Chapter 18: Quantitative Analysis with TCA
Introduction
Transaction cost analysis (TCA) has become an important decision-making tool for portfolio managers. It allows managers to uncover hidden opportunities that may otherwise not be as transparent, especially given the vast array of data propagating the marketplace. Portfolio managers who once treated transaction costs as an unavoidable cost of business have turned to TCA as a valuable source of incremental alpha. TCA has finally made it to mainstream portfolio management.
Below are just a few ways that TCA is being incorporated into the stock selection phase of the investment cycle.
Quantitative Overlays
Managers select the universe of stocks for potential inclusion into the portfolio. ...
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