How returns are measured

The return on a filing

Every return on Paydirt is the return on one disclosed purchase over 21 trading sessions: the position enters at the opening price of its entry session and exits at the closing price 20 sessions later. Only priced filings enter: a return exists only where the filing and the market prices around it are both on record. A filing whose 21 sessions have not yet closed is not yet priced and says so. Sales are shown as filed but are not measured.

From execution, and from disclosure

The same filing is measured twice. The return from execution enters the position on the day the trade was made, which only the filer could have done. The delay-adjusted return enters it on the day the filing became public, the first session anyone reading it could have acted. The difference between the two is what the filing delay cost or saved, and both figures sit side by side on every profile with the median delay that explains them.

The average, and the Impact on $10,000

A profile's return tiles are averages: the mean 21-session return across that filer's priced purchase filings, with the count of filings shown. The Impact on $10,000 card and the performance page compound instead: they chart the growth of a notional $10,000 that mirrors each filing from its disclosure date. An average and a compounded curve answer different questions and can point in different directions for the same filer.

The curve is an equal-weight index of its scope: each session's return is the mean of the returns of that session's open positions, and a session with no open position returns zero and counts as cash. The session axis and the default benchmark are the S&P 500 ETF (SPY), normalized to the same $10,000 and drawn from the same first session as the curve. There is deliberately no modeling of capacity, allocation or missed fills; the series is an index of disclosed trades, not a tradeable account.

When a filer gets a curve

A per-person curve exists once that filer has at least five priced purchase groups in the trailing 24 months, and it appears at the next build, so a curve can lag the threshold by a day or two. Shorter views, including year to date, are suffixes of one 24-month series renormalized to $10,000. Maximum drawdown, annualized return and Sharpe ratios are not displayed.

The binding text

This page explains; section 3 of the terms binds. Every figure is labeled derived where it appears, and nothing on Paydirt is a recommendation.