为什么是用arrival price，而不是decision price呢

问题如下：

In the UPX Fund, an investment in the new technology sector has performed well and is expected to continue to do so. However, the proportion of the fund invested in the new technology sector is now larger than what is permitted in the fund prospectus. Holt intends to reduce the holdings in the sector to comply with the prospectus over the next two months before the quarter ends. The volume of shares that need to be sold is approximately 20% of the daily volume in their respective individual markets.

To execute the trades in the new technology sector, Holt asks his team to consider three possible options:

Upon completion of the trades, Holt calculates an expanded implementation shortfall to evaluate trade costs. The data are provided in Exhibit 1.

Exhibit 1. Expanded Implementation Shortfall Information ($) for the Trades in the New Technology Sector

Holt asks his team to determine whether trading with a new securities brokerage, Zavier Brokerage (ZB), appears to be viable. The team sent ZB a buy order for 5,000 shares of XTV stock to test the brokerage’s trading abilities. The anticipated trade execution cost was 110.00 basis points (bps), based on previous trading with other brokerages. Exhibit 2 displays ZB’s execution performance.

Exhibit 2. ZB Trade Execution Performance

选项：

A.70.57 bps.

B.74.69 bps.

C.101.21 bps.

解释：

B is correct. Market-adjusted cost (bps) = Arrival cost (bps) – Beta × Index cost (bps).

Arrival cost (in bps) = [(Average execution price – Arrival price) ÷ Arrival price] × 10,000 bps

= [($25.75 – $25.50) ÷ $25.50] × 10,000 bps = 98.04 bps.

Index cost (in bps) = [(Average execution index price – Arrival index price) ÷ Arrival index price] × 10,000 bps

= [($12,775 – $12,740) ÷ $12,740] × 10,000 bps = 27.47 bps.

Market-adjusted cost = Arrival cost –Beta × Index cost

= 98.04 – 0.85 × 27.47 = 74.69 bps.

A is incorrect. It is the arrival cost less the index cost (98.04 – 27.47 = 70.57), which is not adjusted for beta.

C is incorrect. The decision price, instead of the arrival price, is used for the arrival cost calculation. [($25.75 – $25.45) ÷ $25.45] × 10,000 bps = 117.88 bps. [($12,775 – $12,750) ÷ $12,750] × 10,000 bps = 19.61 bps.The final calculation becomes 117.88 – 0.85 × 19.61 = 101.21 bps.