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Question of the Week - April 5th 2016

How does Trading activity in the top 10 names in Brazil compare to aggregate trading for all names in Brazil?

 

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 

  • We wanted to look at the concentration of trading in Brazil to see if the majority of trading activity is isolated to a few names, and if so what the difference in cost is between the most frequently traded stocks and the rest of the market.
  • The first and second charts show spread and volatility conditions for the most frequently traded names compared to the rest of the names traded in the country. While spreads are lower for the top 10 names, volatility conditions are generally equal.
  • The third chart shows about 50% of total value traded in Brazil is concentrated in 10 names each quarter. Trading costs for the top 10 names in total are generally equal to or slightly lower than aggregate costs in the country.

 

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.

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