标题: Market Adjusted Implementation Shortfall [打印本页]

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作者: jcole21    时间: 2011-7-13 16:08     标题: Market Adjusted Implementation Shortfall

I've read Schweser and CFAI and just don't get the logic behind this one...

Vol 6 P 27 in CFAI

...so if the manager has an implementation shortfall cost of 87 bps and the stock was predicted to increase by 100 bps, does the -13 bps adjusted shortfall mean the manager actually added value?

exhausted. confused. thanks.

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作者: Roflnadal    时间: 2011-7-13 16:08

If the stock has a beta of two and tehe market went up by 1%... you do 2 x 1% x IS

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作者: mp3bu    时间: 2011-7-13 16:08

My bad, the formula is actually IS-(B*Port return)

NO EXCUSES

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作者: Zestt    时间: 2011-7-13 16:08

Okay - so 87 - (2*1%)
= 87 - 200

= -113 bps

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