Trade Review and Strategy Drift

Question 1

Previously each trade had 8 bp gross edge, 3 bp execution cost and 1 bp other cost. Now gross edge is 6 bp, execution cost 4 bp and other cost 1 bp. Each period trades $50m. Use the same notional basis. What was old net edge?

Accepted Answer

4 bp

Question 2

Previously each trade had 8 bp gross edge, 3 bp execution cost and 1 bp other cost. Now gross edge is 6 bp, execution cost 4 bp and other cost 1 bp. Each period trades $50m. Use the same notional basis. What is new net edge?

Accepted Answer

1 bp

Question 3

Previously each trade had 8 bp gross edge, 3 bp execution cost and 1 bp other cost. Now gross edge is 6 bp, execution cost 4 bp and other cost 1 bp. Each period trades $50m. Use the same notional basis. What old net dollars were earned on this basis?

Accepted Answer

$20,000

Question 4

Previously each trade had 8 bp gross edge, 3 bp execution cost and 1 bp other cost. Now gross edge is 6 bp, execution cost 4 bp and other cost 1 bp. Each period trades $50m. Use the same notional basis. What net dollars does the new edge produce?

Accepted Answer

$5,000

Question 5

Previously each trade had 8 bp gross edge, 3 bp execution cost and 1 bp other cost. Now gross edge is 6 bp, execution cost 4 bp and other cost 1 bp. Each period trades $50m. Use the same notional basis. How much of the drop in edge comes from gross signal?

Accepted Answer

2 bp

Question 6

Previously each trade had 8 bp gross edge, 3 bp execution cost and 1 bp other cost. Now gross edge is 6 bp, execution cost 4 bp and other cost 1 bp. Each period trades $50m. Use the same notional basis. How much comes from execution cost?

Accepted Answer

1 bp

Question 7

Previously each trade had 8 bp gross edge, 3 bp execution cost and 1 bp other cost. Now gross edge is 6 bp, execution cost 4 bp and other cost 1 bp. Each period trades $50m. Use the same notional basis. What should the trader compare across similar trades?

Accepted Answer

Signal and implementation separately.

Question 8

Previously each trade had 8 bp gross edge, 3 bp execution cost and 1 bp other cost. Now gross edge is 6 bp, execution cost 4 bp and other cost 1 bp. Each period trades $50m. Use the same notional basis. What if all post-change trades are in thin names?

Accepted Answer

Match liquidity and order size.

Question 9

Previously each trade had 8 bp gross edge, 3 bp execution cost and 1 bp other cost. Now gross edge is 6 bp, execution cost 4 bp and other cost 1 bp. Each period trades $50m. Use the same notional basis. What would support fixing execution first?

Accepted Answer

Stable signal in matched cohorts and worse impact.

Question 10

Previously each trade had 8 bp gross edge, 3 bp execution cost and 1 bp other cost. Now gross edge is 6 bp, execution cost 4 bp and other cost 1 bp. Each period trades $50m. Use the same notional basis. What if edge is too uncertain to size normally?

Accepted Answer

Reduce size under agreed gates.

Question 11

A passive route fills 40% of attempts. Filled units earn 2 bp net, and unfilled units are completed elsewhere at 5 bp cost. Another route fills 80%, earns 1 bp on fills, and costs 2 bp on misses. Use equal-sized attempts. What is first-route expected net value per attempted unit?

Accepted Answer

−2.2 bp

Question 12

A passive route fills 40% of attempts. Filled units earn 2 bp net, and unfilled units are completed elsewhere at 5 bp cost. Another route fills 80%, earns 1 bp on fills, and costs 2 bp on misses. Use equal-sized attempts. What is second-route expected net value?

Accepted Answer

+0.4 bp

Question 13

A passive route fills 40% of attempts. Filled units earn 2 bp net, and unfilled units are completed elsewhere at 5 bp cost. Another route fills 80%, earns 1 bp on fills, and costs 2 bp on misses. Use equal-sized attempts. How much better is the second?

Accepted Answer

2.6 bp

Question 14

A passive route fills 40% of attempts. Filled units earn 2 bp net, and unfilled units are completed elsewhere at 5 bp cost. Another route fills 80%, earns 1 bp on fills, and costs 2 bp on misses. Use equal-sized attempts. Which route looks better on fills alone?

Accepted Answer

The first.

Question 15

A passive route fills 40% of attempts. Filled units earn 2 bp net, and unfilled units are completed elsewhere at 5 bp cost. Another route fills 80%, earns 1 bp on fills, and costs 2 bp on misses. Use equal-sized attempts. At what first-route fill fraction does its net value break even?

Accepted Answer

About 71.4%

Question 16

A passive route fills 40% of attempts. Filled units earn 2 bp net, and unfilled units are completed elsewhere at 5 bp cost. Another route fills 80%, earns 1 bp on fills, and costs 2 bp on misses. Use equal-sized attempts. What if child sizes differ materially?

Accepted Answer

Weight by routed quantity where appropriate.

Question 17

A passive route fills 40% of attempts. Filled units earn 2 bp net, and unfilled units are completed elsewhere at 5 bp cost. Another route fills 80%, earns 1 bp on fills, and costs 2 bp on misses. Use equal-sized attempts. What might explain adverse fills in a passive strategy?

Accepted Answer

Orders trade when fair value is moving against them.

Question 18

A passive route fills 40% of attempts. Filled units earn 2 bp net, and unfilled units are completed elsewhere at 5 bp cost. Another route fills 80%, earns 1 bp on fills, and costs 2 bp on misses. Use equal-sized attempts. Which benchmark should include the alternative route cost?

Accepted Answer

A clearly measured parent-level outcome.

Question 19

A passive route fills 40% of attempts. Filled units earn 2 bp net, and unfilled units are completed elsewhere at 5 bp cost. Another route fills 80%, earns 1 bp on fills, and costs 2 bp on misses. Use equal-sized attempts. What if the strategy no longer chases misses?

Accepted Answer

Re-estimate missed exposure and opportunity cost.

Question 20

A passive route fills 40% of attempts. Filled units earn 2 bp net, and unfilled units are completed elsewhere at 5 bp cost. Another route fills 80%, earns 1 bp on fills, and costs 2 bp on misses. Use equal-sized attempts. How should a route change be tested?

Accepted Answer

Use matched flow and a limited pilot.

Question 21

A strategy earns 3 bp per dollar gross. It trades $5m per signal with 1 bp cost. Doubling size leaves the gross rate unchanged but raises cost to 2.5 bp. Assume the cost applies to all notional at that size. What net dollars follow at $5m?

Accepted Answer

$1,000

Question 22

A strategy earns 3 bp per dollar gross. It trades $5m per signal with 1 bp cost. Doubling size leaves the gross rate unchanged but raises cost to 2.5 bp. Assume the cost applies to all notional at that size. What net dollars follow at $10m?

Accepted Answer

$500

Question 23

A strategy earns 3 bp per dollar gross. It trades $5m per signal with 1 bp cost. Doubling size leaves the gross rate unchanged but raises cost to 2.5 bp. Assume the cost applies to all notional at that size. Which size has better modeled net economics?

Accepted Answer

$5m.

Question 24

A strategy earns 3 bp per dollar gross. It trades $5m per signal with 1 bp cost. Doubling size leaves the gross rate unchanged but raises cost to 2.5 bp. Assume the cost applies to all notional at that size. What cost at $10m would match the smaller profit?

Accepted Answer

2 bp

Question 25

A strategy earns 3 bp per dollar gross. It trades $5m per signal with 1 bp cost. Doubling size leaves the gross rate unchanged but raises cost to 2.5 bp. Assume the cost applies to all notional at that size. What if the two size tiers differ in order urgency?

Accepted Answer

Match urgency before attributing costs to size.

Question 26

A strategy earns 3 bp per dollar gross. It trades $5m per signal with 1 bp cost. Doubling size leaves the gross rate unchanged but raises cost to 2.5 bp. Assume the cost applies to all notional at that size. What checks trade capacity most directly?

Accepted Answer

Marginal costs and fill probability by size.

Question 27

A strategy earns 3 bp per dollar gross. It trades $5m per signal with 1 bp cost. Doubling size leaves the gross rate unchanged but raises cost to 2.5 bp. Assume the cost applies to all notional at that size. What if volume doubles only during a volatile event?

Accepted Answer

Check accessible depth and adverse selection.

Question 28

A strategy earns 3 bp per dollar gross. It trades $5m per signal with 1 bp cost. Doubling size leaves the gross rate unchanged but raises cost to 2.5 bp. Assume the cost applies to all notional at that size. What reporting unit distinguishes sizing from edge changes?

Accepted Answer

Net P&L per unit of risk or notional.

Question 29

A strategy earns 3 bp per dollar gross. It trades $5m per signal with 1 bp cost. Doubling size leaves the gross rate unchanged but raises cost to 2.5 bp. Assume the cost applies to all notional at that size. What if further trades also increase tail loss enough to breach a limit?

Accepted Answer

Stay within the limit even if mean P&L improves.

Question 30

A strategy earns 3 bp per dollar gross. It trades $5m per signal with 1 bp cost. Doubling size leaves the gross rate unchanged but raises cost to 2.5 bp. Assume the cost applies to all notional at that size. What should a resizing trigger name?

Accepted Answer

Net economics, executable size, and risk thresholds.

Question 31

Signals predict a 10 bp move at decision time. Replay estimates only 6 bp still available at median order arrival and 4 bp at p95 arrival. Fees and execution cost total 3 bp under the simplified comparison. What net edge is available at median arrival?

Accepted Answer

3 bp

Question 32

Signals predict a 10 bp move at decision time. Replay estimates only 6 bp still available at median order arrival and 4 bp at p95 arrival. Fees and execution cost total 3 bp under the simplified comparison. What net edge is available at p95 arrival?

Accepted Answer

1 bp

Question 33

Signals predict a 10 bp move at decision time. Replay estimates only 6 bp still available at median order arrival and 4 bp at p95 arrival. Fees and execution cost total 3 bp under the simplified comparison. How much signal decays before median arrival?

Accepted Answer

4 bp

Question 34

Signals predict a 10 bp move at decision time. Replay estimates only 6 bp still available at median order arrival and 4 bp at p95 arrival. Fees and execution cost total 3 bp under the simplified comparison. If total cost rises to 5 bp at p95, what net follows?

Accepted Answer

−1 bp

Question 35

Signals predict a 10 bp move at decision time. Replay estimates only 6 bp still available at median order arrival and 4 bp at p95 arrival. Fees and execution cost total 3 bp under the simplified comparison. What clocks should be aligned?

Accepted Answer

Decision, release, route, and fill timestamps.

Question 36

Signals predict a 10 bp move at decision time. Replay estimates only 6 bp still available at median order arrival and 4 bp at p95 arrival. Fees and execution cost total 3 bp under the simplified comparison. What if simulated fills occur before the signal timestamp?

Accepted Answer

Repair the replay clock and rerun.

Question 37

Signals predict a 10 bp move at decision time. Replay estimates only 6 bp still available at median order arrival and 4 bp at p95 arrival. Fees and execution cost total 3 bp under the simplified comparison. What distinguishes latency drift from a weaker forecast?

Accepted Answer

Signal returns at fixed horizons plus stage timings.

Question 38

Signals predict a 10 bp move at decision time. Replay estimates only 6 bp still available at median order arrival and 4 bp at p95 arrival. Fees and execution cost total 3 bp under the simplified comparison. What if the median improves but p95 worsens?

Accepted Answer

Review the tail against the decay curve.

Question 39

Signals predict a 10 bp move at decision time. Replay estimates only 6 bp still available at median order arrival and 4 bp at p95 arrival. Fees and execution cost total 3 bp under the simplified comparison. Which remediation fits when policy holds orders too long?

Accepted Answer

Test an earlier authorized release under the same risk checks.

Question 40

Signals predict a 10 bp move at decision time. Replay estimates only 6 bp still available at median order arrival and 4 bp at p95 arrival. Fees and execution cost total 3 bp under the simplified comparison. When is an order too late to send?

Accepted Answer

When remaining edge fails the cost and risk hurdle.

Question 41

A strategy's broker commission remains 0.4 bp. Average spread paid rises from 1.0 to 1.4 bp and impact rises from 0.6 to 1.3 bp. Borrow costs move from 0.5 to 0.8 bp. All use the same base. What was total cost?

Accepted Answer

2.5 bp

Question 42

A strategy's broker commission remains 0.4 bp. Average spread paid rises from 1.0 to 1.4 bp and impact rises from 0.6 to 1.3 bp. Borrow costs move from 0.5 to 0.8 bp. All use the same base. What is the new total?

Accepted Answer

3.9 bp

Question 43

A strategy's broker commission remains 0.4 bp. Average spread paid rises from 1.0 to 1.4 bp and impact rises from 0.6 to 1.3 bp. Borrow costs move from 0.5 to 0.8 bp. All use the same base. How much did cost increase?

Accepted Answer

1.4 bp

Question 44

A strategy's broker commission remains 0.4 bp. Average spread paid rises from 1.0 to 1.4 bp and impact rises from 0.6 to 1.3 bp. Borrow costs move from 0.5 to 0.8 bp. All use the same base. Which component explains the largest increase?

Accepted Answer

Impact.

Question 45

A strategy's broker commission remains 0.4 bp. Average spread paid rises from 1.0 to 1.4 bp and impact rises from 0.6 to 1.3 bp. Borrow costs move from 0.5 to 0.8 bp. All use the same base. What gross edge now breaks even?

Accepted Answer

3.9 bp

Question 46

A strategy's broker commission remains 0.4 bp. Average spread paid rises from 1.0 to 1.4 bp and impact rises from 0.6 to 1.3 bp. Borrow costs move from 0.5 to 0.8 bp. All use the same base. What might make these components overlap?

Accepted Answer

Impact and spread estimates reuse the same price move.

Question 47

A strategy's broker commission remains 0.4 bp. Average spread paid rises from 1.0 to 1.4 bp and impact rises from 0.6 to 1.3 bp. Borrow costs move from 0.5 to 0.8 bp. All use the same base. Why stratify borrow by name and holding period?

Accepted Answer

Scarcity and duration affect the actual charge.

Question 48

A strategy's broker commission remains 0.4 bp. Average spread paid rises from 1.0 to 1.4 bp and impact rises from 0.6 to 1.3 bp. Borrow costs move from 0.5 to 0.8 bp. All use the same base. What should be checked if several losses follow forced buy-ins?

Accepted Answer

Availability and recall assumptions.

Question 49

A strategy's broker commission remains 0.4 bp. Average spread paid rises from 1.0 to 1.4 bp and impact rises from 0.6 to 1.3 bp. Borrow costs move from 0.5 to 0.8 bp. All use the same base. What if switching brokers only cuts 0.1 bp commission?

Accepted Answer

It offsets a small part of the drift.

Question 50

A strategy's broker commission remains 0.4 bp. Average spread paid rises from 1.0 to 1.4 bp and impact rises from 0.6 to 1.3 bp. Borrow costs move from 0.5 to 0.8 bp. All use the same base. Which cost measure should decide whether to keep an order style?

Accepted Answer

All-in cost on comparable parent attempts.

Question 51

A strategy made $240k in a month. Attribution estimates $150k from market beta, $55k from a sector residual, and $25k in fees. Treat gross residual signal P&L as the balancing item. What was gross P&L before fees?

Accepted Answer

$265k

Question 52

A strategy made $240k in a month. Attribution estimates $150k from market beta, $55k from a sector residual, and $25k in fees. Treat gross residual signal P&L as the balancing item. What gross amount remains after removing market and sector?

Accepted Answer

$60k

Question 53

A strategy made $240k in a month. Attribution estimates $150k from market beta, $55k from a sector residual, and $25k in fees. Treat gross residual signal P&L as the balancing item. What residual return remains after all stated fees?

Accepted Answer

$35k

Question 54

A strategy made $240k in a month. Attribution estimates $150k from market beta, $55k from a sector residual, and $25k in fees. Treat gross residual signal P&L as the balancing item. What happens to the apparent strategy if market gain reverses by the same amount and everything else stays fixed?

Accepted Answer

Net becomes −$60k.

Question 55

A strategy made $240k in a month. Attribution estimates $150k from market beta, $55k from a sector residual, and $25k in fees. Treat gross residual signal P&L as the balancing item. What does the original net profit fail to establish?

Accepted Answer

That the intended signal generated most gains.

Question 56

A strategy made $240k in a month. Attribution estimates $150k from market beta, $55k from a sector residual, and $25k in fees. Treat gross residual signal P&L as the balancing item. What next test checks stability?

Accepted Answer

Re-estimate factor exposure and compare scenarios.

Question 57

A strategy made $240k in a month. Attribution estimates $150k from market beta, $55k from a sector residual, and $25k in fees. Treat gross residual signal P&L as the balancing item. How should unexplained P&L be handled?

Accepted Answer

Treat it as a residual, with model uncertainty.

Question 58

A strategy made $240k in a month. Attribution estimates $150k from market beta, $55k from a sector residual, and $25k in fees. Treat gross residual signal P&L as the balancing item. What data helps check attribution?

Accepted Answer

Confirmed positions and synchronized market returns.

Question 59

A strategy made $240k in a month. Attribution estimates $150k from market beta, $55k from a sector residual, and $25k in fees. Treat gross residual signal P&L as the balancing item. If the sector tilt is unintended, what action fits?

Accepted Answer

Trim or hedge the tilt within controls.

Question 60

A strategy made $240k in a month. Attribution estimates $150k from market beta, $55k from a sector residual, and $25k in fees. Treat gross residual signal P&L as the balancing item. What if the mandate allows deliberate factor risk?

Accepted Answer

Give it a separate budget and report its return.

Question 61

A signal earns 5 bp gross in calm markets and −3 bp gross in volatile markets. Constant implementation cost is 2 bp. Volatile share of trade notional rises from 20% to 50%. Assume outcomes within each state are unchanged. What is calm net edge?

Accepted Answer

3 bp

Question 62

A signal earns 5 bp gross in calm markets and −3 bp gross in volatile markets. Constant implementation cost is 2 bp. Volatile share of trade notional rises from 20% to 50%. Assume outcomes within each state are unchanged. What is volatile net edge?

Accepted Answer

−5 bp

Question 63

A signal earns 5 bp gross in calm markets and −3 bp gross in volatile markets. Constant implementation cost is 2 bp. Volatile share of trade notional rises from 20% to 50%. Assume outcomes within each state are unchanged. What was old mixed edge?

Accepted Answer

1.4 bp

Question 64

A signal earns 5 bp gross in calm markets and −3 bp gross in volatile markets. Constant implementation cost is 2 bp. Volatile share of trade notional rises from 20% to 50%. Assume outcomes within each state are unchanged. What is the new mixed edge?

Accepted Answer

−1 bp

Trade Review and Strategy Drift

P&L bridge

Fill selection

Strategy sizing

Timing a forecast

Cost drift

Exposure masquerading as alpha

Changed regime

Inventory and exits

Evidence and decision gates

Counterfactual validation