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LPoulin133

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tT
发表于 2011-7-11 20:09 | 只看该作者

implementation shortfall

question
CFAI vol. 6 page 58 question 10 B.

I have not seen this formula for implementation shortfall ?!!!
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justin88

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2#
发表于 2011-7-11 20:09 | 只看该作者
why do you care?

If you know one formula - then you will get the right answer

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Iginla2011

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3#
发表于 2011-7-11 20:09 | 只看该作者
you mean the midpoint thing? Theyre just saying if presented with a bid ask spread instead of a price benchmark to use the midpoint as your benchmark.

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aidebaobao

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4#
发表于 2011-7-11 20:09 | 只看该作者
THanks jut111

I was struggling with this one.

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oneboy

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5#
发表于 2011-7-11 20:09 | 只看该作者
I don't know if you guys remember, but I was doing an IS problem, where the securities were purchased at different prices and they used the average prices of the purchase to calculate the realized profits/losses.

Any idea where this was? I think it would have been in one of the Schweser exams, not sure.

But is that concept right? Or do we have to calculate the realized profits individually for each purchase price?

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wake2000

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6#
发表于 2011-7-11 20:09 | 只看该作者
Thanks again.

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infinitybenzo

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7#
发表于 2011-7-11 20:09 | 只看该作者
No. I do not believe so. There are two previous closing prices- if I recollect correctly.
Problem specifically states which one to take.

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cityboy

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8#
发表于 2011-7-11 20:09 | 只看该作者
Hey thanks DS. Quick question, ifyou dont mind, so if we are averaging the prices for calculation of RP/RL, would we also average the prices for the delay costs? as this would also involve two separate delay costs if they are made during a span of a couple of days.

Thanks

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