When calculating the implementation shortfall, I am confused about the prices mentioned.
Time line: BP — DP—EP—CP
BP: the close price on the date when you want to buy the stock
DP: the close price on the date usually 1 day after the BP date
EP: the execution price
CP: the closing price on the date you
Delay = (DP-BP)/BP * 100%
Market Impact = (EP-DP)/BP * % shares filled
Missed Trade = (CP-BP)/BP * % share unfilled
Is my understanding right?
But if you want to buy the stock after-adjusted is a trading price on DP date, the DP should be the after-adjusted trading price or still the close price?
Time line: BP — DP—EP—CP
BP: the close price on the date when you want to buy the stock
DP: the close price on the date usually 1 day after the BP date
EP: the execution price
CP: the closing price on the date you
Delay = (DP-BP)/BP * 100%
Market Impact = (EP-DP)/BP * % shares filled
Missed Trade = (CP-BP)/BP * % share unfilled
Is my understanding right?
But if you want to buy the stock after-adjusted is a trading price on DP date, the DP should be the after-adjusted trading price or still the close price?