As we enter the New Year—with hopes of better volumes and a bounce for our industry—Jamie Selway provides his annual list of market structure predictions and marks the book on 2011’s blotter.
In August 2011, global equities markets began experiencing heightened volatility and volume. ITG’s study compares the less volatile period of June and early July to the highly volatile period of late July and August to find that algorithm choice can result in significant changes in returns during volatility.
After two consecutive years of textbook reconstitution behavior, the 2011 Russell Rebalance was a more “normal” event in both composition and from a performance perspective.
Researcher Jacqueline King examines spread, volatility, volume, and trading costs patterns in the 15-day period before and after the rebalance date for the 2011 Russell Reconstitution.
ITG experts investigate the profitability of a simple speculative investment strategy that invests in stocks that are anticipated to enter the Russell 2000 index on the effective day.
