Granularity of the Bid/Ask spread relative to STD/ATR

[truetype]

http://faculty.som.yale.edu/Tobiasmoskowitz/documents/TradingCostofAssetPricingAnomalies.pdf

Of course Frazzini is talking his employer's book - We conclude that the main capital market anomalies – size, value, and momentum – are robust, implementable, and sizeable in the face of transactions costs - but thanks for the reference; I hadn't seen that one.

 

[globalarbtrader]

Of course Frazzini is talking his employer's book - We conclude that the main capital market anomalies – size, value, and momentum – are robust, implementable, and sizeable in the face of transactions costs - but thanks for the reference; I hadn't seen that one.

What's more interesting is that the costs are much less than what normal long only fund managers pay (turnover matched basis); suggesting that smart execution can really pay dividends.

GAT

 

[truetype]

All the Wall St houses offer guaranteed fixed-cost execution (VWAP ± ε, or close ± ε) for equity buy-only lists, or balanced equity buy/sell lists. But ε is much smaller for the latter, because the house can statarb off the names against each other, reducing their risk.