CFA三级基础班Execution of Portfolio Decisions:Monitoring an

CFA三级基础班Execution of Portfolio Decisions:Monitoring and Rebalancing–pdf下载

Framework of Reading 45
1. The Context of Trading: Market Microstructure
2. Quote-Driven (dealer) Market
3. Order-Driven Market
4. Brokered Markets
5. Roles of Brokers and Dealers
6. Market Quality
7. Execution Cost
8. WWAP VS. Implementation Shortfall
9. Pre-trade Analysis: Econometric Models For Costs
10. Types of Traders and Their Preferred Order Types
11. Algorithmic Trading
12. Serve The Clients’ Interests-Best Execution

The Context of Trading: Market
Market-not-held order
Participate (do not initiate) order
Best efforts order
Undisclosed limit (reserve/hidden) order
Market on open/close order

Roles of Brokers and Dealers
1. Represent the order
2. Find the opposite side of a trade
3. Supply market information
4. Provide discretion and secrecy
5. Provide other supporting investment services
6. Support the market mechanism

Market Quality
Small bid ask spread
Market Depth
Many buyers and sellers
Diversity of opinions, information and needs
Market integrity
Information availability to investors; pre-trade and post-trade
Assurity of Completion
The counterparty will uphold their side of the trade agreement