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PROGRAM:

NAME

beancounter - Stock portfolio performance monitor tool

SYNOPSYS

beancounter [options] command [command_arguments ...]

COMMANDS

addindex index args add stock(s) to market index 'indx'
addportfolio sym:nb:fx:type:o:pp:pd ...
add 'nb' stocks of company with symbol 'sym'
that are listed in currency 'fx' to the
portfolio with optional 'type' and 'owner'
info, purchase price 'pp' and date 'pd';
see below for a complete example
allreports combines dayendreport, status and risk
addstock arg ... add stock(s) with symbol arg to the database
advancement report on unrealized gains from lows
backpopulate arg ... fill with historic data for given stock(s)
checkdbconnection test if connection to db can be established
dailyjob combines update, dayendreport, status + risk
dayendreport reports p/l changes relative to previous day
deactivate symbol ... set stock(s) inactive in stockinfo table
delete arg ... delete given stock(s) from database
destroydb delete the BeanCounter database
fxbackpopulate arg ... fill with historic data for currency(ies)
lsportfolio list portfolio data
plreport run an portfolio p/l report rel. to any day
quote arg ... report current data for given stock(s)
retracement report unrealized losses from highs (drawdowns)
risk display a portfolio risk report
split arg ... split-adjust price history and portfolio
status status summary report for portfolio
update update the database with day's data
warranty display the short GNU GPL statement

OPTIONS

--help show this help
--verbose more verbose operation, debugging
--date date report for this date (today)
--prevdate date relative to this date (yesterday)
--currency fx set home currency
--restriction sql impose SQL restriction
--extrafx fx1,fx2,... additional currencies to load
--forceupdate date force db to store new price info with date
--rcfile file use different configuration file
--[no]fxupdate enforce/suppress FX update, default is update
--[no]commit enforce/suppress database update, default is commit
--[no]equityupdate enforce/suppress Equity update, default is update
--[no]ubcfx use/skip FX from UBC's Sauder school, default skip
--splitby arg split stock history + position by this factor [2]
--dbsystem system use db backend system, default is PostgreSQL
--dbname name use db name, default is beancounter

DESCRIPTION

beancounter gathers and analyses stock market data to evaluate portfolio performance. It
has several modes of operation. The first main mode is data gathering: both current data
(e.g. end-of-day closing prices) and historical price data (to back-populate the database)
can be retrieved both automatically and efficiently with subsequent local storage in a
relational database system (either PostgreSQL, MySQL or SQLite) though any other system
with an ODBC driver could be used). The second main mode is data analysis where the stored
data is evaluated to provide performance information. Several canned reports types are
already available.

Data is retrieved very efficiently in a single batch query per Yahoo! host from the
Yahoo! Finance web sites using Finance::YahooQuote module (where version 0.18 or newer is
required for proxy support). Support exists for North America (i.e. US and Canada), Europe
(i.e. the Continent as well as Great Britain), several Asian stock markets, Australia and
New Zealand.

beancounter can aggregate the change in value for the entire portfolio over arbitrary time
horizons (provided historical data has either been gathered or has been backpopulated).
Using the powerful date-parsing routine available to Perl (thanks to the Date::Manip
modules), you can simply say 'from six months ago to today' (see below for examples).

beancounter has been written and tested under Linux. It should run under any standard Unix
as long as the required Perl modules are installed, as as long as the database backend is
found.

EXAMPLES

beancounter update --forceupdate today

This updates the database: it extends timeseries data (such as
open, low, high, close, volume) with data for the current day,
and overwrites static data (such as capital, price/earnings, ...)
with current data. All stocks held in the database are updated
(unless the --restriction argument instructs otherwise). The
--forceupdate option lets the program corrects incorrect dates
returned from Yahoo! (which happens every now and so often), but
be careful to correct for this on public holidays. Note that
the --restriction argument will be applied to the portfolio table,
whereas the overall selection comes from the stockinfo table.

beancounter addportfolio IBM:100:USD:401k:joe:90.25:20000320 \
SPY:50:USD:ira:joe:142.25:20000620

This adds IBM to the 401k portfolio of Joe, as well as SP500
'Spiders' to his IRA portfolio. The stocks are also added to the
general stock info tables via an implicit call of the stockinfo
command.

beancounter addstock LNUX RHAT COR.TO

This adds these three Linux companies to the database without adding
them to any specific portfolios.

beancounter backpopulate --prevdate '1 year ago' \
--date 'friday 1 week ago' IBM MSFT HWP

This backpopulates the database with historic prices for three
hardware companies. Note how the date specification is very general
thanks to the underlying Date::Manip module.

beancounter fxbackpopulate --prevdate '1 year ago' \
--date 'friday 1 week ago' CAD EUR GBP

This backpopulates the database with historic prices for these
three currencies. Note how the date specification is very general
thanks to the underlying Date::Manip module.

Unfortunately, Yahoo! is a little bone-headed in its implementation
of historic FX rates -- these are stored to only two decimals
precision, just like stockprices. Unfortunately, convention is to
use at least four if not six. Because of the limited information,
risk from FX changes will be underestimated.

beancounter plreport --prevdate '1 month ago' --date 'today' \
--restriction "owner='joe'"

This calculates portfolio profits or losses over the last month. It
also imposes the database restriction that only stocks owned by
'joe' are to be included.

beancounter status --restriction "type='401k'"

This shows a portfolio status report with the restriction that only
stocks from the '401k' account are to be included.

beancounter risk --prevdate "6 month ago"

This shows a portfolio risk report. This tries describes the
statistically plausible loss which should be exceeded only 1 out
of 100 times (see below for more details).

beancounter dailyjob --forceupdate today

Run a complete 'job': update the database, show a day-end profit/loss
report, show a portfolio status report and show a riskreport. In the
update mode, override a potentially wrong date supplied by Yahoo!
with the current date.

beancounter split --splitby 3 --prevdate 1990-01-01 ABC CDE

Split-adjusts the (hypothetical) stocks ABC and CDE by a factor
of three: price data in the database is divided by three, volume
increased by 3 and similarly, in the portfolio shares are increased
and cost is descreased. Default dates are --prevdate and --date
which may need adjusting.

TUTORIAL

The following few paragraphs will illustrate the use of beancounter. We will set up two
fictional accounts for two brothers Bob and Bill (so that we can illustrate the 'owner'
column). The prices below are completely fictitious, as are the portfolios.

We suppose that beancounter is installed and that the setup_beancounter command has been
run. We can then create a two-stock (computer hardware) portfolio for Bob as follows:

beancounter addportfolio SPY:50:USD:401k:bob:142.25:20000620 \
IBM:100:USD:401k:bob:90.25:20000320

Here we specify that 100 shares each of SPY and IBM, priced in US Dollars, are in Bob's
portfolio which is tagged as a 401k retirement account. The (fictitious) purchase price
and date are also given.

Let's suppose that Bill prefers networking equipment, and that he has a brokerage account
in Canada:

beancounter addportfolio CSCO:100:USD:spec:bill:78.00:19990817 \
NT.TO:200:CAD:spec:bill:cad:90.25:20000212

Now we can backpopulate the database from 1998 onwards for all four stocks:

beancounter backpopulate --prevdate 19980101 CSCO IBM NT.TO SPY

With this historical data in place, we now compare how Bob's portfolio would have fared
over the last 18 months:

beancounter plreport --prevdate '18 months ago' \
--restriction "owner='bob'"

Note how we use double quotes to protect the arguments, and how the SQL restriction
contains a further single quote around the literal string.

We can also review the performance for Bill at the most recent trading day:

beancounter dayendreport --restriction "owner='bill'"

or the status of holdings and their respective values:

beancounter dayendreport --restriction "owner='bill'"

Similarly, a risk reports can be run on this portfolios per

beancounter risk --restriction "owner='bill'"

MORE DETAILED COMMAND DESCRIPTION

addportfolio is the most important 'position entry' command. As with other commands,
several arguments can be given at the same time. For each of these, records are separated
using a colon and specify, in order, stock symbol, number of stocks held, currency,
account type, account owner, purchase price and purchase date. Only the first three
arguments are required, the others are optional. Executing addportfolio implicitly
executes addstock. The account type column can be used to specify whether the account is,
e.g., a tax-sheltered retirement account, or it could be used to denote the brokerage
company is it held at.

plreport retrieves the most recent quotes(s). This is useful for illiquid securities which
might not have traded that day, or if a public holiday occurred, or if there was a data
error at Yahoo!. Two dates can be specified which determine the period over which the
profit or loss is computed. This will fail if price data (or currency data in the case of
foreign stocks data) data is not available for either of those two dates. This may be
restrictive for foreign stocks where we cannot backpopulate due to lack of public data
source for historical currency quotes. Major currencies can be retrieved from Yahoo!, but
only to two decimals precisions.

dayendreport is similar to plreport but is always over a one-day period. It also uses
only one date record by calculating performance given the 'previous close' data.

status shows holdings amounts, total position values, annualized returns in percentages
and holding periods in days. Note that the annualized returns can appear excessive if,
e.g., a ten-day return from a recently purchased stock is extrapolated to an annual time
period.

risk shows a portfolio risk report which describes the statistically plausible loss which
should be exceeded only 1 out of 100 times. In other words, the loss estimate has a
critical level of 99%. This risk level is estimated via two methods. The first is non-
parametric and assumes no particular model or distribution; it computes the 1% quintile of
the return distribution and displays it as well as the corresponding asset value at risk.
The second method uses the standard Value-at-Risk (VaR) approach. This uses the 1%
critical value of the Normal distribution and implicitly assumes a normal distribution for
returns. See "http://www.gloriamundi.org" for more introduction and references. If the
distribution of normalitty was perfectly true, both measures would coincide. A large
difference between the two estimates would indicate that the return distribution might be
rather non-normal. Another view of the riskiness of a given position is provided by the
last column with the 'margVaR' heading. It shows the marginal Value-at-Risk. Marginal VaR
is commonly defined as the risk contribution of the given position to the total portfolio,
and calculated as the difference in the VaR of the full portfolio and the VaR of an
otherwise identical portfolio with the given position removed. Note that calculating
marginal VaR is fairly slow (on the order of O(n^3) ].

retracement shows a 'drawdown' report. Drawdown is commonly defined as the percentage loss
relative to the previous high. The default period is used, but can be altered with the
--date and --prevdate options. The default period is also corrected for the actual holding
period. In other words, if a stock has been held for two months, only those two months are
used instead of the default of six months -- but if the last months has been selected via
--prevdate then it is used. For short positions, the analysis is inverted and relative to
the previous low. The report displays each stock, the number of shares held, the current
price and holdings value. The next two columns show the maximum price attained in the
examined period, and the percent decline relative to it. The last column shows the
unrealized loss relative to the maximum price over the period. The aggregate holdings
value, percent decline and unrealized loss are shown as well.

advancement does the opposite of drawdown -- it computes unrealized gains relative to the
minimum price in the period. The discussion in the preceding paragraph applies `but
inverted'.

lsportfolio simply lists the content of the portfolio table. A SQL restriction can be
imposed.

addindex adds stocks a the index table. Currently, no further analysis references this
table.

addstock adds stocks to the database. From then on data will be retrieved for the given
symbol(s) and stored in the database whenever the update command is executed.

backpopulate fills the database with historic prices for the given symbols and date
period. Note that this works well for stocks and mutual fund. Options have no historic
data stored. Currencies are stored with limited precision as noted above.

quote simply shows a price quote for the given symbol(s).

update updates the database with quotes for all stocks for the given day. No output is
generated making the command suitable for cron execution.

dailyjob is a simple convenience wrapper around update, dayendreport, status and risk,

allreports is a another covenience wrapper around dayendreport, status and risk.

deactivate will set the active column in stockinfo for the given symbol(s) to false
thereby inhibiting any further updates of symbol(s). The existing data for symbol(s) is
retained. Use this when a stock is acquired, delisted, or you simply want to stop tracking
it -- but do not want to purge the historical data.

split adjusts the price database, and the portfolio holdings, for stock splits. The
default factor is 2, this can be adjusted with the option --splitby. The dates arguments
can be set with --prevdate and --date.

delete removes the given symbols from the database.

destroydb deletes the BeanCounter database.

checkdbconnection simply opens and closes the database handle, and returns a specified
exit code which can then be tested. This is used in the setup_beancounter command.

warranty display a short GNU General Public License statement.

MORE DETAILED OPTION DESCRIPTION

--currency can be used to select a different home currency. Instead of having all values
converted to the default currency, the selected currency is used.

--date allows to choose a different reference date. This is then be be used by commands
working on a date, or date period, such as plreport, dayendreport, backpopulate,
fxbackpopulate or status. --prevdate allows to choose a different start date for return
calculations, or data gathering.

--restriction can be used to restrict the database selection. The argument must be a valid
part of valid SQL statement in the sense that existing columns and operators have to be
employed. The argument to this option will be completed with a leading and. The SQL
restriction will typcally be over elements of the portfolio table which comprises the
columns symbol, shares, currency, type, owner, cost and date. A simple example would be
currency='CAD'. Note that this has to protected by double quotes "I on the command-line.

--extrafx allows to gather data on additional currency rates beyond those automatically
selected as shares are listed in them. A typical example would be for a European investor
wanting to convert from the EUR in which the shares are listed into one of the member
currencies which beancounter would no longer retrieve as shares are no longer listed in
these.

--forceupdate allows to overwrite an potentially wrong date in the database update.
Unfortunately, it appears that Yahoo! occasionally reports correct prices with an
incorrect date such as the previous day's. In such a case, this option, along with an
argument such as 'today' can override the bad date datapoint and avoid a hole in the
database. The downside of this approach is that it would "double" the previous data in the
case of a public holiday, or even if it was run the weekend. A somewhat smarter comparison
to previously stored data might prevent that, but would be more complex to implement.

--rcfile allows to specify a resource file different from the default ~/.beancounterrc.

--dbsystem allows to switch to a different database backend. The default is PostgreSQL but
MySQL and SQLite are also supported. For SQLite, the default is now version 3.* but the
previous version -- which is not binarily compatible -- is supported as well with argument
'SQLite2'.

--dbname allows to switch to an alternate database. The default is 'beancounter'. This can
be useful for testing new features.

--fxupdate is a boolean switch to enforece updates of FX rates during 'update'. The
default is 'true' but '--nofxupdate' can be used to suppress the update of foreign
exchange rates.

Similarly, --equityupdate is a boolean switch to enforece, or suppress updates of Equity
(i.e. stock) data during 'update'. The default is 'true' but '--noequityupdate' can be
used to suppress the update of foreign exchange rates.

--ubcfx is a boolean switch to use the 'PACIFIC' FX rate service from the Sauder School at
UBC. This is useful when the default FX rate service at Yahoo! is erratic, or unreliable.
While the PACIFIC server provides a wider variety of exchange rates, Yahoo! can still be
useful as it can provide more columns (open/high/low). However, during most of 2005,
Yahoo! has been unrealiable for the exchange rates and has not provided historical FX
data. On the other hand, the UBC service does not run on Canadian holidays so it cannot
really server as a full substitute. Contributions for a new data acquisition, maybe via
www.oanda.com would be welcome.

--splitby can be used to set a stock split factor other than the default of 2.

--host can be used to point to a machine containing the PostgreSQL or MySQL database. The
machine can be remote, or it can be the actual machine beancounter is running on. If a
hostname is given, tcp/ip connection are used. If no hostname is given, the default value
of 'localhost' implies that local socket connections are used which may be easier to
employ for less experienced adatabase users.

Also, --commit is a boolean switch to suppress actual database updates if the negated
--nocommit is selected. This is useful mostly in debugging contexts.

The --verbose and --debug switches can be used in debugging an testing, and --help
triggers the display of help message.

SYSTEM OVERVIEW

The following section details some of the database and configuration options.

DATABASE REQUIREMENTS
beancounter currently depends on either PostgreSQL, MySQL, SQLite (version 2 or 3) or any
other database for which an ODBC driver is available (though the required tables would
have to created manually in the ODBC case). Yet another DB backend could be added provided
suitable Perl DBI drivers are available. For PostgreSQL, MySQL and SQLite, the
setup_beancounter script can create and initialize the database, form the required tables
and fills them with some example data. It is a starting point for local modifications.

The connection to the database is made via a dedicated function in the BeanCounter.pm
module, changes would only have to be made there. As of this writing the Perl DBI (the
database-independent interface for Perl) is used along the DBI drivers for PostgreSQL,
MySQL, SQLite and ODBC. Ports for Oracle, Sybase, ... are encouraged.

CONFIG FILE
A configuration file ~/.beancounterrc is read if found. It currently supports the
following options:

currency to specify into which home currency holdings and profits/losses have to be
converted
host to specify the database server on which the BeanCounter database resides (this is
needed only for the alternate connection via the DBI-Pg driver in case DBI-ODBC is not
used)
user to specify the userid for the database connection; if needed. If not specified, the
current user id is used.
passwd to specify the password for the database connection, if needed.
dbsystem to select a database backend, e.g. to switch from PostgreSQL to MySQL or SQLite
or SQLite2 (the previous format of SQLite).
dbname to select a different default database name other than the default of 'beancounter'
proxy to specify the address of a firewall proxy server if one is needed to connect to the
Internet.
firewall to specify a firewallid:firewallpasswd combination, if needed.
odbc is a switch to turn ODBC connection on or off
dsn to use a different data source name when ODBC is used
An example file example.beancounterrc should have come with the sources (or the
Debian package); please consult this file for more examples.

ODBC CONFIGURATION
There are now several ODBC systems available for Linux / Unix. The following ~/.odbc.ini
work with the iODBC library and the PostgreSQL ODBC driver on my Debian GNU/Linux system:

[ODBC Data Sources]
beancounter = BeanCounter Database

[beancounter]
Driver = /usr/lib/libpsqlodbc.so
Database = beancounter
Servername = localhost

[ODBC]
InstallDir = /usr/lib

Alternatively, the unixODBC library can be used with the following scheme for
/etc/odbcinst.ini (or ~/.odbcinst.ini) to define the Postgres database drivers

[PostgreSQL]
Description = PostgreSQL ODBC driver for Linux and Windows
Driver = /usr/lib/postgresql/lib/libodbcpsql.so
Setup = /usr/lib/odbc/libodbcpsqlS.so
Debug = 0
CommLog = 0
FileUsage = 1

after which /etc/odbc.ini (or ~/.odbc.ini) can be used to define actual data sources as
follows:

[PostgreSQL]
Description = PostgreSQL template1
Driver = PostgreSQL
Trace = No
TraceFile = /tmp/odbc.log
Database = template1
Servername = localhost
UserName =
Password =
Port = 5432
Protocol = 6.4
ReadOnly = Yes
RowVersioning = No
ShowSystemTables= No
ShowOidColumn = No
FakeOidIndex = No
ConnSettings =

[beancounter]
Description = Beancounter DB (Postgresql)
Driver = Postgresql
Trace = No
TraceFile =
Database = beancounter
Servername = some.db.host.com
UserName =
Password =
Port = 5432
Protocol = 6.4
ReadOnly = No
RowVersioning = No
ShowSystemTables= No
ShowOidColumn = No
FakeOidIndex = No
ConnSettings =

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