PT - JOURNAL ARTICLE AU - Robert Kissell TI - The Expanded Implementation Shortfall AID - 10.3905/jot.2006.644083 DP - 2006 Jun 30 TA - The Journal of Trading PG - 6--16 VI - 1 IP - 3 4099 - https://pm-research.com/content/1/3/6.short 4100 - https://pm-research.com/content/1/3/6.full AB - Transaction costs and transaction cost analysis (TCA) has captured renewed attention in the financial industry due to the recent increase in electronic orderflow and algorithmic trading. To assist investors in understanding these costs and how they affect trading performance we have unbundled transaction costs into nine components. We provide a categorization scheme to understand how these costs can be managed during the implementation and a classification system to understand where and when these costs arise during the investment cycle. This classification system, the expanded implementation shortfall, is based on the work of Perold (1988) and Wagner & Edwards (1993), and subsequently serves as foundation for understanding transaction costs and devising an execution strategy that is consistent with the overall investment objective.TOPICS: Portfolio construction, equity portfolio management