Using Information From Trading In Trading And Portfolio Management: Ten Years Later

摘要: The centerpiece of this paper is a comprehensive analysis all the trading by large US pension fund in 1991. first version was published Summer 1995 issue Journal Investing and later incorporated AIMR’s CFA reading. This updated version, requested AIMR, reflects technological market structure changes last ten years, adds new empirical 2001 $7 billion equity manager. Trading technology has changed many ways, yet same characteristics institutional are seen just as strongly they were before. attention given to difficult orders still shows lower than expected costs. Small “no-brainer” represent largest component overall These precisely type costs that modern electronic systems designed reduce. The idea substantial drag on performance relatively novel Today, it central concern for managers, including those profiled here.