Greater transparency of trading performance helps investment managers lower their trading costs. Transaction Cost Analysis (TCA) is the study of trading activity to evaluate past order routing decisions, and hopefully to help guide future decisions to reduce transaction costs. Legacy TCA has its roots in VWAP analysis but in a fragmented and complex market, VWAP and legacy TCA offers little insight. Classic TCA is unable to determine the optimal broker/algo (and sometimes venue) combination to minimize information leakage, implementation shortfall and provide a superior outcome with the lowest possible trading costs in a complex, evolving, dynamic trading environment.
KOR Group utilizes the latest TCA techniques to provide multi-dimensional and cross-sectional analysis. This analysis is supplemented with our thoughts on the numbers:
- What does it all mean?
- How does it match up to historic trends?
- What are the most important metrics to monitor?
- What are the outliers?
We don’t just tell you what happened in the past, we make quantitative recommendations of when and why to make routing changes all customized to your specifications. Available in both graphic and textual outputs and at the lowest price point in the industry!
Our library of metrics includes (all of which are fully customizable):
- Trade summary analytics
- Full summary demographics
- Fill rate – parent- and child-level
- Notional traded
- Cross-sectional breakdown:
- By Market Cap
- By Order % of Average Daily Volume
- By Algo
- By Venue
- Arrival Price
- Interval VWAP
- Broker-, Algo- and Venue-level stats:
- Spread capture
- Price improvement/disimprovement
- Estimated market impact
- Custom metrics
- All-in shortfall with venue fee analysis
- Full statistical breakdown: Mean, Max, Min, Std Dev, Skew and Share-Weighted Mean
We don't simply provide you a report with a ton of numbers of visualizations. We take our decades of market structure and order routing experience and interpret your results - giving your firm actionable guidance on trends to watch and changes to consider.
- What does it mean?
- Implementation strategy analysis
- Observations and Recommendations
- Cross-Sectional Conclusion Analysis
- Quarter over Quarter and Year over Year comparisons
Contact us to learn more about our TCA offering.