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Trade Performance A trader attempted to buy 100,000 shares of stock RLK but was only able to execute 80,000 shares. The arrival price (price when
- Trade Performance
A trader attempted to buy 100,000 shares of stock RLK but was only able to execute 80,000 shares. The arrival price (price when the order was entered into the market) was P0=$50.00 and the average execution price was Pavg=$50.18.
The estimated market impact and timing risk for 100,000 shares of RLK was MI=40bp and TR=90bp respectively. The estimated market impact and timing risk for 80,000 shares of RLK was MI=30bp and TR=65bp respectively.
- What is the Value-Add of this order?
- What is the Z-score of this order?
- Did the broker perform better than expected, worse than expected, or as expected?
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