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Read to gain insight from ITG perspectives and proprietary research on best practices in trading and portfolio analytics.

MiFID 2: Impact of Dark Caps on Algorithmic Trading Strategies

October 22, 2015

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

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Adjusting for Size

September 30, 2015

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...
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Incorporating Transaction Costs In The Portfolio Construction Process Can Help You

January 1, 2011

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.

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2014: The Year in Review – Your questions answered

April 22, 2015

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...
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Time to Count the Cost of Currency Trading

May 26, 2015

Auto-enrolment has triggered a chain reaction in the UK pensions space. The policy led to a study from the Office of Fair Trading to ensure investors were protected from unfair charges. The OFT study prompted a call for evidence from...
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The New WM/Reuters Fixing Methodology Doesn't Fix Everything

May 19, 2015

At the 2015 Profit and Loss London Conference, ITG’s Jim Cochrane, Director, ITG Analytics, was a panelist on the debate “The New Fix Regime.” The panel’s task was to judge if the recent changes in the fix methodology had a...
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ITG TCA Venue Analysis – "I'm Shocked, Shocked to Find that (TCA) is Going on in Here!"

April 6, 2015

When gambling is relabeled as just card-playing or dice rolling, TCA may finally become Transaction Research. TCA has penetrated portfolio construction, fund capacity analysis, liquidation studies, fund NAV determination, trading strategy, and real-time decision support. It was a big surprise...
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Institutional Trading in Exchange-Traded Funds

June 15, 2012

Leveraging our recently published research on liquidity and transaction costs for select US ETFs, we open up our analysis to defining the characteristics of institutional trading activity in ETFs.

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2014: The Year in Review – Regional Marketplace Evolution and Varied Market Structures Makes TCA a Must

March 20, 2015

While the rest of the world continues to be caught up in the fervor surrounding the March 2014 release of Michael Lewis’ Flash Boys, trade desks in Asia are grappling with issues related to the lack of regional market maturity....
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Spread Revisited: How size adjusted spread metrics can deliver FX trading insights

February 11, 2015

How informative are spreads for market participants who engage in FX trading? Can proper spread monitoring and analysis further enhance the investment and trading process? If so, how exactly? Can this relatively "old", sometimes overlooked metric, provide insights into important...
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