Add nav_erosion_service implementation and fix dividend trend calculation

ETF_Portal/services/data_service.py

@@ -273,23 +273,28 @@ class DataService:
                         earliest_ttm = monthly_div[-12:].sum()
                         latest_ttm = monthly_div[-1:].sum()
                         if earliest_ttm > 0:
-                            dividend_trend = (latest_ttm / earliest_ttm - 1)
+                            dividend_trend = float((latest_ttm / earliest_ttm - 1))
                         else:
-                            dividend_trend = 0
+                            dividend_trend = 0.0
                     else:
                         # If less than 12 months of data, use the average
-                        dividend_trend = monthly_div.mean() if not monthly_div.empty else 0
+                        dividend_trend = float(monthly_div.mean()) if not monthly_div.empty else 0.0
                 else:
                     # Try to get dividend trend from info
-                    dividend_rate = info.get('dividendRate', 0)
+                    dividend_rate = float(info.get('dividendRate', 0))
-                    five_year_avg = info.get('fiveYearAvgDividendYield', 0)
+                    five_year_avg = float(info.get('fiveYearAvgDividendYield', 0))
                     if dividend_rate > 0 and five_year_avg > 0:
-                        dividend_trend = (dividend_rate / five_year_avg - 1)
+                        dividend_trend = float((dividend_rate / five_year_avg - 1))
                     else:
-                        dividend_trend = 0
+                        dividend_trend = 0.0
             except Exception as e:
                 logger.warning(f"Error calculating dividend trend for {ticker}: {str(e)}")
-                dividend_trend = 0
+                dividend_trend = 0.0
+            
+            # Ensure dividend_trend is a valid float
+            dividend_trend = float(dividend_trend) if dividend_trend is not None else 0.0
+            if not isinstance(dividend_trend, (int, float)) or pd.isna(dividend_trend):
+                dividend_trend = 0.0
             
             # Calculate ETF age
             inception_date = info.get('fundInceptionDate')
@@ -303,7 +308,6 @@ class DataService:
                 age_years = None
             
             # Ensure all values are valid numbers and properly formatted
-            dividend_trend = float(dividend_trend) if dividend_trend is not None else 0.0
             volatility = float(volatility) if volatility is not None else 0.0
             max_drawdown = float(max_drawdown) if max_drawdown is not None else 0.0
             sharpe_ratio = float(sharpe_ratio) if sharpe_ratio is not None else 0.0

ETF_Portal/services/nav_erosion_service.py

@@ -0,0 +1,218 @@
+"""
+NAV Erosion Service for analyzing ETF erosion risk
+"""
+
+import pandas as pd
+import numpy as np
+from typing import List, Dict, Optional
+from dataclasses import dataclass
+import logging
+from .data_service import DataService
+
+logger = logging.getLogger(__name__)
+
+@dataclass
+class ErosionRiskResult:
+    """Result of erosion risk analysis for a single ETF"""
+    ticker: str
+    nav_erosion_risk: float  # 0-9 scale
+    yield_erosion_risk: float  # 0-9 scale
+    estimated_nav_erosion: float  # Annual percentage
+    estimated_yield_erosion: float  # Annual percentage
+    nav_risk_explanation: str
+    yield_risk_explanation: str
+    etf_age_years: Optional[float] = None
+    max_drawdown: Optional[float] = None
+    volatility: Optional[float] = None
+    sharpe_ratio: Optional[float] = None
+    sortino_ratio: Optional[float] = None
+    dividend_trend: Optional[float] = None
+
+@dataclass
+class ErosionRiskAnalysis:
+    """Complete erosion risk analysis results"""
+    results: List[ErosionRiskResult]
+    timestamp: pd.Timestamp
+
+class NavErosionService:
+    """Service for analyzing ETF NAV and yield erosion risk"""
+    
+    def __init__(self):
+        self.data_service = DataService()
+        
+    def analyze_etf_erosion_risk(self, tickers: List[str]) -> ErosionRiskAnalysis:
+        """
+        Analyze erosion risk for a list of ETFs
+        
+        Args:
+            tickers: List of ETF tickers to analyze
+            
+        Returns:
+            ErosionRiskAnalysis object containing results for each ETF
+        """
+        results = []
+        
+        for ticker in tickers:
+            try:
+                # Get ETF data
+                etf_data = self.data_service.get_etf_data(ticker)
+                if not etf_data:
+                    logger.warning(f"No data available for {ticker}")
+                    continue
+                
+                # Calculate NAV erosion risk
+                nav_risk = self._calculate_nav_erosion_risk(etf_data)
+                
+                # Calculate yield erosion risk
+                yield_risk = self._calculate_yield_erosion_risk(etf_data)
+                
+                # Create result object
+                result = ErosionRiskResult(
+                    ticker=ticker,
+                    nav_erosion_risk=nav_risk['score'],
+                    yield_erosion_risk=yield_risk['score'],
+                    estimated_nav_erosion=nav_risk['estimated_erosion'],
+                    estimated_yield_erosion=yield_risk['estimated_erosion'],
+                    nav_risk_explanation=nav_risk['explanation'],
+                    yield_risk_explanation=yield_risk['explanation'],
+                    etf_age_years=etf_data.get('age_years'),
+                    max_drawdown=etf_data.get('max_drawdown'),
+                    volatility=etf_data.get('volatility'),
+                    sharpe_ratio=etf_data.get('sharpe_ratio'),
+                    sortino_ratio=etf_data.get('sortino_ratio'),
+                    dividend_trend=etf_data.get('dividend_trend')
+                )
+                
+                results.append(result)
+                
+            except Exception as e:
+                logger.error(f"Error analyzing {ticker}: {str(e)}")
+                continue
+        
+        return ErosionRiskAnalysis(
+            results=results,
+            timestamp=pd.Timestamp.now()
+        )
+    
+    def _calculate_nav_erosion_risk(self, etf_data: Dict) -> Dict:
+        """
+        Calculate NAV erosion risk score and explanation
+        
+        Args:
+            etf_data: Dictionary containing ETF data
+            
+        Returns:
+            Dictionary with risk score, estimated erosion, and explanation
+        """
+        try:
+            # Get relevant metrics
+            volatility = float(etf_data.get('volatility', 0))
+            max_drawdown = float(etf_data.get('max_drawdown', 0))
+            sharpe_ratio = float(etf_data.get('sharpe_ratio', 0))
+            sortino_ratio = float(etf_data.get('sortino_ratio', 0))
+            age_years = float(etf_data.get('age_years', 0))
+            
+            # Calculate risk score components
+            volatility_score = min(9, int(volatility * 20))  # Scale volatility to 0-9
+            drawdown_score = min(9, int(max_drawdown * 20))  # Scale drawdown to 0-9
+            risk_adjusted_score = min(9, int((2 - min(2, max(0, sharpe_ratio))) * 4.5))  # Scale Sharpe to 0-9
+            age_score = min(9, int((5 - min(5, age_years)) * 1.8))  # Scale age to 0-9
+            
+            # Calculate final risk score (weighted average)
+            risk_score = (
+                volatility_score * 0.3 +
+                drawdown_score * 0.3 +
+                risk_adjusted_score * 0.2 +
+                age_score * 0.2
+            )
+            
+            # Estimate annual erosion based on risk score
+            estimated_erosion = risk_score * 0.01  # 1% per risk point
+            
+            # Generate explanation
+            explanation = []
+            if volatility_score > 6:
+                explanation.append(f"High volatility ({volatility:.1%})")
+            if drawdown_score > 6:
+                explanation.append(f"Large drawdowns ({max_drawdown:.1%})")
+            if risk_adjusted_score > 6:
+                explanation.append(f"Poor risk-adjusted returns (Sharpe: {sharpe_ratio:.2f})")
+            if age_score > 6:
+                explanation.append(f"New ETF ({age_years:.1f} years)")
+                
+            explanation = ", ".join(explanation) if explanation else "Moderate risk profile"
+            
+            return {
+                'score': float(risk_score),
+                'estimated_erosion': float(estimated_erosion),
+                'explanation': explanation
+            }
+            
+        except Exception as e:
+            logger.error(f"Error calculating NAV erosion risk: {str(e)}")
+            return {
+                'score': 5.0,  # Default to middle risk
+                'estimated_erosion': 0.05,  # Default to 5%
+                'explanation': "Unable to calculate precise risk"
+            }
+    
+    def _calculate_yield_erosion_risk(self, etf_data: Dict) -> Dict:
+        """
+        Calculate yield erosion risk score and explanation
+        
+        Args:
+            etf_data: Dictionary containing ETF data
+            
+        Returns:
+            Dictionary with risk score, estimated erosion, and explanation
+        """
+        try:
+            # Get relevant metrics
+            dividend_trend = float(etf_data.get('dividend_trend', 0))
+            volatility = float(etf_data.get('volatility', 0))
+            max_drawdown = float(etf_data.get('max_drawdown', 0))
+            age_years = float(etf_data.get('age_years', 0))
+            
+            # Calculate risk score components
+            trend_score = min(9, int((1 - min(1, max(-1, dividend_trend))) * 4.5))  # Scale trend to 0-9
+            volatility_score = min(9, int(volatility * 20))  # Scale volatility to 0-9
+            drawdown_score = min(9, int(max_drawdown * 20))  # Scale drawdown to 0-9
+            age_score = min(9, int((5 - min(5, age_years)) * 1.8))  # Scale age to 0-9
+            
+            # Calculate final risk score (weighted average)
+            risk_score = (
+                trend_score * 0.3 +
+                volatility_score * 0.3 +
+                drawdown_score * 0.2 +
+                age_score * 0.2
+            )
+            
+            # Estimate annual erosion based on risk score
+            estimated_erosion = risk_score * 0.01  # 1% per risk point
+            
+            # Generate explanation
+            explanation = []
+            if trend_score > 6:
+                explanation.append(f"Declining dividends ({dividend_trend:.1%})")
+            if volatility_score > 6:
+                explanation.append(f"High volatility ({volatility:.1%})")
+            if drawdown_score > 6:
+                explanation.append(f"Large drawdowns ({max_drawdown:.1%})")
+            if age_score > 6:
+                explanation.append(f"New ETF ({age_years:.1f} years)")
+                
+            explanation = ", ".join(explanation) if explanation else "Moderate risk profile"
+            
+            return {
+                'score': float(risk_score),
+                'estimated_erosion': float(estimated_erosion),
+                'explanation': explanation
+            }
+            
+        except Exception as e:
+            logger.error(f"Error calculating yield erosion risk: {str(e)}")
+            return {
+                'score': 5.0,  # Default to middle risk
+                'estimated_erosion': 0.05,  # Default to 5%
+                'explanation': "Unable to calculate precise risk"
+            }