Multi-Asset Trading Costs

Abstract

In this article, we provide insight into some of the industry’s developing trends pertaining to transaction cost analysis across multi-asset classes and its role in portfolio construction. We provide all investors—managers, analysts, traders, programmers, and so on—with a transparent process to evaluate and test transaction cost models across all asset classes. Most importantly, we provide a process that will allow managers to evaluate these costs and construct portfolios that are consistent with the fund’s investment objective, without worry of information leakage or having an outside party potentially reverse-engineer the investment decision process, because the data and analysis never leave the investor’s own desktop.

TOPICS: Security analysis and valuation, portfolio construction