The Market Impact Of Passive TradingGuest Post
The Market Impact Of Passive Trading by Michael Aked, Max Moroz, Research Affiliates
The market impact, or implementation cost, of passive trading is composed of both explicit and implicit costs. The explicit cost is often referred to as implementation tracking error, defined as the observed difference between a fund’s performance and the index against which it is benchmarked. The implicit cost is the unobserved reduction in performance of the benchmark index as a result of . . .
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