WM, Elkins/McSherry Offer Global Trade Execution Data

March 9, 2001 (PLANSPONSOR.com) - Performance measurement firm WM has teamed up with US trading cost analysis firm Elkins/McSherry to monitor brokerage charges to pension funds in different countries.

The new WM trading cost analysis figures the least expensive European countries to trade in are:

  • Belgium
  • France
  • Germany
  • the Netherlands

However, according to Investment & Pensions Europe, Greece and Luxembourg are higher than the worldwide average for trading costs.  In the UK, trading fees on the buy-side are high internationally, but low on the sell-side.

Market Impact

The survey found that in countries where fees are low, the time of the day when brokers trade for their customers, also known as market impact, accounts for about a quarter of the extra cost of share trading.
In fact, in Luxembourg that timing accounts for more than 80% of the top-up charges, according to the report.

According to WM, market impact and broker commissions are the most significant figures in the cost analysis. Market impact is calculated by taking the average of the high, low, open and close prices of a single stock every day, which is then compared to the price obtained by the broker.

The average trade in the analysis is for 31.37 euros. The worldwide average charge for a trade, within the analysis universe, is 59.39 basis points – 31.1 basis points on commission, 7.27 basis points on fees and 21.03 basis points on market impact.

The analysis is taken from a universe of data for over 150 institutions, of which 77% are pension funds, 20% investment managers and 3% global brokers.  The analysis includes information for over 35,000 securities on 208 exchanges in 42 countries.