Chart 1: Implementation Shortfall and Commission Costs for Large Cap Stocks in the USA
Chart 2: Average Order Sizes for Large Cap Stocks in the USA
Transaction costs starting in 2008 Q3 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. Cost data from 2001 through Q2 2008 was sourced from Plexus Group’s Iceberg database. Large Cap stocks are defined as those with a market cap greater than $5 billion (USD).
Refer to ITG Peer Analytics for information on available ITG Peer Group Database based analytics.