Question of the Week - Nov 17th 2015

How do transaction costs differ across security types?


Chart 1:  Average trading cost (Implementation Shortfall) by relative order size group 


Chart 2:  Average order sizes (US dollars) by relative order size group  

  • REIT costs are in line with equity costs for very small orders, but increase at a slower rate than equity costs
  • ETF costs are lower than 5 bps for order sizes up to 50% MDV
  • Absolute order sizes decrease for ETF trades between 10% and 50% MDV


Average transaction costs and order sizes are based on order-level information from approximately 180 buy-side institutions. Implementation shortfall costs are measured relative to the release to the desk and are expressed in basis points. Relative order size is calculated based on 21 day median daily dollar volume. All averages are observation-weighted.


Updated on Dec 14th 2015


Table 1:  The table below shows regional average Implementation Shortfall cost in basis points across relative order size groups for Equities and REITs between 2014 Q3 – 2015 Q2  


Table 2: The table below regional average order value across relative order size groups for Equities and REITS between 2014 Q3 – 2015 Q2



Refer to ITG Peer Analytics for information on available ITG Peer Group Database based analytics.

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