AppliedNumeric answer
A portfolio trades of its value each day (one-way) and pays a half-spread of bp on every trade. What is the annual cost, in percent of the portfolio, over days?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
The worked solution is in Premium
The answer, the full working and the one idea to take away – for this and all 1,322 questions in the bank. Answer it in practice and your working is marked, with a known mistake named when you make one.
Learn the method
Execution: market impact, implementation shortfall and capacity
More alpha and signal research questions
- A signal that trades too much, part 1 of 3Foundation
- Under the square-root law of market impact, quadrupling your order size…Applied
- You decide to buy at $100.00, fill 10,000 shares at an average of $100.15, and…Applied
- In Almgren–Chriss optimal execution, what makes the optimal schedule trade…Applied
- A signal that trades too much, part 2 of 3Applied
- A strategy earns 10 bp gross per trade.Advanced