AbleSlice Delivers over 1.2% Monthly HFT-Driven Price Improvement Across Russell 3000 Stocks
Post date: 2024-09-23 17:45:36 GMT
Understanding Fragmented Distribution Patterns and Portfolio Manager Impact
TLDR:
AbleSlice delivered 0.2% mean and 1.2% median price improvements over TWAP on sell orders and -1.4% mean and -1.2% median for buy orders across all Russell 3000 stocks in August 2024.
As Figure 1 shows, the price improvement distribution was fragmented. According to AbleMarkets analysis, these distribution patterns occur when significant portfolio managers quickly sell off substantial liquid holdings from their portfolios, resulting in a low average but a high median in execution price improvements for selling orders.
Figure 1 shows distribution of buy and sell order improvements driven by AbleSlice HFT Overlay. As shown in the Figure, the majority of stocks received price improvement for both buy and sell orders.
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