Serving the Quantitative Finance Community

User avatar
Topic Author
Posts: 17
Joined: August 22nd, 2007, 3:14 pm

Holiday P&L

June 21st, 2022, 5:40 pm

Hi All,

If Im working at a Global Hedge fund, where our PMs trade all markets (Europe, LATAM, US, Asia) etc..., what are your thoughts on reporting the P&L when there is a holiday in the US or in the UK for example?

In other words, should we report P&L/Risk when it is a UK holiday?  For a Universal holiday like Xmas for example, its obvious you wouldnt report PL for the 25th, but what about Boxing Day (26th Dec) - the US is Open and the UK is closed - should we report P&L for the 26th (i.e. if the answer is Yes then what about RV trades UK v US - surely that would create Lop sided PL)

Please do let me know your thoughts - what factors should we look at in determining what is considered a Holiday and when should we report numbers?  Obviously for weekends and universal holidays you dont, but more so when there are Jurisdicational holidays..

Thanks v much!