How is account strategy performance calculated?

Manage
1

Happy Thanksgiving folks.

I’m hoping someone at p123 can explain how performance is calculated for an account strategy, specifically for an account strategy that has both long and short positions. By account strategy performance, I mean the strategy performance shown at https://www.portfolio123.com/app/account/details?id=<account_id>&t=perf.

Under the Manage umbrella, I can see three different measures of performance:

  1. Account Performance
  2. Strategy Performance
  3. Model Performance

I can clearly see that the account performance (#1) is computed as the change in account net asset value (NAV). Similarly, if I drill down into the model (live book or strategy) that an account strategy may follow, I can see the model performance (#3) is exactly the change in NAV of the underlying live book/strategy.

But for #2, I can’t figure out how the strategy performance is computed for a long/short strategy. It doesn’t seem to be equal to the return relative to NAV, gross exposure (long + abs(short) equity), or net exposure (long + short), though the plot of strategy “Value” shown underneath looks to be net exposure.

Could you help illuminate this please?

Thanks.

2

There is a bug in the way strategy performance is computed when a strategy has short positions. We are working on getting it fixed, but for now strategy performance with long/short models isn’t quite correct.

3

Thanks Yuval, appreciate the quick response. Good to know I’m not going crazy…

4

Yuval, are you able to provide any color here on what the proposed fix is and when it will be implemented?

Thanks.