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1、.sesjj(Case:RobertHardingRobertHardingisaportfoliomanageratVaIIeyRisezahedgefundbasedintheUnitedStates.HardingmonitorstheportfolioalongsideAndreaYellow,ajunioranalyst.VaIIeyRiseonlyinvestsinequities,butHardingisconsideringotherassetclassestoaddtotheportfolio,namelyderivatives,fixedincome；andcurrenci
2、es.HardingandYellowmeettodiscusstheirtradingstrategiesandpricebenchmarks.HardingbeginsthemeetingbyaskingYellowaboutfactorsthataffecttheselectionofanappropriatetradingstrategy.YellowtellsHarding:HStatement1Tradingwithgreaterurgencyresultsinlowerexecutionrisk.Statement2Tradinglargersizeorderswithhighe
3、rtradeurgencyreducesmarketimpact.Statement3Securitieswithhighratesofalphadecayrequirelessaggressivetradingtorealizealpha.AfterfurtherdiscussionaboutYellow,sstatements,HardingprovidesYellowalistoftradesthathewantstoexecute.HeasksYellowtorecommendapricebenchmark.Hardingwantstouseabenchmarkwheretherefe
4、rencepriceforthebenchmarkiscomputedbasedonmarketpricesthatoccurduringthetradingperiod,excludingtradeoutliers.Case:RobertHardingEarlierthatdaybeforethemeeting,Yellowbelievedthatthemarkethadunderreactedduringthepre-markettradingsessiontoastrongearningsannouncementfromABCCorp.,acompanythatYellowandHard
5、inghavebeenthoroughlyresearchingforseveralmonths.Theirresearchsuggestedthestock*sfairvaluewas$90pershare,andthestrongearningsannouncementreinforcedtheirbeliefintheirfairvalueestimate.Case:RobertHarding因Rightaftertheearningsannouncementthepre-marketpriceofABCwas$75.Concernedthattheunderreactionwouldb
6、eshort-lived,HardingdirectedYellowtobuy30,000sharesofABCstock.YellowandHardingdiscussedatradingstrategy,knowingthatABCsharesareveryliquidandtheorderwouldrepresentonlyabout1%oftheexpecteddailyvolume.Theyagreedontradingaportionoftheorderattheopeningauctionandthenfillingtheremainderoftheorderaftertheop
7、eningauction.Thestrategyforfillingtheremainingportionoftheorderwastoexecutetradesatpricesclosetothemarketpriceatthetimetheorderwasreceived.HHardingandYellowthenshifttheirconversationtoXYZCorp.HardingtellsYellowthat,afterextensiveresearch,hewouldliketoutilizeanalgorithmtopurchasesomesharesthatarerela
8、tivelyliquid.WhenbuildingtheportfoliospositioninXYZ,Harding,spriorityistominimizethetrade,smarketimpacttoavoidconveyinginformationtomarketparticipants.Additionally,Hardingdoesnotexpectadversepricemovementsduringthetradehorizon.Case:RobertHardingHardingandYellowconcludetheirmeetingbycomparingtradeimp
9、lementationforequitieswiththetradeimplementationforthenewfixed-income,exchange-tradedderivatives,andcurrencyinvestmentsunderconsideration.YellowtellsHarding:Statement4Smallcurrencytradesandsmallexchange-tradedderivativestradesaretypicallyimplementedusingthedirectmarketaccess(DMA)approach.Statement5T
10、hehigh-touchagencyapproachistypicallyusedtoexecutelarge,non-urgenttradesinfixed-incomeandexchange-tradedderivativesmarkets.Case:RobertHarding因Thenextday,HardinginstructsYellowtorevisittheirresearchonBYYP,Inc.Yellowsresearchleadshertobelievethatitssharesareundervalued.ShesharesherresearchwithHarding,
11、andat10a.m.heinstructshertobuy120,000shareswhenthepriceis$40.00usingalimitorderof$42.00.Thebuy-sidetraderreleasestheorderformarketexecutionwhenthepriceis$40.50.Theonlyfeeisacommissionof$0.02pershare.Bytheendofthetradingday,90,000sharesoftheorderhadbeenpurchased,andBYYPclosesat$42.50.Thetradewasexecu
12、tedatanaveragepriceof$41.42.DetailsabouttheexecutedtradesarepresentedinExhibit1.HExhibit 1 BYYP Trade Execution DetailsCase:RobertHardingWhilethebuy-sidetraderexecutestheBYYPtrade,HardingandYellowreviewVaIIeyRiserStradepolicydocument.Afterreviewingthedocument,Yellowrecommendsseveralchanges:1)addapol
13、icyforthetreatmentoftradeerrors;2)addapolicythatensuresover-the-counterderivativesaretradedonvenueswithrulesthatensureminimumpricetransparency;and3)alterthelistofeligiblebrokerstoincludeonlythosethatprovideexecutionatthelowestpossibletradingcost.Case:RobertHardingWhichofYellow*sstatementsregardingth
14、efactorsaffectingtheselectionofatradingstrategyiscorrect?HGreatertradeurgencyresultsinlowerexecutionriskbecausetheorderisexecutedoverashorterperiodoftime,whichdecreasesthetimethetradeisexposedtopricevolatilityandchangingmarketconditions.Incontrastlowertradeurgencyresultsinhigherexecutionriskbecauset
15、heorderisexecutedoveralongerperiodoftime,whichincreasesthetimethetradeisexposedtopricevolatilityandchangingmarketconditions.Case:RobertHardingGiventheparametersforthebenchmarkgivenbyHarding,Yellowshouldrecommendabenchmarkthatisbasedonthe:A.arrivalprice.B.time-weightedaverageprice.C.volume-weightedav
16、erageprice.Case:RobertHardingSolution:B.HardingaskedYellowtoexecutealistoftrades,andhewantstouseapricebenchmarkwherethereferencepriceforthebenchmarkiscomputedbasedonmarketpricesthatoccurduringthetradingperiod,excludingtradeoutliers.Portfoliomanagersoftenspecifyanintradaybenchmarkforfundsthataretradingpassivelyovertheday,seekingli
