Chart 1: IS Costs for Large Cap Stocks in the US by Order Size
Chart 2: IS Costs for Small Cap Stocks in the US by Order Size
Lighter colors represent more recent quarters in both of the charts above
Transaction costs from 2009 Q1 – 2015 Q4 are sourced from ITG’s Peer Group Universe, 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. Orders without valid benchmark prices were excluded along with outlier orders with costs exceeding 5000 bps positiive or negative and orders with commissions less than 0.5 bps or greater than 100 bps. Large Cap stocks are defined as those with a market cap greater than $5 billion (USD) Small Cap stocks are defined as those with a market cap between $150 million (USD) and $500 million (USD).
Refer to ITG Peer Analytics for information on available ITG Peer Group Database based analytics.