Algorithmic Trading Under the Microscope
SPECIAL REPORT ALGORITHMIC TRADING REPORT
Is VWAP the bare minimum performance threshold? What benchmarks for TCA should a buy-side portfolio manager aim for?
Andrew Silverman, Goldman Sachs: While VWAP is a benchmark that is still widely used, we are seeing more and more clients using implementation shortfall as a measure of trading cost. And this concept has also made its way into algorithms. For example, the Goldman Sachs Algorithmic Trading (GSAT) 4CAST algorithm tries to control shortfall by balancing the increased market impact
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