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Yale costs and trading byDomowitz

Yale costs and trading byDomowitz

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Published by: anuji on Mar 22, 2008
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10/14/2011

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BestExecution
ITG Inc., Member NASD, SIPC
©
2003 ITG Inc., All Rights Reserved, Not to be reproduced without permission91603-82599
TransactionsCostsand Trading
Ian DomowitzManaging Director Yale University, October 1, 2003
 
©2003 ITG Inc. All Rights Reserved, Not to be reproduced without permission
 
2
Successful Implementation Strategies
 
Trade data
Organization
Performance vs.benchmarks
Sorted andorganized
Access to allliquidity sources
Logical participationtrading strategies
Portfolio ManagementPre-Trade AnalysisPost-Trade AnalysisTradingTrade Blotter 
Trading cost
Risk analysis
Optimal horizon
Risk analysis
Optimization
Fair value pricing
 
©2003 ITG Inc. All Rights Reserved, Not to be reproduced without permission
 
3
Who’s Got the Alpha?*
Two funds:
Large Cap Value Gross Alpha=13.1%
Small Cap GrowthGross Alpha=17.8%
Both Incur Trading Costs
Components of Transaction Cost
-0.50%0.00%0.50%1.00%1.50%2.00%Large Cap ValueSmall Cap GrowthMarket ImpactOpportunity CostBid/Ask SpreadCommissions
*
John Bogle Jr.. “Transaction Cost and Growth of Assets”

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