金程問(wèn)答
第三題，如果用paper profit - real profit來(lái)算，再算paper profit的時(shí)候，要減去0.05的commission*100,000股嗎？減了反而數(shù)字對(duì)不上了，不知道為什么。
怎么不是15.85%和15.82%比，而是15.82%和20.54%比，自己和自己怎么比？
交易科目North Circle這個(gè)case最后一問(wèn)，如果求出來(lái)market-adjsuted cost為負(fù)數(shù)，該怎么回答？
Richard whether there is a particular appraisal measure that he prefers. Richard describes a ratio that computes the expected return on an investment less a target return divided by a standard deviation measurement that is based on performance below the target return.老師您好，為啥這個(gè)是描述sortino ratio的，分母不是standard deviation嗎
Teamwork Advisory, LLC, was recently formed by a group of friends who attended graduate school together. Charlie Godwin and Susan Zhang lead the private client services division of the company. They have several funds under consideration to recommend to clients but want to be more confident about the abilities of the fund managers. Godwin suggests preparing a detailed performance evaluation of each manager.
Ben McNeil works as a senior manager at Chasing Alpha Research (CAR), a boutique investment house that specializes in managing portfolios for endowment funds. For the past year, CAR has been developing a machine learning (ML) algorithm that leverages frequently updated internal data (e.g., security weights, trades, and returns) and external data sources to construct individual stock portfolios within a pre-determined sector allocation range (–5% to +5% of benchmark). The goal of the portfolio is to outperform the benchmark over a 12-month period, and McNeil is reviewing the performance results to evaluate the effectiveness of the big data strategy. 老師您好，為啥根據(jù)這個(gè)消息，要用transaction base，不能用 holding base
圖例明明實(shí)線是凹線，為什么還在convex呢？
Measured approach 是什么東西
第1問(wèn)，VWAP和TWAP都存在當(dāng)天無(wú)法完成全部交易的可能啊。雖然TWAP把交易均分在每個(gè)時(shí)間段，但如果特定時(shí)間段的總成交量低于order size的話，也無(wú)法完成對(duì)應(yīng)時(shí)間段的預(yù)設(shè)交易量。另外，盡管VWAP在開(kāi)盤(pán)和尾盤(pán)交易量大，但這是基于historical data總結(jié)出來(lái)的規(guī)律，預(yù)設(shè)交易量是與總成交量正相關(guān)的。個(gè)人認(rèn)為VWAP和TWAP同時(shí)面臨當(dāng)天無(wú)法完成全部交易的風(fēng)險(xiǎn)。
這里execution cost為啥不能直接用（executed average price41.42-40）*90000來(lái)計(jì)算？
不理解“if performance is mean reverting, fire a poor performer only to be a reversion in performance‘
Capture ratio 如果portfolio return 與 benchmark return一正一負(fù)怎么計(jì)算
第二題，題目描述中沒(méi)有提到sharing是基于net of fee的active return，而解說(shuō)中計(jì)算時(shí)默認(rèn)是net of fee的，是否在做題時(shí)遇到類(lèi)似情況也默認(rèn)net of fee?
這里beta=1不是應(yīng)該表示和市場(chǎng)同漲同跌嗎？那踢除市場(chǎng)調(diào)整后的cost就應(yīng)該為0啊，我是順著這個(gè)思路選錯(cuò)的。
case-robert harding，， buy 120,000 shares when the price is $40 using a limit ordert of $42, 為何，42 不是decision price？
程寶問(wèn)答
