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Carson

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tT
发表于 2011-7-11 19:00 | 只看该作者

market adjusted implementation shortfall?

between, measures, adjusted, difference, understand
I can understand the concept of implementation shortfall which measures pnl difference between a paper trade and a real trade. So the smaller the number the better.

Market adjusted I.S subtracts the return of the stock from the I.S. I am confused. What does this really measure? Can someone say the meaning in a sentence?

Thanks!

 

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aidebaobao

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2#
发表于 2011-7-11 19:00 | 只看该作者
Implementation Shortfall, as a measure, is usually used for small & urgent trades. These trades may have market impacts but they are usually very small. So it's fair to extract the market movement from it.

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ll11

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3#
发表于 2011-7-11 19:00 | 只看该作者
My confusion is that I.S. is a relative number. Now subtracting an absolute return, what does the value mean?

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Windjammer

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4#
发表于 2011-7-11 19:00 | 只看该作者
Not sure what you're asking...Implementation Shortfall is the difference between the paper portfolio's return and a actual portfolio's return. All are returns.

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Chuckrox

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5#
发表于 2011-7-11 19:00 | 只看该作者
I can understand implementation shortfall which is the differences of two abosolute returns.

I.S.(stock i) = (PNL(paper) - PNL(portfolio)) / (initial investment in paper trade)

The closer this number to zero, the better "trading".

M.A.I.S. (stock i)= I.S.(stock i) - Return(stock i)

This definition is not intuitive to me. How to interpret the number? The smaller the better or the larger the better? etc.

Thanks!

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