How Analytics Can Help Make the Most Out of Asian Liquidity

The term ‘TCA’ has now become so common across the industry, and some would argue commoditized, that its value is in danger of becoming misunderstood. While most buyside firms use some form of broker post-trade analysis to measure how they’ve performed against their benchmark, the firms who are out-performing versus their peers are using a broader approach of pre-trade, real time and post-trade analytics to answer questions about how and why trading costs are incurred, and what actions can be taken to reduce them.

Living in the Post- MiFID II World
 

On January 14th, Michel Barnier, the European Commissioner in charge of financial services in the European Union (EU) welcomed the agreement in principle reached on rule changes to the Markets in Financial Instruments Directive (MiFID II/ MiFIR).  Barnier declared that although the speed of implementation was not ambitious enough, the agreement still represented “a key step towards establishing a safer, more open and more responsible financial system and restoring investor confidence in the wake of the financial crisis” (see: http://europa.eu/rapid/press-release_MEMO-14-15_en.htm?locale=en).

German Federal Elections and the Impact on the European Agenda

With the German Federal Elections occurring Sunday, European investors are curious about what impact the elections may have on the European regulatory environment. In this version of The Blotter, ITG's European General Counsel, J.P. Urrutia, summarizes some of the expected results and potential impacts, highlighting Germany's importance to regional policy.

Russell Reconstitution: Final Trading Analysis

We extend our preliminary study published on 6/29/2012 to include the trading period between T-15 (6/1/2012) and T+15 (7/16/2012). We examine volume, spread, volatility and trading costs. We also look at algorithmic trading results for the constituents added to or removed from the Russell 1000 Index (R1K) and Russell 2000 Index (R2K). Furthermore, we look at trading characteristics of the iShares Russell 2000 Index Fund (IWM), a widely traded ETF that tracks the Russell 2000 Index and iShares Russell 1000 Index Fund (IWB), an ETF that tracks the Russell 1000 Index.

Final 2012 Russell Reconstitution Review

In this edition of the The Blotter, index expert Charles Behette recaps this year's Russell Rebalance. His effective date, period and post-event analysis includes detailed performance metrics on add/deletes, migrations, funding, and effective day closing print & full day performance.

Preliminary Russell Analysis

With this year’s Russell Reconstitution just a week past, we analyzed the trading characteristics of Russell adds and deletes to provide color on the reconstitution and the two days surrounding the event in this week’s edition of The Blotter.

Our analysis focuses on the trading characteristics of constituents added to or removed from the Russell 1000® (R1K) and Russell 2000® (R2K) indices. With the available data and trend analysis, we aim to help clients assess whether the execution strategy implemented was most conducive to the trading characteristics associated with these securities.

2012 Russell Reconstitution Highlights and Observations

ITG’s index expert, Charles Behette, breaks down his analysis for the 2012 rebalance in this edition of The Blotter. Of note this year will be increased speculative activity as well as heightened turnover in the Financial Sector.

MiFID II: Official Publication of European Parliament Report

In this edition of The Blotter, Juan Pablo Urrutia discusses the long-awaited European Parliament Report on MiFID II. The first installment of this report reveals that Broker Crossing Systems could go the way of the dinosaurs, while dark MTFs could be preserved in a tight, but politically unbiased, market structure environment.

French Financial Transaction Tax Introduced

The French financial transaction tax (French FTT) was adopted February 29 by the French National Assembly despite fierce opposition from the French left (in particular as the proposal was bundled with the abolition of employers’ social contributions and compensated with a rise in sales tax that the French left considers it will hit the poorest hardest). ITG's Juan Pablo Urrutia discusses the new policy.

A January Shift: Trade Outflows Dominate Developed US and European Markets

Uncertainty surrounding the European sovereign debt crisis and anemic economic recovery motivated marked asset re-allocation in January 2012. ITG's Jacqueline King discusses this shift in trade flows.

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