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mia · 2022年12月25日

我用paper return和actual return之差怎么算不对呢

  1. CFA III
  2. Trading&Performance

* 问题详情，请 查看题干

NO.PZ202110280100000104

问题如下：

The implementation shortfall, in basis points (bps), for the sell order of West Commerce shares is closest to:

选项：

A.139. B.198. C.206.

解释：

Execution cost = [(–6,000 × 26.80) + (–3,000 × 26.30)] – (–9,000 × 27.10) = 4,200.

Opportunity cost = [–10,000 – (–9,000)] × (26.00 – 27.10) = 1,100.

Fees = 9,000 × 0.03 = 270.

So, the implementation shortfall ($) is calculated as

Implementation shortfall ($) = 4,200 + 1,100 + 270 = 5,570.

Finally, the implementation shortfall (bps) is calculated as

老师帮我看看我的计算哪里有问题：

（27.1-26）*10000-【0.3*6000+0.8*3000-0.03*9000]

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1 个答案

吴昊_品职助教 · 2022年12月26日

嗨，努力学习的PZer你好：


Paper return = -（26-27.1）×10000 =11000

real return = -（26-26.8）×6000 -（26-26.3）×3000-9000×0.03=5430

IS =paper-real=11000-5430=5570

IS（%）=5570/(27.1×10000)=0.0206=206bps

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