BestX New Benchmark ECV20

In the equity execution space, traders typically split a large order into small orders and there is a myriad of ways to slice an order. One of the most straightforward ways is to use VWAP with a 20% participation rate. To help the trader to assess the quality of trading, BestX would like to propose a new benchmark ECV20 (Expected Total Cost for VWAP with 20\% participation rate).

In this paper, we explore the methodology of ECV 20 benchmark. Please email contact@bestx.co.uk if you are a BestX client and would like to receive a copy of the paper, which is also hosted within our FAQ section of the UI.