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Setting the standard: two big arbitrage funds tell how they value their portfolios

March 01, 2004  



Citadel Investment, Chicago, Illinois

Procedures: Traders are responsible for initial pricing of their own portfolios, using data feeds and third-party marks for highly liquid assets. For the small portion of securities that are highly illiquid, prices may be marked-to-model.

Checks and balances: At the end of each day, Citadel's traders...

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