Swing Pricing 101: A Closer Look at the Dealing Costs of Investment Funds Across the Globe

摘要: The discussion on the relative merits of swing pricing and details its implementation has intensified in past few years both sides Atlantic. A properly constructed mechanism hinges crucially estimated magnitude dealing costs associated with an investment fund’s net flows. This article offers unbiased look at competing measures these compares them across several categories portfolio sizes. evidence that authors obtain from analyzing simulated portfolios suggests a great deal caution should be put using commission spread as main measure costs. Their bottom-up approach relies calibrated price impact model, presented results indicate true can differ significantly simple cost range fund sizes, daily flows, styles. adage “it’s all about costs” anchor debate how are incorporated.