Implementation Shortfall: Delay/Slippage

[Bannasa]

Practice Problem 11, Pg 54, Volume 6.
So frigging confused about Delay calculation (Implementation Shorfall) especially when there are 2 days. The book explains it so poorly. Everything else except delay is easy. So, my question is what’s the formula for delay ( 2 days)? I thought you compare the 2 decision prices with the 2 eod prices but in Practice Problem 11, this is not what is done.
I was doing Decision 1 vs EOD 1 & Decision 2 vs. EOD 2 which would be $10 vs $9.99 (Day 1) and $9.99 vs $10.01. BUT the book compares the 2 decision prices with $ 10????? What gives????
Jay.

 

[cfa_student29]

delay is (relevant decision- becnhmark)/benchmark.. so the banchmark here is 10 is suppose, which will remain same for all days

 

[waldziuchna]

In delay calculation you have to always compare decision price to benchmark price ( $10).

 

[Bannasa]

OK so are you saying that -:
1) The benchmark price is always the 1st decision price.
2) This does not change.
Both 1 and 2?

 

[KeepOnTruckin]

Thinking this out…the realized G/L will compare the execution to the relevant decision prices.
I think conceptually, delay just compares the differences between the relevant decision prices and the original decision price. The reason there are any decision prices other than the original is due to orders not being filled/delay…and this is why it is multiplied by the number of shares bought. Basically, its the appreciation you missed out on before deciding to continue to pursue filling the order (and creating a new relevant decision price). And then everything is divided by the original decision price for comp. That’s how I’m looking at it. If it’s wrong, anyone, please do correct.