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米妮涵 · 2023年06月21日

能否解释一下答案中finding那段conclusion的意思

  1. CFA III
  2. Trading&Performance

* 问题详情，请 查看题干

NO.PZ202110280100000403

问题如下：

Calculate the market-adjusted cost of the trade. Discuss the finding.

选项：

解释：

Bradley and the trader’s analysis will show that the market-adjusted cost calculates as follows:


LIM’s market-adjusted cost is thus significantly lower than the total arrival cost. Tis indicates that most of the expense associated with buying LIM is due to the effect of buying it in a rising market as opposed to the buying pressure induced by the order itself.

所以market-adjusted cost的高低分别说明什么呢？

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笛子_品职助教 · 2023年06月21日

嗨，努力学习的PZer你好：


能否解释一下答案中finding那段conclusion的意思

所以market-adjusted cost的高低分别说明什么呢？


我们看这段解析：

LIM’s market-adjusted cost is thus significantly lower than the total arrival cost. Tis indicates that most of the expense associated with buying LIM is due to the effect of buying it in a rising market as opposed to the buying pressure induced by the order itself.


字面含义是：LIM的市场调整成本（ market-adjusted cost）明显低于总到达成本（total arrival cos）。Tis表明，与购买LIM相关的大部分费用是由于在不断上涨的市场中购买LIM的效果，而不是订单本身引起的购买压力。


进一步理解：


arrival cost是总的成本，分解为市场趋势带来的成本-index cost和自己订单的成本market adjusted cost，进而找出二者孰大孰小，来判断对总成本的主要影响因素。


比如index cost大，则意味着主要成本是市场趋势带来的，若market adjusted cost大，则意味着主要是交易下单带来的成本。market adjusted cost大于零意味着除了市场趋势影响外，下的订单本身也带来正的成本。反之market adjusted cost小于零意味着下单本身有负的成本（盈利），此时交易员是有功劳的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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