Chart 1: Overnight risk trends for Peer Active stock universe
Chart 2: Implementation Shortfall cost attributed to trades completed on day two of two-day orders
ITG Peer Group Database contains order-level information from approximately 180 buy-side institutions. The Peer active stock universe is selected from ITG Peer Group database with stocks traded in all eight years, over 100 million dollars in each year. Overnight risk is defined as the average of the absolute price change between close and next day open across the stocks in the universe for each one-year period. Implementation shortfall costs are measured relative to the release to the desk and are expressed in basis points. Large Cap stocks are defined as those with a market cap greater than $5 billion (USD), Mid Cap stocks are defined as those with a market cap between $1.5 - $5 billion (USD), and Small Cap stocks are defined as those with a market cap between $150 million (USD) and $500 million (USD).
Refer to Peer Related Analytics for information available on Equity Related Analytics.