Statistik › Intraday und Marktmikrostruktur › Institutional costs
Institutional execution costs run 12 to 20 basis points, and the spread across company size is not significant
| Index rank | Mean, bp | Median, bp | Standard deviation | Stock days |
|---|---|---|---|---|
| All 250 | 15 | 14 | 28 | 86,652 |
| 1 to 10 | 12 | 11 | 60 | 5,758 |
| 11 to 30 | 12 | 11 | 43 | 13,976 |
| 31 to 50 | 13 | 11 | 47 | 10,315 |
| 51 to 100 | 15 | 13 | 41 | 20,070 |
| 101 to 150 | 20 | 18 | 45 | 17,228 |
| 151 to 200 | 20 | 17 | 55 | 11,929 |
| 201 to 250 | 19 | 15 | 74 | 7,376 |
Market adjusted execution shortfall for UK pension plans and money managers, main analysis November 2007 to July 2010, the 250 largest listed UK companies. In one quarter of 2010 the data captured 3.6 per cent of index volume from 115 institutions, with an average trade size of 3.5 million pounds and about 21 observations per typical stock day. The number of individual institutional orders is not reported.
Across 86,652 stock days of UK institutional trading, market adjusted execution shortfall averages 15 basis points. It is 12 in the largest ten companies and 20 in the middle of the index, but the authors say the variation is too large to call significant.
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