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drc_sa
DescriptionThe hedge benefit ratio, or Weighted to Short ratio
Variationsnetted, reported
Reference[MAR22.44]
NotationHBRCTPHBR_{CTP}
FormulaHBRCTP=∑netJtDlong∑netJtDlong+∑∥netJtDshort∥\displaystyle HBR_{CTP} = \frac{\sum netJtD_{long}}{\sum netJtD_{long} + \sum \|netJtD_{short}\|}