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BUG? Corporate Action HPE spin-off to DXC and backtesting

On Friday 31Mar2017, HPE closed at $23.70. On Monday 03Apr, it opened at $18.00 - a drop of more then 20% - due to a corporate action.

Per the announcement: With the close of the transaction, HPE stockholders received approximately 0.086 shares of common stock in the new company [DXC Technology Co COM] for each share of HPE common stock that they held since the applicable record date [March 20, 2017].

The attached backtest doesnt seem to handle this correctly. After the Corporate Action, I dont see any shares of DXC in my portfolio.

Is the backtester designed to model spin-off's like this one?

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 58e62a2e8e491665305398af
There was a runtime error.
3 responses

Hi Richard,

The backtester can simulate spin-offs, but the platform does not automatically pick up these events. I have created a report for our team to review, so that the event can be added to our database.

After the event is added to the platform, the backtester should simulate the event by adding shares of DXC to your portfolio as per the announcement.

Thanks for reporting this!

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Hello Ernesto -

Any update on this? Is it typical for Corporate Events to take this long to get entered?

Thanks,Richard.

Hello Richard,

The corporate event is now being handled properly by the backtester.

Sorry for the delay, it was an error on my end.