If the market return was 1.2% over the time period of trading, the risk-free rate was 0.1%, the stock beta was 1.3, and the shortfall implementation cost is 0.48% for trading in the stock, then what is the shortfall implementation cost to which the manager should be held accountable?

The correct answer was C) -1.08%.

The realized profit and loss, delay costs, and missed trade opportunity cost of the implementation shortfall are all affected by market movements that the manager should not be held accountable for. The implementation shortfall should be adjusted for market-wide movements, resulting in the a market-adjusted implementation shortfall. Over a few days, the alpha term is assumed to be zero, so no adjustment for the risk-free rate is necessary. If the market return was 1.2% over the time period of this trading and the beta was 1.3 for the stock, then the expected return for it would be 1.2% ×1.3 = 1.56%. Subtracting this from the 0.48% results in a market-adjusted implementation shortfall of 0.48% - 1.56% = -1.08%.

看不懂的飘过………………

总觉得怪怪的，又不知道哪里怪

[此贴子已经被作者于2010-6-3 21:19:37编辑过]

看这题的意思，莫非the shortfall implementation cost to which the manager should be held accountable就是MAIS？学到了...

Notes上有这个公式， notes上是说E(R) = alfa + beta *E(Rm), 其中alfa的expected value = 0 (是不是将alfa看成error term? 这个没明白，死记了）。

这道题完全就是按照这个来做的。

不知道考试会不会这样出。。。。

“market-adjusted implementation shortfall ”

书上有这个定义 么？

[此贴子已经被作者于2010-6-4 12:07:28编辑过]

    我看过教材了，没有找到什么market-adjusted implementation shortfall的定义，只有关于implenmentation shortfall的定义及其分解。如果楼主的题是NOTES的练习题，那么我不想多说什么。因为，考试毕竟是以教材为基准的，练一些偏题、怪题对思维也许有启发，但人家出真题的并不一定领情。

     有错必改。本人又仔细的看了一篇教材，果然有相关内容，多谢提醒。