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

To continue reading...

You need to sign in to use this feature. If you don’t have a WatersTechnology account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: