JOURNAL ARTICLE

Filled and Killed: Forecast and Realized Trading Costs across Horizons from Global Equity and Fixed Income Portfolio Trades.

  • Published In: Journal of Portfolio Management, 2024, v. 50, n. 9. P. 8 1 of 3

  • Database: Business Source Ultimate 2 of 3

  • Authored By: Ang, Andrew; Madhavan, Ananth 3 of 3

Abstract

The authors analyze trading costs across regions and asset classes using unique data on 2,022 portfolio transitions from February 2016 to December 2023 comprising over $3.1 trillion in trade value. Realized portfolio trading costs are consistent with pretrade forecasts; even relatively large and complex trades can be executed at modest cost. The authors use count-data models to determine the optimal trade horizon as a function of portfolio characteristics. Trade horizons are similar across equities and fixed income and increase with trade risk, value, and complexity. These results can be used by investors to better understand the potential capacity where urgency of trading is not a key determinant and can be applied to estimating the capacity and transaction costs in factor-based strategies. [ABSTRACT FROM AUTHOR]

Additional Information

  • Source:Journal of Portfolio Management. 2024/08, Vol. 50, Issue 9, p8
  • Document Type:Article
  • Subject Area:Business and Management
  • Publication Date:2024
  • ISSN:0095-4918
  • DOI:10.3905/jpm.2024.1.631
  • Accession Number:179072227
  • Copyright Statement:Copyright of Journal of Portfolio Management is the property of With Intelligence Limited and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

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