CFA三级原版书课后题：交易、绩效评估与经理人选择_打印版.docx

.sesjj(Case:RobertHardingRobertHardingisaportfoliomanageratVaIIeyRisezahedgefundbasedintheUnitedStates.HardingmonitorstheportfolioalongsideAndreaYellow,ajunioranalyst.VaIIeyRiseonlyinvestsinequities,butHardingisconsideringotherassetclassestoaddtotheportfolio,namelyderivatives,fixedincome；andcurrencies.HardingandYellowmeettodiscusstheirtradingstrategiesandpricebenchmarks.HardingbeginsthemeetingbyaskingYellowaboutfactorsthataffecttheselectionofanappropriatetradingstrategy.YellowtellsHarding:HStatement1Tradingwithgreaterurgencyresultsinlowerexecutionrisk.Statement2Tradinglargersizeorderswithhighertradeurgencyreducesmarketimpact.Statement3Securitieswithhighratesofalphadecayrequirelessaggressivetradingtorealizealpha.AfterfurtherdiscussionaboutYellow,sstatements,HardingprovidesYellowalistoftradesthathewantstoexecute.HeasksYellowtorecommendapricebenchmark.Hardingwantstouseabenchmarkwherethereferencepriceforthebenchmarkiscomputedbasedonmarketpricesthatoccurduringthetradingperiod,excludingtradeoutliers.Case:RobertHardingEarlierthatdaybeforethemeeting,Yellowbelievedthatthemarkethadunderreactedduringthepre-markettradingsessiontoastrongearningsannouncementfromABCCorp.,acompanythatYellowandHardinghavebeenthoroughlyresearchingforseveralmonths.Theirresearchsuggestedthestock*sfairvaluewas$90pershare,andthestrongearningsannouncementreinforcedtheirbeliefintheirfairvalueestimate.Case:RobertHarding因Rightaftertheearningsannouncementthepre-marketpriceofABCwas$75.Concernedthattheunderreactionwouldbeshort-lived,HardingdirectedYellowtobuy30,000sharesofABCstock.YellowandHardingdiscussedatradingstrategy,knowingthatABCsharesareveryliquidandtheorderwouldrepresentonlyabout1%oftheexpecteddailyvolume.Theyagreedontradingaportionoftheorderattheopeningauctionandthenfillingtheremainderoftheorderaftertheopeningauction.Thestrategyforfillingtheremainingportionoftheorderwastoexecutetradesatpricesclosetothemarketpriceatthetimetheorderwasreceived.HHardingandYellowthenshifttheirconversationtoXYZCorp.HardingtellsYellowthat,afterextensiveresearch,hewouldliketoutilizeanalgorithmtopurchasesomesharesthatarerelativelyliquid.Whenbuildingtheportfolio'spositioninXYZ,Harding,spriorityistominimizethetrade,smarketimpacttoavoidconveyinginformationtomarketparticipants.Additionally,Hardingdoesnotexpectadversepricemovementsduringthetradehorizon.Case:RobertHardingHardingandYellowconcludetheirmeetingbycomparingtradeimplementationforequitieswiththetradeimplementationforthenewfixed-income,exchange-tradedderivatives,andcurrencyinvestmentsunderconsideration.YellowtellsHarding:Statement4Smallcurrencytradesandsmallexchange-tradedderivativestradesaretypicallyimplementedusingthedirectmarketaccess(DMA)approach.Statement5Thehigh-touchagencyapproachistypicallyusedtoexecutelarge,non-urgenttradesinfixed-incomeandexchange-tradedderivativesmarkets.Case:RobertHarding因Thenextday,HardinginstructsYellowtorevisittheirresearchonBYYP,Inc.Yellow'sresearchleadshertobelievethatitssharesareundervalued.ShesharesherresearchwithHarding,andat10a.m.heinstructshertobuy120,000shareswhenthepriceis$40.00usingalimitorderof$42.00.Thebuy-sidetraderreleasestheorderformarketexecutionwhenthepriceis$40.50.Theonlyfeeisacommissionof$0.02pershare.Bytheendofthetradingday,90,000sharesoftheorderhadbeenpurchased,andBYYPclosesat$42.50.Thetradewasexecutedatanaveragepriceof$41.42.DetailsabouttheexecutedtradesarepresentedinExhibit1.HExhibit 1 BYYP Trade Execution DetailsCase:RobertHardingWhilethebuy-sidetraderexecutestheBYYPtrade,HardingandYellowreviewVaIIeyRiserStradepolicydocument.Afterreviewingthedocument,Yellowrecommendsseveralchanges:1)addapolicyforthetreatmentoftradeerrors;2)addapolicythatensuresover-the-counterderivativesaretradedonvenueswithrulesthatensureminimumpricetransparency;and3)alterthelistofeligiblebrokerstoincludeonlythosethatprovideexecutionatthelowestpossibletradingcost.Case:RobertHardingWhichofYellow*sstatementsregardingthefactorsaffectingtheselectionofatradingstrategyiscorrect?HGreatertradeurgencyresultsinlowerexecutionriskbecausetheorderisexecutedoverashorterperiodoftime,whichdecreasesthetimethetradeisexposedtopricevolatilityandchangingmarketconditions.Incontrastlowertradeurgencyresultsinhigherexecutionriskbecausetheorderisexecutedoveralongerperiodoftime,whichincreasesthetimethetradeisexposedtopricevolatilityandchangingmarketconditions.Case:RobertHardingGiventheparametersforthebenchmarkgivenbyHarding,Yellowshouldrecommendabenchmarkthatisbasedonthe:A.arrivalprice.B.time-weightedaverageprice.C.volume-weightedaverageprice.Case:RobertHardingSolution:B.HardingaskedYellowtoexecutealistoftrades,andhewantstouseapricebenchmarkwherethereferencepriceforthebenchmarkiscomputedbasedonmarketpricesthatoccurduringthetradingperiod,excludingtradeoutliers.Portfoliomanagersoftenspecifyanintradaybenchmarkforfundsthataretradingpassivelyovertheday,seekingli