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Issues brought up backtesting with VMIN

VMIN paid out a large dividend recently and correspondingly lowered the NAV value. This creates an issue when running a backtest because the account appears to have a large drawdown when it really doesn't. Likewise, the dividends seem to show up magically but in the backtest I don't see a way to see what they were (the cash balance simply increases).

It seems for the purposes of calculating account value and correspondingly drawdown, pending dividends should be factored in. In the backtest given, VMIN absolutely killed, but the drawdown appears much higher than it really was. Likewise, it would be nice to see when dividends show up in the account.

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 590f97668e8ff361d1e7461f
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6 responses

James, thanks for letting us know, we will take a look at the missing dividend.

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The dividend isn't missing, but that 33% dip is the difference between the NAV dropping and the dividend showing up in the account

@Alisa,

Is there a way to pull the NAV into an algorithm programatically via Morningstar or something else? That is something I have wondered for a while but haven't been able to find.

@james, oops - you're right, I misread the statement. Looks like there's a bug where performance and risk calculations don't account for dividends that have been earned but not yet payed. It's been filed internally and we'll take a look at it, thanks for reporting.

@joseph, you can use 'context.portfolio.portfolio_value' to fetch your current value and use to determine the portfolio weights.

@Alisa - Thanks, but I actually am looking for the underlying Net Asset Value of an ETF, which could be different from the current value that the ETF trades at. Sorry if I wasn't clear!

Ah, we do not have morningstar fundamental data for ETFs, it is stock-only. You can try to approximate this information by calculating the NAV of the ETF constituents but you would need the weighting of the ETF.