Post Trade Analysis

Global uses Markit, a leading global financial information services provider, to monitor metrics that help organize and capture the true sources of transaction costs and market impact. The Post Trade Analysis data generated by Markit covers Global’s algorithmic strategies (VWAP, TWAP, and POV) for all clients. These reports are published quarterly.

Algorithmic Strategies

The Algorithmic Strategies are broken out into two categories. The first category is VWAP (Volume Weighted Average Price) & TWAP (Time Weighted Average Price) are combined and benchmarked against the Markit peer group’s composite interval VWAP metric. The second category uses the strategy POV (Percentage of Volume) benchmarked against the Markit peer group’s composite arrival price metric (Implementation shortfall).

VWAP & TWAP

VWAP (Volume Weighted Average Price) & TWAP (Time Weighted Average Price) focuses on eliminating your footprint and disorienting gamers by alternating between posting and opportunistic mining of dark and lit liquidity anonymously. Global’s opportunistic order placement is driven by proprietary throttles and randomization of order placement to erase any noticeable pattern and diminish gaming.

POV

POV: Percentage of Volume is a liquidity seeking participation strategy. The algorithm tracks volume and executes the order at the prescribed rate. When block prints occur, the algorithm slowly bleeds the block print into the execution [by temporarily increasing the POV rate] instead of immediately attempting to catch up and impact the market price.

 

Quarterly Reports

Following are the latest reports:

 

Yearly Reports

Following are the latest reports:

 

OTHER ANALYTICS