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Howd

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tT
发表于 2011-7-11 19:29 | 只看该作者

Implementation shortfall Q

manager, advantages, activity
The first advantages of Implementation Shortfall(IS) is:

* links trading to portfolio manager activity.

Why is it an advantage of IS, but not an advantage of VWAP? Thanks. (Notes: not in Schwsr).
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liangfeng

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2#
发表于 2011-7-11 19:29 | 只看该作者
IS takes into account implicit cost like delay cost and opportunity cost all of which are linked to portfolio manager's activity.

VWAP does not capture these implicit cost.

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dyga

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3#
发表于 2011-7-11 19:29 | 只看该作者
bell99 Wrote:
-------------------------------------------------------
> IS takes into account implicit cost like delay
> cost and opportunity cost all of which are linked
> to portfolio manager's activity.
>
> VWAP does not capture these implicit cost.

Thanks, bell99. ...I had a hard time to understand the statements of Execution chapter.

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pennyless

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4#
发表于 2011-7-11 19:29 | 只看该作者
deriv108 Wrote:
-------------------------------------------------------
> thanks, bp.
>
> One of the disadvantage of IS is "imposes an
> unfamiliar evaluation framework on traders".
>
> Simply put, does it means that IS strategy gives
> the portfolio managers more "power" over the
> traders?

It means not many traders know what it is.

NO EXCUSES

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