Portfolio P/L Details

Return to Overview

To access the quantitative model/report, click on 'Dashboard' from the navigation sidebar on the left. Select the model/report from the drop-down list and click 'Create'. Click on the 'Settings' button (gear icon) at the top right corner of the model to set up your model/report.

About

The Portfolio P/L Details Matrix provides an overview of all paper and physical trades categorised according to their group (eg. Physical Closed, Paper Open), and their unrealised or realised P/L. You can select the cut-off date ('End Date') to determine your P/L for that period and the close/settlement date of each trade is crucial as it will determine which month/year's P/L it will belong to.

The rows are the various categories of assets in the portfolio while the columns indicate product information such as contract date, portfolio name, deal number and unrealised or realised P/L. The table acts like a pivot table and can be categorised and organised by groups according to your needs. You can click here to learn how to customise the table by arranging and filtering the columns based on your preference, and saving the table layout(s) as a template. Also see Futures Contracts Codes for more information on exchange and month codes, if required.

Note: You can key in your own exchange rate in 'EX RATE' column and the 'BASE AMOUNT' will be calculated automatically based on your exchange rate . Please note that the exchange rate you keyed in is for your reference and will not be saved.

Exchange Rate for today will be updated at 8am daily.

Navigation

To access the quantitative model/report, click on 'Dashboard' from the navigation sidebar on the left.

Select the model/report from the drop-down list and click 'Create'. Click on the 'Settings' button (gear icon) at the top right corner of the model to set up your model/report.

Sharing Model/Report/Dashboard

To share the model with your group members, click on the "Share" button next to the Title of the model followed by the email address of the group members you want to share it with. Once submitted, the model will appear in the Dashboard>Group Dashboard of the selected group members.

This is different from sharing individual or entire Dashboard models/reports, which allows any user who may or may not be users of MAF Cloud to access the individual model/entire dashboard via the shared web link (link will expire in 8 hours). In Group Dashboard, only group members can access the shared models/reports.

Group Rows

You may also group the rows (liken to the pivot table function in Microsoft Excel) to view the grouped data by dragging any column headers into the “row groups” section as highlighted:

The data in the table will be grouped according to your setting and you may drag multiple column headers into the “row groups” section to group them as necessary.

Tick 'Excl T Plus' (Exclude T Plus)

The "EXCL T PLUS" tick box determines if T plus trades (T+1) should be included in the portfolio calculation.

So if the tick box is checked, the system will filter out T+1 trades based on the End Date, so the P/L and positions of the portfolio will be calculated accordingly.

If the tick box is not checked, the system will include T+1 trades into the portfolio calculations.

For example, End Date is yesterday 07 Dec 2021, one of the trades (trade date is 07 Dec 2021) is T+1. If "EXCL T PLUS" tick box is checked, the system will filter out this trade and do recalculation for the P/L and positions in the portfolio.

Purpose:

In China futures markets, night trading session is considered next day trade (if user trades at 07 Dec 2021 in night session, the trade date is 08 Dec 2021, so the trade is only shown in 08 dec 2021 statement). However, in some exchanges, e.g, CME, there is no such arrangement. It will be considered 07 Dec 2021 trade date and shown in 07 Dec 2021 statement.

There will be a case when the user wants to standardise the date when they trade spread trading (e.g., BUY SHANGHAI COPPER and Sell COMEX COPPER in night session). In broker statements, SHANGHAI COPPER is shown in 08 Dec 2021 and COMEX COPPER is shown in 07 Dec 2021. So once you tick "EXCL T PLUS", and End Date is 07 Dec 2021, then COMEX COPPER trade will be filtered out and portfolio P/L and positions will be recalculated.

New columns added:

Trader before Category
Add VAT column (增值税) after Amount
1. UC TAX 城建税
  - after BASE AMOUNT
2. EE TAX 教育附加税
  - after UC TAX
3. STAMP DUTY 印花税
  - after EE TAX
4. NET AMOUNT 纯利润
  - after EE TAX
5. BASE NET AMOUNT 结算纯利润
  - after NET AMOUNT
  - = net_amt * ex_rate
  - Value should be exactly the same as Net Amount if ex rate is 1
all enable group sum and in summary row.
EE TAX, UC TAX, STAMP DUTY TAX calculation logic:

There are only two types of data that may have EE TAX, UC TAX, STAMP DUTY TAX:
1. Physical trade rows (MTM, priced in, closed, open…)
  1. as long as physical trade has tax rate, then it must have EE TAX, UC TAX
  2. only positive amount and tax rate will have STAMP DUTY TAX
2. Others (from General Ledger table only, we do not support exp/inc table from now on)
  1. as long as GL row has tax rate, then it must have EE TAX, UC TAX
  2. Only positive amount and tax rate and row with contract no. will have STAMP DUTY TAX

You can adjust the exchange rate or settlement price for open positions in this model to reflect your desired values. You can click on the PRICE CHANGES button located at the top left corner of the model.

Exchange Rate

Click on the blue '+' button to add a new row. Select the currency from the drop-down list and key in the exchange rate. You may add multiple rows to adjust multiple exchange rates. Please note that this function will not save the exchange rate or price for the trades, it will only be reflected in the report for your reference.

To revert the exchange rate back to default, you can delete the row by clicking on the red 'bin' button. Click 'Save' to save the changes. Your exchange rate in the model will be adjusted accordingly.

To save the exchange rate or price for the trades, you can input your own Exchange Rate in the trade execution page page, and it will replace the system’s exchange rate and provide calculations accordingly in Portfolio P/L Details model and other related functions eg portfolio.

Settlement Price

Click on the blue '+' button to add a new row. Select the product from the drop-down list and key in the settlement price. You may add multiple rows to adjust multiple settlement price.

To revert the settlement price back to default, you can delete the row by clicking on the red 'bin' button. Click 'Save' to save the changes. Your settlement price in the model will be adjusted accordingly.

The trades are automatically categorised into their respective groups:

Group	Definitions
PHYSICAL MTM	This group consists of mark-to-market (MTM) physical trades, also known/displayed as 'POTENTIAL' in the system. For 'Amount' column of open or unpriced positions (eg 'PAPER OPEN', 'PHYSICAL UNPRICED', 'PHYSICAL MTM' rows) will be based on the settlement price of the day of the selected 'End Date' (will be reflected in the 'Date' column), unless the amount for the date is not released yet (eg today) and will thus use the amount for the day before. For example, if today is 5 Jan 2021, the settlement price of the day before (4 Jan 2021) will be used. Tax Rate: If you key in the tax rate in the create physical trades page, your P/L will be calculated excluding the tax rate. If you leave this field empty, your P/L will be calculated including the tax rate.
PHYSICAL UNPRICED	This group consists of unpriced physical trades, referring to physical trades with no fixed price yet (pricing mode = "FLOAT", "WMA" or "SPOT"). Trades with no actual price and title transfer date OR no actual price and no title transfer date will be shown here. To fill in the actual price or title transfer date, go to trade execution page, and the trade will move to PHYSICAL PRICED IN or PHYSICAL CLOSED accordingly. For 'Amount' column of open or unpriced positions (eg 'PAPER OPEN', 'PHYSICAL UNPRICED', 'PHYSICAL MTM' rows) will be based on the settlement price of the day of the selected 'End Date' (will be reflected in the 'Date' column), unless the amount for the date is not released yet (eg today) and will thus use the amount for the day before. For example, if today is 5 Jan 2021, the settlement price of the day before (4 Jan 2021) will be used. Tax Rate: If you key in the tax rate in the create physical trades page, your P/L will be calculated excluding the tax rate. If you leave this field empty, your P/L will be calculated including the tax rate.
PHYSICAL PRICED IN	This group consists of priced physical trades, referring to trades with actual price and no title transfer date. To fill in the title transfer date, go to trade execution page, and the trade will move to PHYSICAL CLOSED accordingly. For 'Amount' column of open or unpriced positions (eg 'PAPER OPEN', 'PHYSICAL UNPRICED', 'PHYSICAL MTM' rows) will be based on the settlement price of the day of the selected 'End Date' (will be reflected in the 'Date' column), unless the amount for the date is not released yet (eg today) and will thus use the amount for the day before. For example, if today is 5 Jan 2021, the settlement price of the day before (4 Jan 2021) will be used. Tax Rate: If you key in the tax rate in the create physical trades page, your P/L will be calculated excluding the tax rate. If you leave this field empty, your P/L will be calculated including the tax rate.
PAPER OPEN	This group consists of open paper trades, referring to paper trades with open positions and not settled yet. For 'Amount' column of open or unpriced positions (eg 'PAPER OPEN', 'PHYSICAL UNPRICED', 'PHYSICAL MTM' rows) will be based on the settlement price of the day of the selected 'End Date' (will be reflected in the 'Date' column), unless the amount for the date is not released yet (eg today) and will thus use the amount for the day before. For example, if today is 5 Jan 2021, the settlement price of the day before (4 Jan 2021) will be used.
LME FORWARD VALUE	This group consist of LME products only. For example, in the last row in the table in the screenshot below, a trade has a 'Close Date' of 27-Nov-2020 but from accounting POV, it is still considered as unrealised P/L. So the settlement price will be based on the 'Valuation Date' on 23-Dec-2020, and displayed in the Portfolio P/L Details Matrix accordingly.
PHYSICAL CLOSED	This group consists of closed physical trades, referring to physical trades that have been closed/settled. Trades with actual price and title transfer date will be shown here. For 'Date' column of close positions (eg 'PAPER CLOSED' & 'PHYSICAL CLOSED' rows), and 'Commission' row, it will reflect the selected 'End Date' instead of original trade date or title transfer date. This is because there are many trades with different close dates, so only 'End Date' will be reflected to prevent confusion since the trades have already been closed with their own settlement price. Please note that the settlement price of the close positions and commission will still be based on their original close dates as reflected in the portfolio. Only the 'Date' column is displayed as the selected 'End Date', the rest of the data remains the same as those of the trades in the portfolio. Tax Rate: If you key in the tax rate in the create physical trades page, your P/L will be calculated excluding the tax rate. If you leave this field empty, your P/L will be calculated including the tax rate.
PAPER CLOSED	This group consists of closed paper trades, referring to paper trades with closed positions and are already settled. For 'Date' column of close positions (eg 'PAPER CLOSED' & 'PHYSICAL CLOSED' rows), and 'Commission' row, it will reflect the selected 'End Date' instead of original trade date or title transfer date. This is because there are many trades with different close dates, so only 'End Date' will be reflected to prevent confusion since the trades have already been closed with their own settlement price. Please note that the settlement price of the close positions and commission will still be based on their original close dates as reflected in the portfolio. Only the 'Date' column is displayed as the selected 'End Date', the rest of the data remains the same as those of the trades in the portfolio.
COMMISSION	This group consists of commissions paid for all paper trades, which are indicated when paper trades are created. For 'Date' column of close positions (eg 'PAPER CLOSED' & 'PHYSICAL CLOSED' rows), and 'Commission' row, it will reflect the selected 'End Date' instead of original trade date or title transfer date. This is because there are many trades with different close dates, so only 'End Date' will be reflected to prevent confusion since the trades have already been closed with their own settlement price. Please note that the settlement price of the close positions and commission will still be based on their original close dates as reflected in the portfolio. Only the 'Date' column is displayed as the selected 'End Date', the rest of the data remains the same as those of the trades in the portfolio.
PREVIOUSLY SETTLED UNP/L	This group consists of MTM (Potential) details for trades which have fixed price (already input actual price) thereby already settled and known as unrealised P/L settled previously. So for instance, if the trade's actual price has been input, it will be considered as fixed on 10 Mar and the trade will be moved to 'PHYSICAL CLOSED'. So choosing dates after 10 Mar eg 11 Mar to 12 Mar will show the previously settled unrealised P/L (MTM values) of that trade using settlement price on 10 Mar. 'PHYSICAL MTM' will remain until the trade has been closed (match with purchase/sale). For 'Date' column of close positions (eg 'PAPER CLOSED' & 'PHYSICAL CLOSED' rows), and 'Commission' row, it will reflect the selected 'End Date' instead of original trade date or title transfer date. This is because there are many trades with different close dates, so only 'End Date' will be reflected to prevent confusion since the trades have already been closed with their own settlement price. Please note that the settlement price of the close positions and commission will still be based on their original close dates as reflected in the portfolio. Only the 'Date' column is displayed as the selected 'End Date', the rest of the data remains the same as those of the trades in the portfolio.
OTHERS	This group consists of all the details you have filled in expenses/income table based on deal or trade level as well as in on portfolio level in General Ledger.

Guide

Name	Images/Description
Portfolio	Select a portfolio of interest. Tick "UN PL SETTLEMENT" if you want to bring over the unrealised P/L from the previous period. For example, if the previous unrealised P/L is "40,000", if you bring it over to the current period, PREVIOUS SETTLED UNPL will be reflected as "-40,000".
Public/Proprietary	Select public market data or proprietary market data to determine the market data prices used to calculate the P/L or positions accordingly. Please note that if the proprietary (private) market data for certain dates are not input here eg 1 May to 10 May price is input but not 9 May, when you select private data when viewing the portfolio and using the models in Dashboard (eg for trades with trade date on 9 May but private data is not available), the system will use the latest date's settlement price (10 May) to perform the calculations. Please note that if public market data is not available, system will display as PROP instead, even if PROP data is not available.
Duration	Select the start and end date to determine the range of period and cut-off date for the calculations of P/L. Start Date will be the start of the year (eg 1 Jan 2020) by default. End Date will be today's date by default. You are free to edit the dates as necessary. Auto-Update Tick: Resets the dates to default once you leave the ‘Dashboard’ page. Untick: Dates according to your settings remain unchanged once you leave the ‘Dashboard’ page.
Excl T Plus	Tick: Exclude all trades with "T PLUS" (eg T+1) and portfolio P/L and positions will be recalculated Untick: Include all trades with "T PLUS" (eg T+1) and portfolio P/L and positions will be recalculated
Comments	The inserted comments will be displayed at the bottom of the application. This can be useful for documentation purposes or for settings description.

Input

Name	Description	Type	Example
Portfolio	Portfolio selected.	Portfolio (Selection)	ABC
Start Date	Start of product time-series.	Date (YYYY-MM-DD)	2015-06-01
End Date	End of product time-series.	Date (YYYY-MM-DD)	2019-06-14
Auto Update	Tick: Resets the dates to default once you leave the ‘Dashboard’ page. Untick: Dates according to your settings remain unchanged once you leave the ‘Dashboard’ page.	Checkbox	-
Comments	Useful for documentation purposes or for settings description.	Text	-

Output

Description

Type

Product/Strategy Information

The trades are automatically categorised into their respective groups to provide a comprehensive overview of their P/L details.

You can reorganise your data by dragging-and-dropping the columns at the top of the table to 'set row groups'.

Size follows Physical Quantity Decimal Point settings (Under My Profile>Layout Settings)

Company Name column is newly added

Text

Exchange Rate

You can key in your own exchange rate in 'EX RATE' column and the 'BASE AMOUNT' will be calculated automatically based on your exchange rate. Please note that the exchange rate you keyed in is for your reference and will not be saved.

Alternatively, you can also click on PRICE CHANGES and add the exchange rate and it will be applied throughout your Portfolio P/L Details model unless you remove the setting.

Number

Example

Contract Key includes Exchange, Product Code, Contract Month, Contract Year eg ZCE/SR/F/2022

Functionality

Please refer to Table Settings for table functionalities.

Definition of Terms

Please refer to List of Definitions: Trades.

Click to access: