Decomposing total P&L into holding and trading gain/loss

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You can choose to decompose total P&L for a holding into:

  • Holding P&L (“Buy/Hold”), which is gain/loss from a change in value during a window, ignoring any transactions.

  • Trading P&L (“Execution”), which is gain/loss from purchases/sales during a window.

This methodology distinguishes returns generated by market movements from returns generated by trading decisions, enabling you to evaluate trader skill versus passive exposure.

Note: Alternatively, you can decompose total P&L into realised and delta unrealised gain/loss, but you shouldn’t mix the two methodologies in the same valuation report.

You can decompose total P&L in holding currency using the following metrics:

ProfitAndLoss/Total

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ProfitAndLoss/Attribution/Total/Held

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ProfitAndLoss/Attribution/Held/Market

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ProfitAndLoss/Attribution/Held/Other

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ProfitAndLoss/Attribution/Total/Trading

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ProfitAndLoss/Attribution/Trading/Market

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ProfitAndLoss/Attribution/Trading/Other

Note: LUSID classifies P&L from carry activity, amortisation and accrual as Other. Note carry activity is only reported if transaction types have explicit Carry or CarryAsPnl movements.

You can decompose total P&L in portfolio currency using the following metrics, to understand the impact of exchange rate fluctuations between holding and portfolio currencies:

ProfitAndLoss/Total/PortfolioCcy

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ProfitAndLoss/Attribution/Total/Held/PortfolioCcy

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ProfitAndLoss/Attribution/Held/Market/PortfolioCcy

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ProfitAndLoss/Attribution/Held/Fx/PortfolioCcy

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ProfitAndLoss/Attribution/Held/Other/PortfolioCcy

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ProfitAndLoss/Attribution/Total/Trading/PortfolioCcy

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ProfitAndLoss/Attribution/Trading/Market/PortfolioCcy

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ProfitAndLoss/Attribution/Trading/Market/PortfolioCcy

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ProfitAndLoss/Attribution/Trading/Other/PortfolioCcy