PnL Analysis
PnL Analysis
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Basic Terminology
Basic Terminology
The PnL figures for analysts and products are derived from two different clearing files:
PnL Product-wise: Generated at the end of the trading day.
PnL Analyst-wise: Generated at the start of the next trading day.
Since these reports are generated at different times, the FX rates used for conversions may slightly vary, causing minor differences in the PnL values.
Key Differences
Key Differences
Facility Inclusion:
The Analyst-wise PnL includes columns like Opening Balance, Closing Balance, and Facility, which do not apply at the product level.
As a result, the Net PnL including R&F in the analyst-wise report includes facilities, while the product-wise report excludes facilities.
Impact on Bonus Calculation:
The analyst-wise PnL is the primary metric used for bonus calculations.
The numbers in the Analyst-wise and Statements tabs should match the traders' statement files.
Metrics Used in PnL Calculation
We use four key metrics to provide a comprehensive view of PnL. The 'F' notation is used when referring to Analyst-wise numbers, and it is omitted for Product-wise numbers.
PnL Metrics
PnL Metrics
Gross PnL Excluding R&F (Gross PnL Exc R&F):
Represents the trader’s profit/loss from trading activity.
No deductions for commissions or facilities; no addition of rebates.
Should be close to the closing TRV PnL for the day.
Gross PnL Including R&F (Gross PnL Inc R&F):
Calculated as Gross PnL Exc R&F + Rebates + Facilities.
Net PnL Excluding R&F (Net PnL Exc R&F):
Represents Gross PnL Exc R&F minus commissions (TC cost).
Net PnL Including R&F (Net PnL Inc R&F):
The final PnL metric used for reporting and bonuses.
Calculated as:
Net PnL Inc R&F = Gross PnL Exc R&F - Commissions - Facilities + Rebates.
Using these values:
Gross PnL Inc R&F = X + W - Z
Net PnL Exc R&F = X - Y
Net PnL Inc R&F = X - Y - Z + W
PnL Analystwise
PnL Analystwise
The PnL Analystwise section provides analyst-level PnL measures in the form of a Pivot Table, enabling ITMs and managers to easily view their PnL numbers at a glance.
The page has number of various measures like the RT, Volume Rebate, Exchange Rebate, Facility, Gross PnL Exc RnF, Gross PnL Inc RnF, Net PnL Exc RnF, Net PnL Inc RnF, Opening Balance, Closing Balance, Internal Transfer and House Keeping.
Key Measures
Key Measures
This page contains several important PnL measures, including:
RT
Volume Rebate
Exchange Rebate
Facility
Gross PnL Exc R&F
Gross PnL Inc R&F
Net PnL Exc R&F
Net PnL Inc R&F
Opening Balance
Closing Balance
Internal Transfer
House Keeping
Important definitions can be found [here](<https://www.notion.so/PnL-Analysis-1b2e6eb3003281e980a8d7993972380a?pvs=21>).
PnL Productwise
PnL Productwise
The PnL Productwise section provides an overview and analytics of PnL using various measures, allowing users to view data effectively through a Pivot Table.
This section includes Product-level analysis options and is structured into two main parts:
Overview – A high-level summary of key PnL metrics.
Analytics – Detailed insights and deeper analysis of PnL trends.
Overview
Overview
The Overview section is similar to the PnL Analystwise section, with the main difference being that certain measures like Facility, Opening Balance, Closing Balance, Internal Transfer, and House Keeping are not available here, as they are only relevant at the Analyst level.
Product and Product Group are available as dimensions in this section, which are not found in the PnL Analystwise section.
Analytics
Analytics
The Analytics section contains the same dimensions and columns as the Overview section but also includes various analytical measures to evaluate PnL performance. These measures help assess profitability, risk, and consistency in trading performance.
Key Analytical Measures
Key Analytical Measures
The section includes the following analytical metrics:
Sharpe Ratio
Max Drawdown
Max Drawdown / Std
Std PnL
Winning Days %
Avg Win PnL
Avg Loss PnL
RT (Risk Taken)
Max RT
Avg RT
Std RT
PnL Exc R&F
Max PnL Exc R&F
Min PnL Exc R&F
The definitions of these measures can be found here.
Important Notes
All analytics are performed using PnL Exc R values.
Key Measure Explanations
Key Measure Explanations
Sharpe Ratio: Calculated as the mean PnL divided by its standard deviation, representing return over risk.
Drawdown & Max Drawdown:
Drawdown measures how far the current equity is from the peak equity (highest value reached before a decline). If a new peak is reached, the drawdown resets to zero.
Max Drawdown represents the largest drawdown experienced by an ITM within the selected timeframe.
Standard Deviation of PnL (Std PnL): Measures PnL volatility, indicating how much PnL fluctuates over time.
Max Drawdown / Std: Provides an estimate of the time required to recover from a drawdown.
Other Measures: Metrics such as Avg Win PnL, Avg Loss PnL, Winning Days %, and Loss Days % are self-explanatory and give insights into trading consistency.
PnL Charts
PnL Charts
The PnL Page offers an interactive and visual representation of a trader’s Profit and Loss (PnL) metrics across various dimensions. This dashboard allows users to analyze performance trends, track key trading statistics, and identify profitable or loss-making patterns efficiently.
Users can view PnL calculations based on different types, including:
PnL Exc R (PnL Excluding Rebates)
PnL Inc R (PnL Including Rebates)
Gross Inc R (Gross PnL Including Rebates)
Additionally, all charts provide interactive features such as zooming in and out, downloading chart images, and exporting chart data for further analysis.
All the types of graphs in this are related to breakdown of each of the values over the specified Date Range and the display method has been chosen accordingly to best display the value. This enables us to see the movement of the values like PnL, Equity PnL, RT, Drawdown, Drawdown/Std over the specified date range
The first set of graphs presents a comprehensive view of PnL performance over time, showcasing key metrics such as:
Simple PnL – A direct representation of daily profit and loss.
Equity PnL – Tracks cumulative PnL to visualize overall trading performance.
Drawdown – Highlights periods of decline from peak equity, helping assess risk exposure.
Drawdown / Std – Provides insight into the expected time required to recover from drawdowns based on PnL volatility.
The Winning Streaks and Losing Streaks graph visualizes consecutive periods of gains and losses within the selected timeframe. This helps assess a trader's ability to sustain winning streaks and manage drawdowns effectively. Understanding these patterns can provide insights into consistency, risk management, and trading discipline.
Additionally, the PnL Histograms categorize PnL into different ranges, offering a clear view of where the trader's PnL most frequently falls. This helps in evaluating performance distribution and identifying profitable vs. loss-making tendencies.
The Scatter Plots visualize the relationship between PnL metrics and key factors such as RT, SOD, SOD/RT and structural components like Outright%, White%, and Algo%. In these plots, PnL is plotted on the Y-axis, while the selected measure is on the X-axis, allowing users to identify potential correlations between PnL and these trading attributes.
These insights help traders assess whether specific factors influence their profitability, enabling data-driven decision-making for strategy optimization and risk management.
These set of graphs enables in-depth analysis of key metrics such as PnL, RT, Max Drawdown, and Max Drawdown/Std across various dimensions like Product, Product Group, and Exchange
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