Sentences with phrase «implicit trading costs»

In addition, using the turnover rates, WAMC ratios, and effective Ns as inputs to a model developed by Research Affiliates employees Michael Aked and Max Moroz, the authors determined that the constraints materially lowered the simulated portfolios» implicit trading costs.

Implementation issues encountered in designing low - volatility investment strategies include unwelcome concentrations in certain regions, countries, and economic sectors; the combination of low liquidity and high turnover, raising implicit trading costs; and high tracking error relative to broad capitalization - weighted market benchmarks.

Hidden Trading Costs Implicit trading costs are the loss of performance due to transactions occurring at prices that would not have prevailed if investors didn't need to enter trades.

In addition, the way active fund managers manage their funds can incur implicit trading costs.

But it's lunacy to believe that the implementation of popular capitalization - based indices is costless, that their negative selection and weighting bias is zero, or that their implicit trading cost as a percentage of aggregate assets is currently below that of well - designed smart - beta offerings.

In particular, the implementation of popular capitalization - based indices is not costless; indeed, as a percentage of aggregate assets, their implicit trading cost is meaningfully higher than that of well - designed smart - beta offerings.

Not exact matches

The implicit cost is the unobserved reduction in performance of the benchmark index as a result of trading activity.

Executive Summary The market impact, or implementation cost, of passive trading is composed of both explicit and implicit costs.

Customized total cost analyses that factor in implicit costs (trading costs, tracking error) as well as explicit costs (expense ratios and commissions).

With some simplifying assumptions, five factors are responsible for the implicit costs associated with trading a strategy: