Analyzing Execution Quality in Portfolio Trading
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U.S. credit portfolio trading (PT) volumes have grown significantly over the past few years, with record volumes recorded through the first quarter of 2024 across the market as a whole and on the Tradeweb platform. As usage of the protocol evolves and new use cases arise, we continue to monitor the critical trends in portfolio trading and how they are impacting U.S. credit markets today.
This analysis will explore one of the key drivers of the portfolio trading evolution: execution quality. As we discussed in a previous piece, execution quality can have many dimensions. In this piece, we will focus on the transaction cost – defined as the price paid for the basket versus market mid. We will delve into the core factors, including various portfolio trade construction and marke...