Library

Select a category

Select a contributor

Papers

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

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.

Continue Reading >

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...
Learn more

Continue Reading >

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.

Continue Reading >

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....
Learn more

Continue Reading >

Cul de Sacs Revisited: Dark Aggregation, Lit Markets, and the Cost of Duration

December 2, 2014

We demonstrate links between order duration, dark pool performance, and orders filled in both lit and dark venues. Five questions are addressed. Does exposure of an order to lit markets affect trading performance in dark aggregation schemes?

Listen to the call

Learn more

Continue Reading >

The Theory of Everything – and TCA

February 18, 2015

The current Oscar-nominated movie The Theory of Everything has its lead character Stephen Hawking laying out his vision of a single equation that explains all physical aspects of the universe. The scientist explains in lay terms the two broad areas...
Learn more

Continue Reading >

ITG Dynamic Daily Risk Model for Europe

December 1, 2010

Traditionally, risk models have been used for risk measurement and decomposition during the portfolio construction stage. Since the typical holding period of an institutional portfolio is measured in months and even years, earlier risk models were constructed using monthly returns and several years of historical data.

Continue Reading >

Garbage In, Garbage Out: An Optical Tour of the Role of Strategy in Venue Analysis

October 26, 2014

We address a single question in this paper: is consideration of trading strategy an essential component in assessing venue performance? The answer is, yes. We arrive at this conclusion through comparisons of strategy use across venues and performance metrics, by venue…

Continue Reading >

Where Risk Control Meets Cost Control in Analytics Development*

March 1, 2004

In a portfolio transition, cost-minimizing trading strategies may have the unintended consequence of increasing risk along several dimensions. On the other hand, strategies designed to mitigate risk can involve unacceptable levels of cost, may be sub-optimal once transaction costs are taken into account, or may simply be infeasible.

Continue Reading >

VWAP Strategies

April 21, 2002

It is common to evaluate the performance of traders by their ability to execute orders at prices better than the volumeweighted average price (VWAP) over the trading horizon. Berkowitz, Logue, and Noser [1988] regard the VWAP benchmark as a good approximation of the price for a passive trader.

Continue Reading >