Chart 1: Average trading cost (Implementation Shortfall) by relative order size group
Chart 2: Average order sizes (US dollars) by relative order size group
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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