A bi-weekly challenge from Andre Mirabelli & Opturo (July 20, 2020)
How should a performance modeler address the following?
Is the return of a short, considered itself as a financial instrument or derivative investment vehicle, the return of its underlying (i.e., the shorted holding), implying that when the short loses money that “the return of the short” itself is positive? That is, if a short lost money on a day, is it best to report that the short itself had a positive return for that day?
A bi-weekly challenge from Andre Mirabelli & Opturo (July 20, 2020)
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Read moreA bi-weekly challenge from Andre Mirabelli & Opturo (August 3, 2020)
How should a performance modeler address the following?For an illiquid, how do you assign/interpolate returns for each day in a year in a manner that does not misrepresent its daily volatility, when one only knows the returns for each of the four quarters in the year?