**Chart 1: VWAP Algorithms - Distribution of Interval VWAP Costs by Spread Group**

**Chart 2: VWAP Algorithms - Median Interval VWAP Cost by Spread Group and Volatility Conditions **

- In a prior post, we studied VWAP algo performance across providers and noted the relative stability of performance among algorithms. Volatility conditions impacted costs significantly more than the algo provider. Since that post, we’ve continued to research VWAP algo costs and their drivers and now we’ll highlight the factor we’ve found to play the largest role in VWAP costs – spread.
- The first chart depicts the distribution of interval VWAP costs for different spread groups. As spreads increase, and as executing at the far touch amounts to a larger penalty, the cost distribution skews more heavily toward high negative costs.
- The second chart shows how costs vary by both spread and volatility. While there is a notable increase in cost associated with increased volatility, we see much larger increases in cost as spreads widen.

*Six quarters of US transactions were included in the analysis, from Q4 2014 through Q1 2016. Limit orders were excluded along with orders without valid benchmark prices. *

Refer to Peer Related Analytics for information available on Equity Related Analytics.

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