Chart 1: Spread and Volatility for Russell 2000 Stocks
Chart 2: ITG Peer Universe Net Flow and Implementation Shortfall Costs for Small Cap Stocks
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. Small cap stocks are defined as those with market cap between $150M and $500M. Volatility and spread values were equally weighted across Russell 2000 constituents.
Refer to ITG Peer Analytics for information on available ITG Peer Group Database based analytics.