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So, I'm trying to backtest a model that computes P&L. This model pulls sensitivities on a weekly basis and applies market shocks to these sensitivities to project quarterly P&L. I want to compare this to clean (backtesting) P&L. The issue is that the backtesting P&L is daily. One could aggregate the daily P&L over a given quarter to compare against the model... but since the model only pulls sensitivities weekly, if the portfolio were to change materially intra-weekly (e.g., pull the sensitivities on Monday of Week 1, but on that Wednesday the portfolio changes, and then the portfolio composition pulled on Monday of Week 2 is similar to that of Monday Week 1) it would not be captured. Is there any way to compare the two results?

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It's not clear what you're asking or even trying to do.

Based on my read, you have a trading model you're using that takes inputs weekly to produce some kind of PnL. It's not clear what you mean by 'clean (backtesting) P&L' for the comparison.

As a general matter though, comparing one set (for simplicity's sake) of returns to another set aggregated over a different interval can be dealt with by bring return interval of each in line (eg, average daily return by some annualization figure (250/252) to compare to annual returns elsewhere).

As to your model potentially missing something by only taking inputs weekly...well, yeah, that's a limitation of updating only weekly. That doesn't mean a comparison is any less valid...just that your model only incorporates updates weekly, part of the framework you've chosen.

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