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我爱荷包蛋 · 2024年05月01日

Execution Cost与Arrival Cost的差异

  1. CFA III
  2. Trading&Performance

NO.PZ2020020202000012

问题如下：

The next day, Harding instructs Yellow to revisit their research on BYYP, Inc. Yellow’s research leads her to believe that its shares are undervalued. She shares her research with Harding, and at 10 a.m. he instructs her to buy 120,000 shares when the price is $40.00 using a limit order of $42.00.
The buy-side trader releases the order for market execution when the price is $40.50. The only fee is a commission of $0.02 per share. By the end of the trading day, 90,000 shares of the order had been purchased, and BYYP closes at $42.50. The trade was executed at an average price of $41.42. Details about the executed trades are presented in Exhibit 1.

Based on Exhibit 1, the execution cost for purchasing the 90,000 shares of BYYP is:

选项：

A.

$60,000.

B.

$82,500.

C.

$127,500.

解释：

C is correct.

Execution cost is calculated as the difference between the cost of the real portfolio and the paper portfolio. It reflects the execution price(s) paid for the number of shares in the order that were actually filled or executed. The execution cost is calculated as:
Execution cost = ∑SjPj−∑SjPd\sum S_jP_j-\sum S_jP_d
= [(10,000 shares × $40.75) + (30,000 shares × $41.25) + (20,000 shares × $41.50) + (30,000 shares × $41.75)] – (90,000 × $40.00)
= $3,727,500 – $3,600,000
= $127,500

请问这一题的Execution Cost与上一小题的Arrival Cost（金额形式）是否都是衡量已经交易的shares的成本？两种cost的差异是否仅是benchmark price的不一样？我理解前者是选择Decision Price，后者是有四种选择，对吗？

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1 个答案

吴昊_品职助教 · 2024年05月06日

嗨，爱思考的PZer你好：


这两个成本分属于两个体系：

1、execution cost是Implementation shortfall中的一部分。

2、arrival cost属于另一个体系，是trade cost的一种。当benchmark price是arrival price的时候算出来的trade cost就是arrival cost。

不过，这两者都是衡量已经交易的shares的成本。

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