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dilly24 · 2024年05月08日

Arrival cost和Implementation shortfall计算对比

  1. CFA III
  2. Trading&Performance

NO.PZ2020020202000014

问题如下：

The next day, Harding instructs Yellow to revisit their research on BYYP, Inc. Yellow’s research leads her to believe that its shares are undervalued. She shares her research with Harding, and at 10 a.m. he instructs her to buy 120,000 shares when the price is $40.00 using a limit order of $42.00.
The buy-side trader releases the order for market execution when the price is $40.50. The only fee is a commission of $0.02 per share. By the end of the trading day, 90,000 shares of the order had been purchased, and BYYP closes at $42.50. The trade was executed at an average price of $41.42. Details about the executed trades are presented in Exhibit 1.

The arrival cost for purchasing the 90,000 shares of BYYP is:

选项：

A.

164.4 bp.

B.

227.2 bp.

C.

355.0 bp.

解释：

B is correct.

The arrival cost is calculated as:
Arrival cost (bp) =Side×P‾−P0P0×104bp=+1×41.42−40.5040.50×104bp=227.2bpSide\times\frac{\overline P-P_0}{P_0}\times10^4bp=+1\times\frac{41.42-40.50}{40.50}\times10^4bp=227.2bp

请问为什么这里的reference price是40.5，但是后面算implementation shortfall时reference price就是用的40呢？应该从什么角度去理解可以记住呀？谢谢

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1 个答案

吴昊_品职助教 · 2024年05月08日

嗨，从没放弃的小努力你好：


1、arrival cost是以arrival price为benchmark的trade cost。也就是说arrival cost，它对应的benchmark就是arrival price。因此，本题我们要找到arrival price作为reference price。对应到题干中：The buy-side trader releases the order for market execution when the price is $40.50，这句话描述的就是arrival price的定义（订单发布到市场时的市场价格：40.5），所以benchmark就是40.5。

2、40对应的是decision price，IS的基准就是decision price。

所以我们做题的时候，要先分清楚考察的是哪一个成本，然后分清楚arrival price和decision price的定义，找准各自的价格。

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NO.PZ2020020202000014 问题如下 The next y, Harng instructs Yellow to revisit their researon BYYP, InYellow’s researlea her to believe thits shares are unrvalue She shares her researwith Harng, an10 a.m. he instructs her to buy 120,000 shares when the priis $40.00 using a limit orr of $42.00.The buy-si trar releases the orr for market execution when the priis $40.50. The only fee is a commission of $0.02 per share. the enof the trang y, 90,000 shares of the orr hbeen purchase anBYYP closes $42.50. The tra wexecuteaverage priof $41.42. tails about the executetras are presentein Exhibit 1.The arrivcost for purchasing the 90,000 shares of BYYP is: A.164.4 bp. B.227.2 bp. C.355.0 bp. B is correct.The arrivcost is calculateas:Arrivcost (bp) =Si×P‾−P0P0×104bp=+1×41.42−40.5040.50×104bp=227.2bpSi\times\frac{\overline P-P_0}{P_0}\times10^4bp=+1\times\frac{41.42-40.50}{40.50}\times10^4bp=227.2bpSi×P0​P−P0​​×104bp=+1×40.5041.42−40.50​×104bp=227.2 这道题如果要求计算implementation short fall，那cision price是否应该是40？

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