Module VII — P&L Attribution and Carry Metrics

Status: outline. Lecture body not authored. Phase: 5 ATTRIBUTION

Where P&L actually comes from — without counting any component twice.

ΔSystemEquity
− ExternalCapitalFlows
− BrokerWriteOffs
=
Financing + Costs + BasisPnL + HedgeResidualPnL

Unique process — Economic reconciliation

Attribute the identity to financing, costs, basis, and hedge residual. Detect double-counting of spread or slippage in a backtest that looks profitable.

Contents (curriculum): System Equity; ReferenceMovePnL; BasisPnL; HedgeResidualPnL; financing; costs; economic reconciliation; realisation metadata; partial close; reversal; BED; ROM diagnostics; ROI; NetAPR.

BED: first instant where CumNetCarry ≥ 0. ROM: compare ROM_initial, ROM_mean, ROM_peak. ROI / NetAPR stay conceptual until required capital K is known.