A $250B Asset Manager Uses Transaction Quality Analysis (TQA) to Improve Portfolio Alpha
Identify the Problem
Expected portfolio alpha is not being fully realized. Transaction cost slippage is one suspected culprit.
Initial Findings
Mark-up and mark-down analysis does not reveal any obvious problem. Once slippage is identified it is obvious that total transaction costs are high. By taking the analysis one step further and comparing to peer trade cost benchmarks we are able to quantify the potential for improvement.
BondWave’s Solution
Proof of concept:
- BondWave accepts a file with past executions.
- Required Fields: Trade Date, CUSIP, Par Traded, Price, Side
- Optional Fields: Time Stamp, Anonymized Trader Code, Anonymized Broker Code, Anonymized Venue Code
- BondWave delivers trade-by-trade analysis of execution quality via file.
- Mark-up/Mark-down
- Slippage
- Total Cost
- Total Cost Benchmark
- Transaction Quality
- TQ Percentile Rank
- Benchmark Descriptive Statistics
Magnitude
Improving execution to the industry average saved 4.6 basis points annually.
Trial access to TQA in Effi (BondWave’s Engine for Fixed Income) is available for more granular calculation details.
Why BondWave?
With 150+ years of combined experience across our team and a suite of solutions that continuously evolve to keep pace with the ever-changing fixed income landscape, we help our clients solve problems, make informed investment decisions, efficiently manage their fixed income business, and grow their assets.
Request TQA trial access at https://bondwave.com/contact-us/
