After a fair amount of debate, we have
decided to tweak our performance calculation formulae for single stock
performance, to account for short-long crossovers. At Covestor we bring
institutional grade measurement to individual’s portfolios, which includes
calculation of each members performance by stock and sector.
issue of the correct denominator to use in calculating daily performance in a
stock is relatively simple, except in the case of crossovers (i.e. when
a member holds a short position at the start of, or during the day, and then
goes long during the course of a day – or vice versa). Previously
we had used the closing position to determine the denominator, now we are using
the maximum of either the short or long position as the basis for calculation.
noticeable in your portfolio, in almost all instances less than one basis point,
but regardless credit goes to our financial analysts for spotting that
discrepancy during routine testing – and continuing to improve our analytics.
