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geov
Transaction Prices Different

The Best(SSO-TLT) model bought SSO on Monday April 21, 2014.
On that day the price of SSO was:
Open 104.48
High 105.19
Low 104.21
Close 105.16
End of the week, Thursday April 17, it closed at 104.36

Can somebody from the P123 team explain why this model in Portfolios and Books used the end of the week price and not the Monday price, although on Tuesday, April 22, the "General Information" showed that the model’s Last Rebalance date was April 21, and Quick Stats were also as of April 21.

In Portfolios and Books it used the end of the week April 17 closing price of 104.36 plus specified slippage and commission = 104.46.
In Simulation it used April 21 prices, the specified Average of Hi/Low of 104.70 plus 0.1% slippage= 104.80.
The R2G model used April 21 prices (Hi + Lo + 2*close)/4 + slippage = 105.03

So in Portfolio and Books the transaction price is wrong. This cannot be the end of the week price when the transaction takes place on Monday all as listed in "Transactions All" .

Georg

Apr 23, 2014 11:11:34 AM       
DennyHalwes
smile Re: Transaction Prices Different

Georg,

The R2G ports always use Monday prices, and in sims you can run average age of hi & low. But all active Ports use Friday's close prices since they are rebalanced early Monday morning (unless you manually update them to Monday). So a Book that uses a port will use Friday's close price.

Denny cool

Denny cool

"It's amazing what ordinary people can do if they set out without preconceived notions."
- Charles F. Kettering

Apr 23, 2014 12:57:12 PM       
geov
Re: Transaction Prices Different

Denny,
Thanks for reply. Thus the performance figures for all live books and portfolios are wrong, because they use the last week's, last day closing price. They should also show in "Transactions All" that the trade occurred on Friday and not on Monday. Live books and portfolios should be recalculated with Monday's prices same as the R2G models.

The problem is that a book of R2G models also uses the Friday prices, whereas the actual R2G model uses the Monday prices. And to make it even more confusing, a port which may have gone live one year ago will have Monday prices before it went live, and Friday prices after it went live. As R2G gets older the performance figures for books and ports will deviate more and more from the performance figures which uses the Monday prices - so far we have only a maximum of one year of wrong data, but this will get worse as time goes on.

Can anything be more confusing, please give me a break !!!.

Georg

Apr 23, 2014 1:30:20 PM       
Edit 4 times, last edit by geov at Apr 23, 2014 5:40:10 PM
geov
Re: Transaction Prices Different

I have now downloaded the performance listing for the Best10(S&P1500) model directly from the R2G page and found it identical to that of the underlying portfolio's performance. Therefore what is shown on the R2G page is the performance with Friday closing prices (since the portfolio went live) and not with the Monday prices shown on the R2G "Last Trades" listing, which are the Monday prices determined from (Hi + Lo + 2*close)/4 + slippage.

Performance percentages which appear on the chart are also based, incorrectly, on the performance listing using Friday's prices since the port went live and Monday prices before that date. For example, the 6-month return from 10/18/13 to 4/23/14 is shown as 16.52% which is also exactly the same number I calculated from the performance listing. So this is the return using Friday's closing prices with variable slippage applied. My simulation using Monday's opening prices with variable slippage shows a return of 17.02% for the same period, so the model did 0.50% better with the Monday prices when the trade actually occurred.

Now, some people may think of this analysis as nitpicking, but I think at some stage the P123 team has to investigate this and correct these inconsistencies.

Also does anybody know for what the Monday prices determined from (Hi + Lo + 2*close)/4 + slippage which appear on the R2G "Last Trades" listing are actually being used, because they do not seem to be used to calculate performance.

Georg

Apr 24, 2014 12:39:37 PM       
Edit 3 times, last edit by geov at Apr 24, 2014 1:08:17 PM
marco
Re: Transaction Prices Different

Seems ok to me . Do you have specific exmaples?

For example CI buy price including slippage was 76.35 on 4/21/14. It was nowhere near that on Friday 4/17/14

Portfolio123 Staff.

Apr 24, 2014 1:25:48 PM       
geov
Re: Transaction Prices Different

Marco, thanks for following this up.

P123 must have recalculated the Portfolios after Tuesday 4/22/14 to get the Monday prices into the portfolios.
Referring to the Best(SSO-TLT) model we have now the following:

On Tuesday 4/22/14 afternoon it showed the following prices for SSO:
In Portfolios and Books it used the end of the week April 17 closing price of 104.36 plus specified slippage and commission = 104.46.
The R2G model used April 21 prices (Hi + Lo + 2*close)/4 + slippage = 105.03

Now on Thursday 4/24/14:
In Book Combo3 it uses the end of the week April 17 closing price of 104.36 plus specified slippage and commission = 104.46.
In Portfolio Best(SSO-TLT) it now uses the correct April 21 prices (Hi + Lo + 2*close)/4 + slippage = 105.03
The R2G model uses correctly the April 21 prices (Hi + Lo + 2*close)/4 + slippage = 105.03

So the portfolio shows the correct value now, but when the model is in a book it still shows the incorrect price of 104.46.

Georg

Apr 24, 2014 4:17:23 PM       
DennyHalwes
Re: Transaction Prices Different

Georg,

You are overlooking how we are required to create a R2G Port. We must run a Sim using average of Hi & Low, 0 fees, and variable slippage. we then create a R2G Port FROM the Sim. So the P2G Port is identical to the reference Port which is the original Sim. We cannot change the reference Port. it is automatically updated by P123 on Tuesday morning after the data is downloaded. Only our personal Ports that are not part of R2G are updated using Fridays close. If we want to update them to Mondays data we have to do that manually. Did your Book use personal Port instead of a R2G Port?

Denny cool

Denny cool

"It's amazing what ordinary people can do if they set out without preconceived notions."
- Charles F. Kettering

Apr 24, 2014 4:40:46 PM       
Edit 1 times, last edit by DennyHalwes at Apr 24, 2014 4:43:55 PM
geov
Re: Transaction Prices Different

Marco,
I can see that the Best10(S&P1500) portfolio was also recalculated after April 23 to list the Monday prices now instead of the Friday prices which it still had yesterday.

So going forward can we expect that on Tuesday the live portfolios will show Monday prices and not Friday prices? All that needs to be done now is to re-run the books so that they also reflect Monday prices.

Thanks,
Georg

Apr 24, 2014 4:48:04 PM       
geov
Re: Transaction Prices Different

Denny,
My book Combo3 uses my 3 ETF R2G models, not personal ports. The prices in the book are still Friday prices as of this moment. Below is the download as it appears now. You can see that SSO 104.36 is the Friday price.


Combo3

Date Symbol Type Shares Price Amount TotFees
4/21/2014 SSO BUY 332 104.36 -34,674.91 -27.39
4/21/2014 SH BUY 1,405.00 24.72 -34,758.98 -27.38

Apr 24, 2014 4:58:23 PM