Leave the Data to Us
Hidden Figures – Introducing a Portfolio Transition & Event Universe
Michael Iannucci – Head of Transition Management, Abel Noser Email >
Steve Glass – Co-CEO, Abel Noser Holdings Email >
October 4, 2021
- The implications of this data for pre-trade planning and pre-trade analysis could be instructive. Current industry cost models are built on (and back-tested with) a mix of both event and non-event trading. Does this data suggest that for purposes of pre-event planning and bid solicitation, “trade intent” is an important input? Put another way, should event cost-estimation models be based on event-driven trade data?
- Events are often structured around the end of the month/quarter so as to, among other things, create clean performance reporting records. Are there any cost implications (positive or negative) associated with this timing decision?
- Similarly, how does trading near an index change/rebalance impact an event’s costs?
- What can this dataset tell us about decisions relating to trading strategy? Do market-on-close (“MOC”) trades measure better or worse than implementation shortfall trades?
- To what extent are the high volatility names (such as GME in Q1 ’21, etc.) responsible for the observed cost distinctions between event and non-event trading?
- To what degree do factors such as capitalization, liquidity, or market direction affect the outcome of an event?