The Events P&L tab analyzes the portion of Total Return attributable to specific economic events versus non-event periods, adjustable via the dropdown. Events P&L isolates returns around selected events, while Non-Events P&L excludes them.
Workflow
Click on "Events P&L" in the performance widget:
Select the desired event from the event list. Users can select the dropdown to choose between:
- CPI Release Dates
- Fed Press Conference Dates
- Fed Minutes Release Dates (Default)
- ISM Manufacturing Release Dates
- ISM Services Release Dates
- NFP Release dates
- OPEC Meeting Dates
Finally, adjust the date period, granularity, and display using the other toggles.
Methodology
1. Calculation
If the drop-down option is set to Fed Minutes and the viewport range is 01/01/2024–12/31/2024, Arcana would fetch the following dates for Fed Minutes:
1/3/2024
2/21/2024
4/10/2024
5/22/2024
7/3/2024
8/21/2024
10/9/2024
11/26/2024
The returns on these dates are attributed to Events P&L. Then, these daily returns of Events P&L are cumulated using the Frongello method based on the total return. The Non Event P&L is the difference between the Total Return and the Events P&L.
2. Event Date Handling
Events occurring after US market close are attributed to the next trading day. All attribution uses this adjusted event date rather than the calendar date. This aligns event timing with the trading session that can actually reflect the event.