Trading, Monitoring, and Rebalancing
一般出上午题
RA30 Execution of Portfolio Decisions
一. effective spread（第一种方法）
effective spread for buy order = 2*（execution price - midquote）
effective spread for ll order = 2*（midquote - execution price）
二. Market Structures
（1）Quote-driven markets：dealer (spread)
（2）Order-driven markers: brokerage(中考英语完形填空commission) market impact cost + opportunity cost
（3）Brokered markets: illiquid
锐角三角比三. Execution cost
1. explicit costs: commissions, taxes, stamp duties, and fees
2. implicit costs: bid-ask spread, market or price impact cost（交易快）, opportunity cost(交易慢), delay cost（没有达成成交）
（1）market impact cost（第二种方法）
VWAP(Volume Weighted Average Price，★★考点)的缺点：
①交易量大：It is not uful if a trader is significant part of the trading volume.
②交易员可能操纵：the potential to "game" the comparison
③没有考虑到没成交的部分：VWAP does not consider misd trades
（2）implementation shortfall（必考★★★):和之间的差异（第三种方法）
shortfall = （paper portfolio 收益- actual portfolio收益含commission）/ paper投资额
生态分解为四个部分：
①explicit cost：commission/ paper投资额
②realized profit/loss(= market impact)：（实际成交价 - 第二天收盘价）*实际成交量/paper投资额：实际成交时把股价推高（低）的价格
③delay or slippage cost：（第二天收盘价 - 想买时的价格）*实际成交量/paper投资额：由于交易晚了少赚的部分
④misd trade opportunity cost：（最终价格 - 想买时价格）*没有成交量/paper投资额
（3）VWAP与shortfall对比
| advantage | disadvantage |
VMAP | easily understood easily computed applied quickly to enhance trading decisions appropriate for comparing small trades | not informative for trades that dominate trading volume can be gamed by traders do not evaluate delayed or unfilled orders do not account for market movements or trade volume |
implementation shortfall | portfolio manager can e the cost of implementing their ideas demonstrates the tradeoff between the market impact and quick execution decompos and identifies costs can be ud in an optimizer to minimize trading cost and maximize performance not subject to gaming | unfamiliar to traders requires considerable data and analysis |
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四、Econometric Models计量经济学模型（第四种方法）
回归方法
五、交易方法策略
（一）Major Trader Types
1. Information-motivated traders：尽快成交，market order
2. Value-motivated traders：看重成交成本，limit order
3. Liquidity-motivated traders：尽快成交，market order
广东dns4. Passive traders：看重价格，limit order
（二）Trading tactics：liquidity-at-any-cost, costs-are-not-important, need-trustworthy-agent, adverti-to-draw-liquidity, low-cost-whatever-the-liquidity
（三）algorithmic trading（重要考点★★★)
1. logical participation strategies: （考试可能会给描述让选是哪种策略）
（1）simple logical participation strategies
①VWAP：以VWAP为benchmark，超过就不成交
野茉莉②TWAP：每隔一段时间等额发order
③percent-of-volume：按最近一段时间成交量的一定比例（5%-20%）
（2）implementation shortfall strategies★：在交易速度和价格之间tradeoff。heavier early in the day to ensure order completion，剩下的小部分再找机会成交。特别担心不能成交时候用。
2. opportunistic strategies
3. specialized strategies
六、Best execution（★★可能出上午题）
（一）Four characteristics of Best Execution
1. 不能独立于交易决策。Best execution cannot be judged independently of the investment decision.
2. 事先不能知道。Best execution cannot be known with certainty ex ante.
3. 事后评估，但不能单看一次。Best execution can only be assd ex post. While cost can be measured for any single trade, quality of execution is assd over time.
4. 考切实可行。Relationships and practices are integral to best execution
（二）定义best execution的问题(了解)
1. 没有benchmark. Difficult to define a good benchmark.
2. 隐性成本很难衡量。Hard to measure implicit costs.
3. 机构投资者会拆分成小单。
4. 类型不同。Difficult to apply to all kinds of trades.
RA31 Monitoring and Rebalancing
只考Rebalancing（weight）
一、Rebalance的成本与收益：cost and benefit
1. benefit：maintain the desired exposure；provide disciplines
2. cost：transaction cost, tax liability incread
二、Rebalance Strategies
（一）Calendar rebalancing
优：1. provide discipline; 2. without any requirement to monitor the portfolio
缺：significant deviations from optimal weights at the rebalancing date
（二）percentage-of-portfolio rebalancing(PPR)：在允许范围内不调整，超过调整
interviewingcorridor = T +/- ( P*T )
1. 优：避免短期波动过大
缺：每天都要计算权重，工作量大协调能力
2. optimal corridor width（★★★上午题必考：给场景，选择增加或减少width，并解释原因）
Factor | Effect on corridor width | Explanation |
Transaction cost | + higher->wider | |
Risk tolerance | + higher->wider | |
三句话不离本行Correlation of returns with other class★ （其他资产一起涨跌，权重不变） | +bigger->wider | |
volatility of ast class returns | -bigger->narrower | |
volatility of the returns on the other asts in the portfolio（波动大，权重容易变） | -bigger->narrower | |
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3. 一旦超过，如何调整：
（1）有一个资产触线，所有资产都要调
（2）halfway back：调整到上下线与target的一半
(三)Dynamic Strategy（★★★考点）:股票价格变化的时候怎么调整
1. 三种策略
(1) Buy-and-hold：passive，do nothing，直线，截距是bond价值，斜率是股票占比
(2) Constant mix：资产percentage不变。股价涨卖股买债，股价跌卖债买股。concave
