Read to gain insight from ITG perspectives and proprietary research on best practices in trading and portfolio analytics.
ITG’s size-adjusted spread (SaS) cost estimates provide guidance on the anticipated costs associated with instantaneous spot trade executions, measured relative to the prevailing mid-quote rate at the trade time. The underlying data for our model contains dealer quotes from 6 global banks and 5 major ECNs. By varying the manner in which we consolidate the limit order book across trading venues / liquidity providers, we are able to reflect different trading styles and credit tiers as well as varying degrees of sophistication of market participants. The use of the empirical limit order book enables us to construct cost estimates for instantaneous trading at various consolidation levels, deal sizes, as well as at various times of the day.
Incorporating the benefits of portfolio optimization doesn’t have to disturb the core beliefs of the fundamental manager. The problem is how to characterize the solution in a way that captures the variety of portfolio strategies in the market. The simplicity of doughnut portfolio construction solves the problem.
The ability to anticipate market volumes and volatility has considerable value in a
variety of trading applications. Accurate forecasts of market conditions allow buyand
sell-side traders to adjust their strategies to improve trading performance. In
addition, such information facilitates informed decisions regarding the difficulty of
trading on a given day, the size of an order that can be realistically completed,
and the true relative difficulty of trading the individual names in portfolio trades.
Looking back at the data we’ve collected from 2015, two themes emerge: ongoing market structure developments and continued market volatility, especially in Q3. This document highlights the impact of both of these factors on trading activity, market conditions and performance. We’ll employ detailed data analysis to answer common questions and give buyside traders insights into Asia Pacific markets.
I was on the trading floor when the CBOE 250 Index contract was launched in 1988. It was an innovation at the time, and a collaborative effort between the futures and options industries. The futures traders went wild within their group; the options traders quietly assessed things and then traded amongst themselves. Within five months, trading was nonexistent.
SUMMARY While Best Execution and Transaction Cost Analysis (TCA) are well-established in equity trading, other asset classes have been slower to adopt such techniques due to limitations in market data and market structure characteristics. In Over-thecounter (OTC) markets there has...
Dark trading in Europe is expected to be fundamentally altered by the implementation of MiFID II/ MiFIR. The proposed cap on dark pool volumes will require all institutional investors to reevaluate how they interact with dark liquidity, but for some the impact of the changes will be greater than for others. This research examines the potential impact on a variety of algorithmic strategies. Learn more
As the next advance in FX TCA reporting, our clients in the investment community have requested size-adjusted spread (SAS) benchmarks that account for risk and liquidity on a pre-trade and a post-trade basis. However, one of the more frustrating aspects...
Accounting for transaction costs in the portfolio optimization process is not new, and has been implemented in various commercially available portfolio optimizers, including ITG Opt. The traditional point of view is that trading costs can eat up a substantial part of the portfolio’s return and, consequently, it is reasonable to account for them at the portfolio construction stage rather than just ex-post.
We've received some interesting questions from clients based on the recently published Asia Pacific Year in Review piece and plan to answer a few via email over the upcoming weeks. We enjoy interacting with the trading analytics community and encourage...