a**e
发帖数: 5794 | 1 用xirr算buy-sell是正常的，但是short-cover就会算出负的return和
YTD。
KennyD得想个办法。 |
K****D
发帖数: 30533 | 2 give me an example.
【在 a**e 的大作中提到】
: 用xirr算buy-sell是正常的，但是short-cover就会算出负的return和
: YTD。
: KennyD得想个办法。
|
a**e
发帖数: 5794 | 3 7/1/09 2908
7/2/09 -2806
改正负号没用，xirr总是认为出来的钱比进去的少。
有个土办法，把cover的日期改成6/30/09，放到前面去。
但是我猜应该有更好的办法。
【在 K****D 的大作中提到】
: give me an example.
|
K****D
发帖数: 30533 | 4 What did you do on 7/1 and 7/2? You lost money in shorting?
【在 a**e 的大作中提到】
: 7/1/09 2908
: 7/2/09 -2806
: 改正负号没用，xirr总是认为出来的钱比进去的少。
: 有个土办法，把cover的日期改成6/30/09，放到前面去。
: 但是我猜应该有更好的办法。
|
a**e
发帖数: 5794 | 5 赚了102
【在 K****D 的大作中提到】
: What did you do on 7/1 and 7/2? You lost money in shorting?
|
K****D
发帖数: 30533 | 6 I don't see much issue?
try the following example, using the excel file in my bottom post.
12/31/08: -10000
6/1/2009: 2908
7/1/2009: -2806
7/10/2009: 10000
It shows 1.07% YTD. Seems normal?
【在 a**e 的大作中提到】
: 赚了102
|
a**e
发帖数: 5794 | 7 这样是正的，但是去掉头尾两行，结果就是负的了。
没办法告诉xirr这是short。
【在 K****D 的大作中提到】
: I don't see much issue?
: try the following example, using the excel file in my bottom post.
: 12/31/08: -10000
: 6/1/2009: 2908
: 7/1/2009: -2806
: 7/10/2009: 10000
: It shows 1.07% YTD. Seems normal?
|
K****D
发帖数: 30533 | 8 I don't know how shorts exactly work, since I've never shorted.
But my intuition tells me:
You should reverse the two transactions.
You deposited 28xx on 7/1/2009 (the cost of covering)
and earned 29xx on 7/2/2009, when the deal is done.
These 2 transactions earned you $100. You used 1 day to earn that.
Although it may not be natural to you, but to me, it makes the
perfect mathematical sense and since I've never shorted, it makes
practical sense too.
【在 a**e 的大作中提到】
: 这样是正的，但是去掉头尾两行，结果就是负的了。
: 没办法告诉xirr这是short。
|
K****D
发帖数: 30533 | 9 If you can tell me how your broker list your account balance
if you have short position, I may come up with better solutions.
【在 K****D 的大作中提到】
: I don't know how shorts exactly work, since I've never shorted.
: But my intuition tells me:
: You should reverse the two transactions.
: You deposited 28xx on 7/1/2009 (the cost of covering)
: and earned 29xx on 7/2/2009, when the deal is done.
: These 2 transactions earned you $100. You used 1 day to earn that.
: Although it may not be natural to you, but to me, it makes the
: perfect mathematical sense and since I've never shorted, it makes
: practical sense too.
|
a**e
发帖数: 5794 | 10 short时收入post到margin里，cover后差价post到cash里。
【在 K****D 的大作中提到】
: If you can tell me how your broker list your account balance
: if you have short position, I may come up with better solutions.
|
|
|
K****D
发帖数: 30533 | 11 So you have two balances at all times?
margin: -xxxx
cash: +yyyy |
a**e
发帖数: 5794 | 12 balance应该是margin和cash加一起。如果买东西借margin的钱，
margin balance是负的，short的收入放进去就是正的了。
【在 K****D 的大作中提到】
: So you have two balances at all times?
: margin: -xxxx
: cash: +yyyy
|
K****D
发帖数: 30533 | 13 Ok, please point out if the following example is wrong:
6/30/2009
margin: 0
cash: 0
equity: 5000
7/1/2009 (shorted):
margin: -2900
cash: 0
equity: 7900
7/2/2009 (covered short):
margin: 0
cash: 100
equity: 5000
【在 a**e 的大作中提到】
: balance应该是margin和cash加一起。如果买东西借margin的钱，
: margin balance是负的，short的收入放进去就是正的了。
|
K****D
发帖数: 30533 | 14 If this example is correct, write the following in the excel:
-5000 on 12/31/2008.
+5100 on today.
That's it. Nothing more.
Theoretically if you only have a margin account with no equity
no cash, your APY can be infinity. It's 空手套白狼。Borrowed
money is not your principal.
【在 K****D 的大作中提到】
: Ok, please point out if the following example is wrong:
: 6/30/2009
: margin: 0
: cash: 0
: equity: 5000
: 7/1/2009 (shorted):
: margin: -2900
: cash: 0
: equity: 7900
: 7/2/2009 (covered short):
|
a**e
发帖数: 5794 | 15 short的position是负的，所以我把下面改了一点。
交换日期可能还是比较make sense.
【在 K****D 的大作中提到】
: Ok, please point out if the following example is wrong:
: 6/30/2009
: margin: 0
: cash: 0
: equity: 5000
: 7/1/2009 (shorted):
: margin: -2900
: cash: 0
: equity: 7900
: 7/2/2009 (covered short):
|
s******d
发帖数: 323 | 16 XIRR的精髓是看cash flow，跟你的交易没有直接关系。
你short股票还是long股票，都是假设按照当日交易价平仓之后换算成
current balance。
long的时候cash少了，多了equity，short的时候cash多了，少了equity.
例如：
12/31/2008 -10,000 beginning balance
7/1/2009 short 100 share XXX at 2 per share, commission 5$, but
no cash flow!
7/2/2009 covered 100 share at 1$. 5$ comission, still no cash
flow!
7/10/2009 10000+100*(2-1)-5*2 current balance (as if you sold/covered
all)
【在 a**e 的大作中提到】
: short的position是负的，所以我把下面改了一点。
: 交换日期可能还是比较make sense.
|
a**e
发帖数: 5794 | 17 一席话惊醒梦中人
【在 s******d 的大作中提到】
: XIRR的精髓是看cash flow，跟你的交易没有直接关系。
: 你short股票还是long股票，都是假设按照当日交易价平仓之后换算成
: current balance。
: long的时候cash少了，多了equity，short的时候cash多了，少了equity.
: 例如：
: 12/31/2008 -10,000 beginning balance
: 7/1/2009 short 100 share XXX at 2 per share, commission 5$, but
: no cash flow!
: 7/2/2009 covered 100 share at 1$. 5$ comission, still no cash
: flow!
|
