Chart 1: VWAP Cost distribution from ITG’s Peer Group Universe
Chart 2: Trading Cost versus VWAP performance
Chart 3: Risk versus VWAP performance
The data was pulled from ITG’s Peer Group Database for 2013 – 2016 APAC trades. Implementation shortfall cost is measured relative to the desk release time, and it is expressed in basis points. VWAP performance is measured relative to the VWAP for the order’s horizon between release to desk time and the time of last execution. VWAP performance is expressed in basis points. VWAP performance was bucketed into groups with 5bps interval between each group. Percent of Volume, IS Cost and Risk metrics were calculated at the bucket level.
Refer to ITG Peer Analytics for information available on ITG Peer Group Analytics.