Strategy and Benchmark Periods

For general knowledge about periods in Cinnamon, see Periods.

Strategy Periods

Generally, all benchmark components referenced in a strategy definition (which has an explicit validFrom date) are expected to be able to produce values over their entire definition period. This period comprises

• If there is a temporally following definition: startDate: validFrom, endDate: day before following validFrom.

• If there is no temporally following definition: startDate: validFrom, endDate: requestPeriod.endDate.

Components which do not produce values in a period are assumed to have zero return during this period.

When computing the performance of a strategy over a request period, all definitions overlapping with the request period are contributing to the strategy performance. Furthermore, the strategy performance period always starts immediately after rebalancing.

Example

Assume a strategy with the following definitions:

Some examples of strategy performance periods resulting from requested periods:

Benchmark Periods

For pure benchmark performance periods, rules similar to consolidations apply: the performance startDate may be later than the requested startDate:

• performancePeriod.startDate = later of requestPeriod.startDate and benchmark.performanceStartDate.

• performancePeriod.endDate = requestPeriod.endDate.

The performanceStartDate of a benchmark is the earliest performanceStartDate of all its components: