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我爱荷包蛋 · 2024年05月01日

关于implementation shortfall（bps）的公式

  1. CFA III
  2. Trading&Performance

* 问题详情，请 查看题干

NO.PZ202110280100000104

问题如下：

The implementation shortfall, in basis points (bps), for the sell order of West Commerce shares is closest to:

选项：

A.139. B.198. C.206.

解释：

Execution cost = [(–6,000 × 26.80) + (–3,000 × 26.30)] – (–9,000 × 27.10) = 4,200.

Opportunity cost = [–10,000 – (–9,000)] × (26.00 – 27.10) = 1,100.

Fees = 9,000 × 0.03 = 270.

So, the implementation shortfall ($) is calculated as

Implementation shortfall ($) = 4,200 + 1,100 + 270 = 5,570.

Finally, the implementation shortfall (bps) is calculated as

基础班的ppt好像没有implementation shortfall（bps）的公式？

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吴昊_品职助教 · 2024年05月06日

嗨，爱思考的PZer你好：


这个公式在我们基础班的例题中出现了（参考基础班讲义P69页），在dollar形式的IS基础上，除以paper portfolio，即除以的是没有任何成本的初始投资，即拿paper portfolio作为基准来衡量。

回到本题，5570是dollar形式的IS，Pd=27.10，total share=10000，代入公式即可得到bps形式的IS。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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