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1、一鼠ll裕lf您IIIVHOuo4mxUJPUe A62BS HDUqQdHARobertHardingisaportfoliomanageratVaIIeyRise,ahedgefundbasedintheUnitedStates.HardingmonitorstheportfolioalongsideAndreaYellow,ajunioranalystVaIIeyRiseonlyinvestsinequities,butHardingisconsideringotherassetclassestoaddtotheportfolio,namelyderivatives,fixedincom
2、e,andcurrencies.HardingandYellowmeettodiscusstheirtradingstrategiesandpricebenchmarks.HardingbeginsthemeetingbyaskingYellowaboutfactorsthataffecttheselectionofanappropriatetradingstrategy.YellowtellsHarding:1Statement1Tradingwithgreaterurgencyresultsinlowerexecutionrisk.Statement2Tradinglargersizeor
3、derswithhighertradeurgencyreducesmarketimpact.Statement3Securitieswithhighratesofalphadecayrequirelessaggressivetradingtorealizealpha.AfterfurtherdiscussionaboutYellowsstatements,HardingprovidesYellowalistoftradesthathewantstoexecute.HeasksYellowtorecommendapricebenchmark.Hardingwantstouseabenchmark
4、wherethereferencepriceforthebenchmarkiscomputedbasedonmarketpricesthatoccurduringthetradingperiod,excludingtradeoutliers.HAEarlierthatdaybeforethemeeting,Yellowbelievedthatthemarkethadunderreactedduringthepre-markettradingsessiontoastrongearningsannouncementfromABCCorp.,acompanythatYellowandHardingh
5、avebeenthoroughlyresearchingforseveralmonths.Theirresearchsuggestedthestock,sfairvaluewas$90pershare,andthestrongearningsannouncementreinforcedtheirbeliefintheirfairvalueestimate.HARightaftertheearningsannouncement,thepre-marketpriceofABCwas$75.Concernedthattheunderreactionwouldbeshort-lived,Harding
6、directedYellowtobuy30,000sharesofABCstock.YellowandHardingdiscussedatradingstrategy,knowingthatABCsharesareveryliquidandtheorderwouldrepresentonlyabout1%oftheexpecteddailyvolume.Theyagreedontradingaportionoftheorderattheopeningauctionandthenfillingtheremainderoftheorderaftertheopeningauction.Thestra
7、tegyforfillingtheremainingportionoftheorderwastoexecutetradesatpricesclosetothemarketpriceatthetimetheorderwasreceived.uozo-PBI 七6.JnPSlU IU 01JU：d S PBtJdx IoUS OP6U-PBH S-BUoppOU u-o。二UBdiU- ES、p3Jl IIl Z-UJ-U-IU 01-AIodSbU-PJBHZAXU-Uo-SodOO=OJtOd 6u-p-qUEMPnb=4BIBwS B-c-s UJOS SB-5md 0UJw06-5Ue Z
8、三一nOl - P-om 一-IPJBS-su -Je Mo=A S-3 6,PJH djouZAX Oluo4BSJuou-I 1JSu 一Mo-A puro6pBH AHAHardingandYellowconcludetheirmeetingbycomparingtradeimplementationforequitieswiththetradeimplementationforthenewfixed-income,exchange-tradedderivatives,andcurrencyinvestmentsunderconsideration.YellowtellsHarding:
9、Statement4Smallcurrencytradesandsmallexchange-tradedderivativestradesaretypicallyimplementedusingthedirectmarketaccess(DMA)approach.Statement5Thehigh-touchagencyapproachistypicallyusedtoexecutelarge,non-urgenttradesinfixed-incomeandexchange-tradedderivativesmarkets.HAThenextday,HardinginstructsYello
10、wtorevisittheirresearchonBYYP,Inc.Yellow,sresearchleadshertobelievethatitssharesareundervalued.ShesharesherresearchwithHarding,andat10a.m.heinstructshertobuy120,000shareswhenthepriceis$40.00usingalimitorderof$42.00.AThebuy-sidetraderreleasestheorderformarketexecutionwhenthepriceis$40.50.Theonlyfeeis
11、acommissionof$0.02pershare.Bytheendofthetradingday,90,000sharesoftheorderhadbeenpurchased,andBYYPclosesat$42.50.Thetradewasexecutedatanaveragepriceof$41.42.DetailsabouttheexecutedtradesarepresentedinExhibit1.1Exhibit1BYYPTradeExecutionDetailsTradesTrade1Trade230,000Trade320,000Trade430,000Total90,00
12、0HAWhilethebuy-sidetraderexecutestheBYYPtrade,HandingandYellowreviewVaIIeyRisefStradepolicydocument.Afterreviewingthedocument,Yellowrecommendsseveralchanges:1)addapolicyforthetreatmentoftradeerrors;2)addapolicythatensuresover-the-counterderivativesaretradedonvenueswithrulesthatensureminimumpricetran
13、sparency;and3)alterthelistofeligiblebrokerstoincludeonlythosethatprovideexecutionatthelowestpossibletradingcost.HGreatertradeurgencyresultsinlowerexecutionriskbecausetheorderisexecutedoverashorterperiodoftime,whichdecreasesthetimethetradeisexposedtopricevolatilityandchangingmarketconditions.Incontra
14、st,lowertradeurgencyresultsinhigherexecutionriskbecausetheorderisexecutedoveralongerperiodoftime,whichincreasesthetimethetradeisexposedtopricevolatilityandchangingmarketconditions.luoS-leJipuqP-uEoP-Floqs1HardingaskedYellowtoexecutealistoftrades,andhewantstouseapricebenchmarkwherethereferencepricefo
15、rthebenchmarkiscomputedbasedonmarketpricesthatoccurduringthetradingperiod,excludingtradeoutliers.Portfoliomanagersoftenspecifyanintradaybenchmarkforfundsthataretradingpassivelyovertheday,seekingliquidity,andforfundsthatmayberebalancing,executingabuy/selltradelist,andminimizingrisk.Anintradaypriceben
16、chmarkisbasedonapricethatoccursduringthetradingperiod.Themostcommonintradaybenchmarksusedintradingarevolume-weightedaverageprice(VWAP)andtime-weightedaverageprice(TWAP).PortfoliomanagerschooseTWAPwhentheywishtoexcludepotentialtradeoutliers.1B.aTWAPparticipationstrategy.C.aVWAPparticipationstrategy.H
17、Giventhetradeurgencyoftheorder,theveryliquidmarketforABCshares,andthesmallordersizerelativetoABC,sexpectedvolume,Yellowisusinganarrivalpricetradingstrategythatwouldattempttoexecutetheremainingsharesclosetomarketpricesatthetimetheorderisreceived,cfafrmcpacmavideo,weixin:804283381LUL06-plsFntjOddoUIUI
18、Il06-pud-.IUIlI06u-u.0E。d-lu-odInoqBj-qSzPUeUO-sodZAXW6u-p-q-AlodSK-PJBHUE6sJLISZAXWBS3JndOlPSnqP-noilsUJL06-3+0dAlllA1XYZsharesarerelativelyliquid,andHardinghasprioritizedminimizingthetrade,smarketimpacttoavoidconveyinginformationtomarketparticipants.Hardingalsodoesnotexpectadversepricemovementsdur
19、ingthetradehorizon.Scheduledalgorithmsareappropriateforordersinwhichportfoliomanagersortradersdonothaveexpectationsforadversepricemovementduringthetradehorizon.Thesealgorithmsarealsousedbyportfoliomanagersandtraderswhohavegreaterrisktoleranceforlongerexecutiontimeperiodsandaremoreconcernedwithminimi
20、zingmarketimpact.Scheduledalgorithmsareoftenappropriatewhentheordersizeisrelativelysmall(e.g.,nomorethan5%-10%ofexpectedvolume),thesecurityisrelativelyliquid,ortheordersarepartofarisk-balancedbasketandtradingallordersatasimilarpacewillmaintaintheriskbalance.1WhichofYellow,sstatementsregardingthetrad
21、eimplementationof*WM1“WWmWE*M*MMMHM1Smallcurrencytradesareusuallyimplementedusingdirectmarketaccess(DMA).Buy-sidetradersgenerallyuseDMAforexchange-tradedderivatives,particularlyforsmallertrades.1ABasedonExhibitlztheexecutioncostforpurchasingthe90,000shares*WM1“WWmWE*M*MMMHMHExecutioncostiscalculated
22、asthedifferencebetweenthecostoftherealportfolioandthepaperportfolio.Itreflectstheexecutionprice(s)paidforthenumberofsharesintheorderthatwereactuallyfilledorexecuted.Theexecutioncostiscalculatedas:碧瑕-碧果=(10,000shares$40.75)+(30,000shares$41.25)+(20,000shares$41.50)+(30,000shares$41.75)-(90,000$40.00)
23、=$3,727,500-$3,600,000CK：*MOoU(OoO寸SloZM)(OOo、06000、OZI)H-PBlgS-BU-ouA-unoddo-l-.u-Uo-SPPIlISBilS=BuOlz6uaqIoUJolsouWSLJaIPUB电JoWU-P13XUnU-shellsJo.!qunuIUoPs3q-ISO。A-unt-oddo(OOsIo寸S(OsO寸SZI寸S)X1+1Asitrelatestothetradepolicydocument,VaIIeyRiseshouldimplementiwwrueS6三B=号q3UOsodoJoJ|S-BlOlOlUo4nqluou
24、-CTC-EIro-.8*OMUJB苴t-o0UMoPdolBOl三SIUn-3uol-c-SodiUoUP.BipuqIOJ-SUo一SPPUo-rjesPUBUo-Iso-B6u.p11t-l-sP-FIOLIS-ro一uol-roIUUJu-UMoPdolB0LL-uo-InqtB,。dlls,iz.1BJBSBOPU-ozWeIU-5UqTO-rororoE-O=OJtod一|一1BasedonExhibit1,thetargetsemideviationfortheportfolioisclosest*WM1“WWmWE*M*MMMHMHThetargetsemi-standardd
25、eviationortargetsemideviationisthedenominatoroftheSortinoratio.ThenumeratoroftheSortinoratioistheaverageportfolioreturnminusthetargetrateofreturn(minimumacceptablereturn,orMAR),cfafrmcpacmavideo,weixin:804283381(AverageportfolioreturnMAR)Sortinoratio=SubstitutingthevaluesprovidedinExhibit3,thetarget
26、semideviationisasfollows:8.20%-5.00%Targetsemideviation=3.678%=3.68%HC.thattheportfoliogenerateshigherreturnsthanthebenchmarkduringallmarketconditions.iwwrueaMtaaMHM1Theupside/downsidecapture,orsimplythecaptureratio(CR),istheupsidecaptureratiodividedbythedownsidecaptureratio.Acaptureratiogreaterthan
27、1indicatespositiveasymmetryofreturns,oraconvexreturnprofile.1AThemaximumdrawdownanddrawdowndurationinExhibit1indicateB.overthe10-yearperiod,theaveragemaximumlosswas-24.00%.C.asignificantlossoncepersistedforfourmonthsbeforetheportfoliobegantorecover.*WM1“WWmWE*M*StephanieTolmachisaconsultanthiredtocr
28、eateaperformanceattributionreportonthreefundsheldbyadefinedbenefitpensionplan(thePlan).Fund1isadomesticequitystrategy,Fund2isaglobalequitystrategy,andFund3isadomesticfixed-incomestrategy.ATolmachusesthreeapproachestoattributionanalysis:thereturn-based,holdings-based,andtransaction-basedapproaches.Th
29、ePlansinvestmentcommitteeasksTolmachto(1)applytheattributionmethodthatusesonlyeachfund,stotalportfolioreturnsoverthelast12monthstoidentifyreturn-generatingcomponentsoftheinvestmentprocessand(2)includetheimpactofspecificactiveinvestmentdecisionsandtheattributioneffectsofallocationandsecurityselection
30、inthereport.1ATolmachfirstevaluatestheperformanceofFund1byconstructinga*(4)16.32%-3.25%7.33%-9.60%50.53%3.38%-10.17%174.49%-274.49%100.00%*RMRFisthereturnonavalue-weightedequityindexinexcessoftheone-monthT-billrate,SMBisthesmallminusbigmarketcapitalizationfactor,HMListhehighminuslowfactor,andWMListh
31、ewinnersminuslosersfactor.*a*MMBMMCK1ATolmachturnsherattentiontoFund2,constructingaregion-basedmicroattributionanalysistoevaluatetheactivedecisionsoftheportfoliomanager.TheresultsarepresentedinExhibit2.Exhibit2Fund2PerformanceAllocationbyRegionPortfolioBenchmarkPortfolioReturnBenchmarkReturn16.50%16
32、.47%GreaterEurope42.35%23.16%25.43%Asiaand29.86%31.16%11.33%12.85%20.38%18.82%20.00%35.26%100.00%100.00%18.26%22.67%：*MHANext,TolmachevaluatesFund3andtheappropriatenessofitsbenchmark.Thebenchmarkisacap-weightedbondindexwithdailyreportedperformance;theindexisrebalancedfrequently,makingitdifficulttore
33、plicate.Thebenchmarkhasameaningfulinvestmentinforeignbonds,whereasFund3investsonlyindomesticbonds.Inthefinalsectionofthereport,TolmachreviewstheentirePlan,scharacteristics,assetallocation,andbenchmark.TolmachobservesthatthePlanzsbenefitsarenolongerindexedtoinflationandthattheworkforceis,onaverage,yo
34、ungerthanitwaswhenthecurrentfundallocationswereapproved.TolmachrecommendsachangeinthePlan,sassetallocationpolicy.BlBJrDUBISBlS-?IeIIISSSOJdIUIUlS3u一一PJOSlUUodEoj一AJ4UP-OpodB0Sunl2o=OJt=od-BlolWA-UoSSnUo-Inqll3PSBqIUnIH.(SlPPOJddPpsq-Uo-:PBSUBHscqlu-p-Ollroo-3uutuq一POlIul-olpPUB(lHOIzToIO-.-suSCTIUIjUn-OUU-s-l-suS0UBJ一UoPSB0QHABasedonExhibitlzwhichofthefollowingfactorscontributedtheleast*WM1“WWmWE*M*dsJ-%09NIpu3%90s)-XIIHPUB(Ad、CnsosPUB%ZO7)lIAlHUBESs-JBJPWnqEUOUSHS、umUo4q一Iuou一Jo%rcmzqMPUB汉60Jo?In-OSqBUBEO
