A bi-weekly challenge from Andre Mirabelli & Opturo
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
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Read moreA bi-weekly challenge from Andre Mirabelli & Opturo
How should a performance modeler address the following? What criteria should be used to decide between different methods of iteration, including the seeding procedure, for the calculation of IRR? This is especially relevant if it turns out that different iteration procedures give significantly different resulting IRR values a non-negligible portion of the time. For example, would…