ITG: closer alignment needed between trading strategy, cost analysis and investment decisions

The white paper, Transaction costs and equity portfolio capacity analysis, emphasises what authors Yossi Brandes, Ian Domowitz and Vitaly Serbin describe as the underappreciated relationship between fund turnover, transaction costs and capacity; oversight of this relationship can negatively impact a manager's returns and distort capacity analysis.

"The first lesson is that liquidity of the planned investment actually matters - it matters a lot," says Domowitz, ITG managing director and head of

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