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Quantitative Finance · Begrippenlijst

Wat is Daily P&L attribution?

Ook bekend als: daily P\&L attribution

Definition 1.3 Strategies I: Equities and Futures · Hoofdstuk 1 — Anatomy of a Stat-Arb Book

Daily P&L attribution splits a book’s P&L for the day into the part explained by its factor exposures times the risk model’s factor returns, the specific part (its weights times the stocks’ specific returns), trading costs and financing, so that the parts add up to the P&L.

The daily cycle of a stat-arb book.
Figure 1.2. The daily cycle of a stat-arb book.
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