VWAP

[ryohko]

In a Schweser q-bank question on VWAP, the answer they gave stated that “VWAPdoes not account for arket movements or trade volume.” I don’t get this because the very definition of VWAP is the weighted average of execution prices during a day, where the weight is the proportion of day’s trading volume.
So WTF????…..

 

[Swaption11]

I think it is referring to the comparison to implementation shortfall. Waiting can cost money under imp. shortfall as well as volume compared to avg daily volume that moves the execution price.

 

[harryy02]

yes i agree with swaption. it is strictly being put in direct contrast with IS Strategy. refer to the manual please.