execution quiz electronic, execution, principal, network, method

krause2

which method is most valuable for portfolio trade
A implementation shortfall
B VMAP
C principal trade
D electronic crossing network

bpdulog

I have no idea what you are asking. There is a language problem here...

If you are trading the whole portfolio and execution needs to be quick and assured, principal trade.

If you are trading the whole portfolio and execution can happen over time, use ECN.

ECN should result in highest value of an entire portfolio trade though.



Edited 1 time(s). Last edit at Thursday, June 2, 2011 at 04:33PM by Paraguay.

cityboy

portfolio trade invloves an order that requires the execution of purchases or sales in a specific basket of securities as close to the same time as possible

mp3bu

valuable is not the right word as it can have more than one meaning. Monetary value or valuable into complete them.

You can do entire baskets on ECN (I do them every day) or send them as a principal trade.

Execution speed is what matters.

Principal trade is going to create a lower monetary value based on the haircut but assurity of completion.

ECN is going to create a higher portfolio value in a flattish market but may take a couple of clearings to fully fill.



Edited 1 time(s). Last edit at Thursday, June 2, 2011 at 04:40PM by Paraguay.

Darien

C - i though principal for entire portfolios

NakedPuts2011

answer is A
Implementation shortfall strategies are typically “front-loaded” in the sense of attempting to exploit market liquidity early in the trading day. Implementation shortfall strategies are especially valuable for portfolio trades, in which control- ling the risk of not executing the trade list is critical. They are also useful in transition management (handing over a portfolio to a new portfolio manager), where multiperiod trading is common and there is a need for formal risk controls.

justin88

goodman2011 Wrote:
-------------------------------------------------------
> answer is A
> Implementation shortfall strategies are typically
> “front-loaded” in the sense of attempting to
> exploit market liquidity early in the trading day.
> Implementation shortfall strategies are especially
> valuable for portfolio trades, in which control-
> ling the risk of not executing the trade list is
> critical. They are also useful in transition
> management (handing over a portfolio to a new
> portfolio manager), where multiperiod trading is
> common and there is a need for formal risk
> controls.

Where in book?

I would have never put that down. I never heard of using algo for basket trade. Must be on dealer side but I can't even imagine.



Edited 1 time(s). Last edit at Thursday, June 2, 2011 at 04:48PM by Paraguay.

bboo

in the reading44

nannan66

goodman2011 Wrote:
-------------------------------------------------------
> in the reading44

They are valuable from an opportunity cost standpoint against other algo strategies.

This question is taken far out of context comparing it to other methods.

EOC 18 uses ECN and Broker/Principal to trade a block order.

"The trader should use an implementation shortfall strategy to control the risk of this rebalance. In short, he should minimize explicit costs by waiting for trades to cross in an electronic crossing network, such as the POSIT trading system, but he should also submit names not likely to cross to a broker in order to minimize opportunity costs."

I guess the answer is all of the above except for VWAP.



Edited 3 time(s). Last edit at Thursday, June 2, 2011 at 04:58PM by Paraguay.

Windjam

goodman is a man of few words, but he knows his shiz