Chart 1: Spread for Top 10 Names in Brazil Compared to Country Level Averages
Chart 2: Volatility for Top 10 Names in Brazil Compared to Country Level Averages
Chart 3: Weighted Average IS Costs and Total Value for the Top 10 Tickers in Brazil
Transaction costs are based on ITG Peer Group Database, which contains 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. Volatility and spread numbers for Brazil were calculated using the Constituents of the iShares MSCI Brazil ETF. The top ten names in Brazil were defined based on the greatest amount of turnover each quarter in ITG’s Peer Group Database. Seven of the top ten names were consistent across the time period analyzed. On average there are 184 Brazilian tickers in ITG Peer Group Database each quarter and 75 constituents in the iShares MSCI Brazil ETF.
Refer to ITG Peer Analytics for information on available ITG Peer Group Database based analytics.