CAGR calculations

[localperf]

I'm looking at the last 5 years of FAGIX (5/31/2019 - 5/31-2024).

Morningstar today says the 5-year trailing return is 7.14%

Quantstats tearsheet says the cumulative return is -6.76% and the CAGR is - 0.8%.

Close prices on first and last days of the 5 year period are $9.79 and $9.90 -- a small positive return.
Adjusted closing prices on those two days are $7.12 and $9.90, a cumulative return of 39%; and a CAGR of 6.8%

The 6.8% calculated here seems "close" to the 7.14% reported by Morningstar -- I don't know why they differ.

Bottom line: I think quantstats utils.download_returns should calculate returns using the Adj Close prices, not the Close prices.

I may easily be missing something -- but I'd like to be able to check quantstats with other sources.

Thanks for a GREAT package!

[jakewillms17]

Hey the reason they differ is because the utils_cagr function is incorrectly counting calendar days instead of trading days when identifying the annualization period.

years = (returns.index[-1] - returns.index[0]).days / periods

this method will unfortunately count calendar days, when in reality it would be more accurate to count the length of the returns object.

hopefully they fix this, I had to do this locally as I was getting incorrect CAGR's.

[grzesir]

Check out https://github.com/Lumiwealth/quantstats_lumi, which is being updated regularly. We are a fork of this library that is being maintained by Lumiwealth