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

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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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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Introducing ITG's Pre-Trade Smart Cost Estimator

September 1, 2011

We present results of an exploratory study of ITG’s Peer Group data and demonstrate how empirical regularities from actual execution records of large institutional orders are reflected in the new Smart Cost Estimator (SCE) developed by ITG.

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Examining the WM/Reuters London Close through the Prism of Foreign Exchange Transaction Cost Analysis

May 5, 2014

Responding to many client requests, the FX team at ITG Analytics reviewed trade data surrounding the WM/Reuters London Closing Spot Rate Service (“the fix”). By observing the factors that influence trading costs using ITG TCA® for FX’s rich quote data we found trade patterns that were unique.

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What Can Multi-Asset TCA Learn From the Equity Experience?

November 13, 2013

TCA providers must communicate better, but they need help from their constituents. To this end, we applaud the efforts of FIX Protocol groups, led by Mike Caffi of State Street Global Advisors and Mike Napper, from Credit Suisse. They recognize...

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The Cost of Liquidity in the FX Market

October 23, 2014

On July 3, 2013, the courts pronounced caveat emptor with respect to execution performance in the FX market. U.S. District Judge Denise Cote threw out a lawsuit, which accused JPMorgan Chase & Co. of breaching a fiduciary duty to custodial clients by charging “hidden and excessive mark-ups” on currency trades.

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How Big is “Big”? Some evidence from Aggregate Trading Cost in the FX market

September 1, 2013

On July 3 of this year, the courts pronounced caveat emptor with respect to execution performance in the FX market. U.S. District Judge Denise Cote threw out a lawsuit, which accused JPMorgan Chase & Co. of breaching a fiduciary duty to custodial clients by charging “hidden and excessive mark-ups” on currency trades. Judge Lewis Kaplan dismissed a lawsuit directed at officials of Bank of New York Mellon, for ignoring “red flags” or knowing that trades were being processed at the worst or near-worst prices of the day.

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Driving competitive advantage through FX TCA

August 1, 2014

“The most valuable commodity I know of is information” – to quote Gordon Gekko from the 1987 movie classic Wall Street. This line has never been more significant than in today’s data-fuelled financial markets, where detailed analysis of information can provide that all important competitive edge – both now and in the future.

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Developing Quality Benchmarks

November 14, 2013

Unless a TCA system has plentiful data and flexible benchmarks, it will only answer the most basic questions and fail to provide valuable insights that will lead to lower transaction costs and improved fund performance. As in the equity market, the foreign exchange market demands pre-trade analytical tools and peer group analysis that will measure slippage in traditional trading styles as well as quantitative trading and algorithmic trading.

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