the past papers have different types of questions for implementation shortfall asking for per share cost and different terminology of components…2008 schweser and cfa books only show percent cost calculations and different component terminology…do i need to worry about the previous version as well?? any comments?
just be able to calculate it as a percent or as a dollar amount. don’t worry about per share.
Reminds me… I gotta remember how to calculate it in dollar terms… Anyone want to refresh my memory here?
PJ, Paper portfolio is on the bottom of all the calcs. Multiply by that and you have the dollar amts.
So just take the % answer and multiply it by the paper portfolio amount (Shares x benchmark price)? Also, I noticed they don’t include commissions in calculating the paper portfolio gain/losses.
you can also do Return on Paper Portfolio - Return on Actual Portfolio Return on Paper Portfolio = (final price * # of shares that you wanted to buy) - (decision price * # of shares that you wanted to buy) Actual Portfolio = (final price * sum of all shares bought) - (execution price * # of shares executed) - transaction costs (execution price * # of shares executed) — may have more than one term if shares were bought at different times
transaction cost is always in percentage, in same unit as alpha, risk (stdev). There is not such thing as tc/shere.
not true, you can pay flat transaction cost of $100 per order, or it can be per lot you are buying, 50 per 10,000 shares but it will be give to you, so if its give in you just use it and if its in % you multiply it by your order size
I think there have been questions where it states that the transaction cost is 19$ / trade etc etc …