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Issues brought up backtesting with VMIN
James Hutchison
posted May 7, 2017
ETFs

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.

6 responses
Alisa Deychman
May 8, 2017

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

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

James Hutchison
May 8, 2017

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

Joseph Everly
May 8, 2017

@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.

Alisa Deychman
May 9, 2017

@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.

Joseph Everly
May 9, 2017

@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!

Alisa Deychman
May 9, 2017

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.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.