December 20, 2017
As the year draws to a close, we typically see a shift in trading conditions, with steep declines in liquidity and higher concentrations of smaller order types.Read more >
December 01, 2017
Highlights from the 3Q17 preliminary Global Cost ReviewRead more >
Inflows were observed globally, and trading costs remained depressed despite a slight uptick from lows in 2Q2017. Global large-cap stocks saw inflows for the first time in six quarters, with costs increasing for this market capitalization in many regions.
November 17, 2017 Doug Clark
The third quarter brought dramatic changes to the structure and the liquidity profile of the Canadian equity markets. Much of that change results from increasing levels of broker internalization of the smallest and most benign orders.Read more >
November 15, 2017
Q3 updates to APAC Market Structure
– How heavily did Top 5 index names participate in opening auctions?Read more >
– What is the potential impact of tick size changes in Singapore?
– How did trading costs change since last quarter across markets in Asia?
November 07, 2017
The authors ask the question: How does one incorporate the benefits of portfolio optimization without disturbing the core beliefs of the fundamental manager?Read more >
September 25, 2017
On 28th August 2017 the European Commission published a delegated regulation amending the definition and allowed behaviour of systematic internalisers. But what does it mean for traders?Read more >
September 08, 2017
Highlights from the 2Q2017 preliminary Global Cost ReviewRead more >
-Global trading costs are at an all-time low, which corresponds with the lowest volatility and spread regime we have seen in years. Costs are decreasing across market caps and across quarters regionally.
In our latest Canadian quarterly update, we take a look at the growing trend in Canadian brokers internalizing retail flows and a concerning downtrend in Canada’s share of interlisted trading volumes. Because a growing portion of Canadian retail flows are internalized, we believe it is important for institutional investors to understand the various ways this is being done, and the likely impact on market quality.Read more >
In a recent poll of 80+ buy-side professionals, 37% attributed more than half of their trading cost to information leakage. It’s something that traders feel, but accurately measuring it is much more difficult. Many brokers use post-trade reversion to rank dark pool performance, but looking only at adverse selection while ignoring information leakage doesn’t give the full picture. ITG’s study of controlled measurement of information leakage in dark pools shows that dark pools with the worst information leakage have unremarkable adverse selection scores.Read more >
August 01, 2017
Stock-Specific Peer Group Analysis and its Application to Portfolio Liquidity
We introduce an activity-based approach to trading performance comparisons, in which the common denominator is an individual security. The framework facilitates answers to three questions.Read more >