Elkins/McSherry
Elkins/McSherry has been providing trading cost analyses since 1991. These analyses quantify and highlight the costs of commissions, fees, market impact, delay, slippage and opportunity cost.
Asset classes and markets
Global equities and fixed income. These analyses cover over 60,000 securities across 42 countries.
Transaction data
Elkins/McSherry provides real-time, daily, weekly, monthly, quarterly, semiannual, annual or ad hoc trading cost analyses and will accept any particular time frame to analyse. Elkins/ McSherry’s historic trade cost database includes global equity market and universe data as far back as 1996 and US equity data as far back as 1991.
Benchmarks
Offers all industry trade cost benchmarks as well as granular commission and trade cost universes.
-Trade cost benchmarks include: implementation shortfall; trader arrival price, broker arrival price; VWAP; participation weighted VWAP; open price; close price; previous night’s close price or any other reference point upon demand.
-Elkins/McSherry commission universes include: bundled trading, all trading, execution only trading & program trading
-Elkins/McSherry trading cost universes include: implementation shortfall, trader arrival price, broker arrival price, VWAP and dynamic.
In addition to standard universes by benchmark, Elkins/McSherry calculates universes by market cap and style including: large cap value, large cap growth, mid cap value, mid cap growth, small cap value and small cap growth.
Reporting options
Elkins/McSherry analyses can provide details on any category provided based on the client data availability and can provide turnaround times as quick as real-time.
Consultancy services
Although Elkins/McSherry’s expertise is quantifying trading costs, it can offer value added research and consultancy upon demand.
Pre-trade analysis
Elkins/McSherry uses a proprietary methodology to provide clients pre-trade analyses. These studies are available to trading cost analysis clients or through separate ad hoc requests.
Future plans
Elkins/McSherry is currently in the process of automating high level summary reports which will provide the trade cost analysis information available to end users.
Elkins/McSherry is continuing to improve its capabilities around correlated stock research. Clients will benefit by being able to quantify correlated sector and stock movements. These research and additional capabilities will become available during Q1 2010.