The implementation shortfall: Paper versus reality

André F. Perold · 1988 · The Journal of Portfolio Management

BeginnerIntradayLFTMethod

Defines implementation shortfall, the gap between paper and real portfolio returns. The benchmark most execution algorithms target.

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At a glance

Level: Beginner: No prior microstructure or stochastic calculus needed
Horizon: Intraday, LFT
Data needed: None to read it; no dataset required Set what data you have
Themes: Execution
Assets: Equities
Market: Global

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Cite

@article{perold1988implementation,
  author = {Perold, André F.},
  title = {{The implementation shortfall: Paper versus reality}},
  journal = {The Journal of Portfolio Management},
  year = {1988},
  doi = {10.3905/jpm.1988.409150}
}

Perold, A. F. (1988). The implementation shortfall: Paper versus reality. The Journal of Portfolio Management. https://doi.org/10.3905/jpm.1988.409150