A particular hazard regarding certain instruments is the definition of closing price.
If distinct but related instruments (e.g. the underlying stocks, and the future on the
index consisting of those stocks) are traded on markets which close at different times
then a genuinely arbitraged position between the two markets will show noise in the
reported profit which may well be material.
While this is easy enough for one trading desk to allow for, by taking prices on the
later-closing exchange at the time of the earlier close, or by using theoretical prices
for instruments on the earlier-closing exchange derived from prices on the later close,
such an approach will again cause matching problems unless applied consistently
across an organization. Adopting one approach for daily reporting and a different
approach for month-end or year-end is not a good idea since it leads to everyone
having less confidence in any of the numbers.
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