标题: CFAI text V6 R44 P26 : Benchmark price of Implementation sho [打印本页] 作者: kickthatcfa 时间: 2013-4-7 07:54 标题: CFAI text V6 R44 P26 : Benchmark price of Implementation sho
I am confused by the statement in the raised example on CFAI text V6 P26 that “The benchmark price is Monday’s close at 10.00”.
Shall the benchmark price be the price of 10.08 at which the remaining 300 shares is cancelled ?
My reason :
The gain from the paper portfolio is : (10.08-10.00) x 1,000 = 80
The gain from the actual portfolio is : (10.08-10.07) x 700 – 14 = - 7
Implementation shortfall = 80 – (-7) = 87
Since 10.08 is used to measure the gains of both paper and actual portfolio,
hence, 10.08 shall be the benchmark price. Am I wrong ?
Anyone can clarify ?
