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lman · 2021年04月17日

slippage cost定义是什么?并请详细解释~

* 问题详情,请 查看题干

NO.PZ201809170400000503

问题如下:

Which fund in Exhibit 1 most likely has the greatest implicit costs to implement its strategy?

选项:

A.

Fund 1

B.

Fund 2

C.

Fund 3

解释:

A is correct. Because Fund 1 has a large AUM but focuses on small-cap stocks, holds a relatively small number of securities in its portfolio, and prefers to make large trades, Fund 1 likely has the highest implicit costs. Each of these characteristics serves to increase the market impact of its trades. Market impact is a function of the security’s liquidity and trade size. The larger a trade size relative to a stock’s average daily volume, the more likely it is that the trade will affect prices. The relatively low level of trading volume of small-cap stocks can be a significant implementation hurdle for a manager running a strategy with significant assets under management and significant positive active weights on smaller companies.

slippage cost定义是什么?并请详细解释~

1 个答案

maggie_品职助教 · 2021年04月18日

嗨,从没放弃的小努力你好:


slippage cost是指由于交易太慢带来的成本即最终的交易价格可能错过了最佳市场价格,通常发生在市场上涨的趋势或下跌的趋势中。打个比方,你决策想买一只股票时他的价格为10元,可能等你真正下单交易时该股票已经15元了。这中间的5元就是slippage cost。

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