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feat(portfolio): add deduct_management_fee for flat annual fee deduction - #901

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copilot/add-management-fee-deduction-utility
Jul 29, 2026
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feat(portfolio): add deduct_management_fee for flat annual fee deduction#901
tschm merged 5 commits into
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copilot/add-management-fee-deduction-utility

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Copilot AI commented Jul 29, 2026 •
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Summary

Adds Portfolio.deduct_management_fee to subtract a flat annual management fee from a returns series, accruing pro-rata per calendar day (annual_fee × days_elapsed / 365). Weekends and holidays are charged to the next trading day; the first row always accrues nothing.

Changes

  • exceptions.py — new NegativeAnnualFeeError (mirrors NegativeCostBpsError)
  • _portfolio_base.py — adds annual_fee: float to _PortfolioMembers TYPE_CHECKING stubs
  • portfolio.py — adds annual_fee: float = 0.0 dataclass field; updates cost-model docstring section; updates from_cash_position to accept and forward annual_fee
  • _portfolio_constructors.py — from_position and from_risk_position accept and forward annual_fee
  • _portfolio_cost.py — implements deduct_management_fee(annual_fee, base):
    • Uses actual calendar-day diffs when a date column is present; falls back to 1 day/period otherwise
    • base defaults to self.returns; accepts any same-schema DataFrame so it composes with cost_adjusted_returns
    • Full input validation (type, finite, non-negative)
  • test_costs.py — 16 new tests (zero-fee identity, per-period analytical values, full-year sum, weekend accumulation, composition, validation errors, factory forwarding)
# Set at construction
pf = Portfolio.from_cash_position(prices=prices, cash_position=pos, aum=1e6, annual_fee=0.0085)
net = pf.deduct_management_fee()

# Or compose with trading costs
adj = pf.cost_adjusted_returns(cost_bps=5)
net = pf.deduct_management_fee(annual_fee=0.0085, base=adj)

Testing

  • make test passes locally
  • make fmt has been run
  • New tests added (or explain why not needed)

Checklist

  • Commit messages follow the Conventional Commits format
  • CHANGELOG.md entry added (or not needed for this change)
  • Documentation updated if behaviour changed
  • make deptry passes (no unused or missing dependencies)

Copilot AI review requested due to automatic review settings July 29, 2026 09:23
Copilot AI reviewed Jul 29, 2026

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Copilot was unable to review this pull request because there is no eligible user to bill. To allow Copilot reviews on bot-authored pull requests, enable direct organization billing in your organization's Copilot settings.

Copilot AI linked an issue Jul 29, 2026 that may be closed by this pull request
Add management fee deduction utility #898
Closed
Copilot AI review requested due to automatic review settings July 29, 2026 09:32
Copilot AI reviewed Jul 29, 2026

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github-code-quality[bot]
github-code-quality Bot found potential problems Jul 29, 2026
View reviewed changes
Comment thread tests/test_jquantstats/test_portfolio/test_costs.py Fixed
Comment thread tests/test_jquantstats/test_portfolio/test_costs.py Fixed
Comment thread tests/test_jquantstats/test_portfolio/test_costs.py Fixed
Comment thread tests/test_jquantstats/test_portfolio/test_costs.py Fixed
Copilot AI review requested due to automatic review settings July 29, 2026 09:33
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Copilot AI review requested due to automatic review settings July 29, 2026 09:35
Copilot AI reviewed Jul 29, 2026

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Copilot AI changed the title [WIP] Add management fee deduction utility feat(portfolio): add deduct_management_fee for flat annual fee deduction Jul 29, 2026
Copilot finished work on behalf of tschm July 29, 2026 09:36
Copilot AI requested a review from tschm July 29, 2026 09:36
@tschm
tschm marked this pull request as ready for review July 29, 2026 12:24
@tschm @claude
style: satisfy ruff lint and format in management fee tests
e0b0be2 
Replace the ambiguous en dash and arrow in a comment with ASCII (RUF003)
and let ruff format normalise the inline weekday comments.

Co-Authored-By: Claude Opus 5 (1M context) <noreply@anthropic.com>
Copilot AI review requested due to automatic review settings July 29, 2026 15:32
Copilot AI reviewed Jul 29, 2026
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Pull request overview

Copilot reviewed 6 out of 6 changed files in this pull request and generated no new comments.

Comments suppressed due to low confidence (1)

src/jquantstats/_portfolio_cost.py:213

  • deduct_management_fee accepts an arbitrary base frame but doesn't validate it has a 'returns' column and builds the undated days_elapsed via a Python list sized from base.height. This can fail with confusing errors (e.g., ColumnNotFound for missing 'returns') and will produce a length mismatch when base.height == 0 (creating a 1-element Series for a 0-row frame). Adding lightweight validation and generating the undated days_elapsed with pl.arange(...).clip(...) avoids both issues and keeps the operation in Polars.
        if base is None:
            base = self.returns
        if "date" in base.columns and base["date"].dtype.is_temporal():

@tschm
tschm merged commit 29dcb19 into main Jul 29, 2026
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@tschm
tschm deleted the copilot/add-management-fee-deduction-utility branch July 29, 2026 15:56
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Add management fee deduction utility

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