RT Journal Article
SR Electronic
T1 Implementation Shortfall
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 25
OP 30
DO 10.3905/jpm.2006.661367
VO 33
IS 1
A1 Mark Kritzman
A1 Simon Myrgren
A1 Sébastien Page
YR 2006
UL https://pm-research.com/content/33/1/25.abstract
AB Implementation shortfall refers to the total cost of buying or selling a set of securities or of transitioning from one set of securities to another. It comprises the explicit costs of commissions and bid-ask spreads as well as implicit costs such as market impact and the opportunity cost of transacting at what may be disadvantageous prices. A comprehensive analysis of implementation shortfall uses a unique sample of 800,000 security transactions to provide information on component costs and methods of trading. Market trades cost nearly six times more than internal crosses. An adjustment to implementation shortfall to account for liquidity and risk makes it possible to compare the quality of portfolio transitions.TOPICS: Portfolio construction, equity portfolio management