarding a well-defined ~10% TWR for the very common "what did my sold-out position return" case. Fixed: the final segment now skips (adds no return) when the position was closed, so the whole-period figure already accumulated is reported. Verified end-to-end — the closed-out fixture now shows Time-weighted return 10.03% (was n/a). The regression test also exercises the withdrawal/outflow sign path, which finding 5 flagged as untested.

Refined / documented

Sub-year annualization (CONFIRMED) — the doc now warns that a short span extrapolates (a +10% month → ~+214%/yr; standard, but surprising).
Quadratic realization (CONFIRMED, perf) — labeled correctness but it's purely performance (O(flow_dates × directives); no wrong answer). Added a # Performance note and filed returns: single-pass realization for twr + shared per-group extraction (currently ~O(groups × flows × directives)) #1832 for the single-pass linear rewrite (needs a small BookingEngine borrowing iterator). Deferred rather than rush a risky rewrite of new math into this PR.
.expect() panic path — removed (first_date captured in the loop).

False positive (verified)

The "no drift-guard test exists" finding was incorrect: terminal_value_matches_account_balances_realization (added in #1818, on main) values account_balances' inventories and compares to terminal_value, which now delegates to investment_value_at — so the shared realization is guarded end-to-end. The finder missed it (it's a unit test in returns.rs, not the tests/ dir). Comment wording made precise.

Also refuted (agreed)

to_f64().unwrap_or(0.0) — unreachable for portfolio-value decimals.

46 engine tests + 7 returns integration tests; clippy/doc/fmt clean.

…iew) Round-2 review found the round-1 closed-out fix was too broad: the final segment's `Some(_) => {}` skip matched a NEGATIVE (net-short) v_prev the same as a fully-liquidated zero, so a held short position annualized cumulative=1.0 into a fabricated 0.00% TWR instead of the documented None -- asymmetric with the in-loop guard that returns None for a mid-stream vp <= 0. Final segment now distinguishes: net short (vp < 0) -> None (undefined); exactly zero (fully liquidated at the last flow) -> skip, keep cumulative. Doc clarified to match. Tests (48 engine): net-short single flow -> None (fails on the old skip), and a dividend-to-bank sub-period -> 15.5% pinning the marquee TWR path (a cash dividend paid out is credited once as return: (V + div)/V_prev), which had no coverage. Deferred: the CLI recomputes extract_flows + the end-date valuation once for MWR and again inside twr; folded into the twr efficiency rework (#1832).

robcohen · 2026-07-20T18:19:47Z

Deep review — round 2

Second workflow pass, auditing the round-1 fixes and going deeper. One real correctness bug (which I'd flagged as a risk when launching this round), its test gap, plus two cleanups. No re-litigation of round 1. All addressed in c994faf7.

Net-short reported 0.00% instead of n/a (CONFIRMED — fixed)

The round-1 closed-out fix was too broad: the final segment's Some(_) => {} skip matched a negative (net-short) v_prev the same as a fully-liquidated zero. A held short position therefore annualized cumulative = 1.0 into a fabricated 0.00% TWR instead of the documented None — asymmetric with the in-loop guard that returns None for a mid-stream vp <= 0.

Fixed: the final segment now distinguishes vp < 0 (net short → None, undefined) from vp == 0 (fully liquidated → skip, keep the accumulated return). Doc aligned. Test added: a single net-short flow → None (fails on the old skip).

Dividend-to-bank sub-period untested (CONFIRMED — test added)

The marquee TWR path — crediting income the investment paid out — had no test. Added one that pins the two-sub-period case: 10 AAPL flat but a $50 dividend paid out → sub-period (1000+50)/1000 = 1.05, then +10% → chained 15.5%. Confirms the dividend is credited exactly once (no double-count / mis-scale). The code was already correct; now it's guarded.

Deferred (cleanup)

The CLI computes extract_flows + the end-date valuation once for MWR and again inside twr. Distinct from the per-flow-date quadratic, but same family — folded into the twr efficiency rework (#1832, noted there).

48 engine tests + 7 returns integration tests; clippy/doc/fmt clean.

…ent 0 Copilot review: to_f64().unwrap_or(0.0) at the three TWR valuation sites would fabricate a wrong rate (or None) on a Decimal that cannot be represented as f64. Propagate such a conversion failure as Ok(None) (the return is undefined) instead. Behavior is identical for real portfolio decimals; this only hardens the impossible-conversion path against a silent zero. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_013gJH7uBBF9Xw9et9QFRcsU

robcohen · 2026-07-20T20:31:23Z

Thanks — addressed in b35a169f. The three to_f64().unwrap_or(0.0) sites (v_i, contribution, v_end) now use let Some(..) = ..to_f64() else { return Ok(None) }, so an unrepresentable valuation makes TWR n/a rather than a silently-fabricated 0. Behavior is identical for real portfolio decimals; this just hardens the impossible-conversion path. The O(flow_dates × transactions) perf note is tracked in #1832 (single-pass rewrite + CLI dedup). Resolving these threads.

robcohen requested a review from a team as a code owner July 20, 2026 16:52

Copilot AI review requested due to automatic review settings July 20, 2026 16:52

Copilot started reviewing on behalf of robcohen July 20, 2026 16:53

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Copilot AI reviewed Jul 20, 2026

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Comment thread crates/rustledger-returns/src/extract.rs Resolved

Comment thread crates/rustledger-returns/src/extract.rs Resolved

Comment thread crates/rustledger-returns/src/extract.rs Resolved

Comment thread crates/rustledger-returns/src/extract.rs Resolved

robcohen mentioned this pull request Jul 20, 2026

returns: single-pass realization for twr + shared per-group extraction (currently ~O(groups × flows × directives)) #1832

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robcohen merged commit ed06fd0 into main Jul 20, 2026
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robcohen deleted the feat/returns-twr branch July 20, 2026 20:56

robcohen mentioned this pull request Jul 22, 2026

feat: investment returns reporting (rledger report returns — XIRR + TWR) #1814

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feat(returns): time-weighted return (TWR) in engine and report - #1830

feat(returns): time-weighted return (TWR) in engine and report#1830
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robcohen commented Jul 20, 2026

What

Engine (rustledger-returns)

CLI (rledger report returns)

The divergence, in the tests

Tests

Scope

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Pull request overview

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📊 Benchmark Results

vs main branch (2026-07-20)

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✅ Compatibility Test Results

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robcohen commented Jul 20, 2026

Deep review — round 1

1. TWR error aborted the whole report (CONFIRMED — fixed)

2. A closed-out position reported n/a instead of its return (CONFIRMED — fixed)

Refined / documented

False positive (verified)

Also refuted (agreed)

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robcohen commented Jul 20, 2026

Deep review — round 2

Net-short reported 0.00% instead of n/a (CONFIRMED — fixed)

Dividend-to-bank sub-period untested (CONFIRMED — test added)

Deferred (cleanup)

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