Real-Time Broker Dealer, Venue & Algorithm Ranking and Selection Model
Our Global Real-Time Broker Dealer, Venue & Algorithm Ranking and Selection model provides investors with trading cost and timing risk estimates by broker, venue & algorithm and trading strategy. This is a broker-dealer/algorithm and vendor neutral model that assists traders in evaluating the different trading venues and algorithms as well as corresponding cost estimate for the various strategies. The model assists funds in determining the most appropriate best execution strategy given the specific investment objectives of the manager.
Our model additionally provides a real-time cost estimates based on actual market conditions (including volatility, volumes, and aggregated imbalance). The model provides investors with current point in time costs, as well as projected completion costs.
Our model provides detailed post trade broker/venue/algorithm performance evaluation. These metrics are summarized by various market categories such as by size, market cap, momentum, etc., and across the set of performance benchmarks (Implementation Shortfall, Arrival Price, Interval VWAP, etc.). The report includes broker and algorithmic rankings, universe costs, and peer group rankings
The model is run from the client’s own desktop by incorporating a data feed such as Bloomberg, Reuters, Factset, etc., in conjunction with our KRG market impact estimates. The model does not interact with any broker-dealer or vendor. Thus preserving client’s all proprietary information.
Our Real-Time Broker, Venue & Algorithm Ranking and Selection Model is a global model across all regions - North America, Developed and Emerging Europe, Developed and Emerging Asia, Latin America, and Frontier countries and multi-asset classes.
Who Intended for:
Funds of Funds
What differentiates KRG from its competitors:
100% transparent, unbiased, broker neutral model. There are over two dozen papers and three books published on the models and modeling methodology.
We do not employ black-box model. We provide all the results, clients can verify calculation results.
The analysis is run on the client desktop. Clients do not log in to any API or IP address.
The model allows funds to incorporate their own proprietary data (such as volatility, liquidity, and alpha expectations).