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Best Execution and Operational Performance
Best Execution and Operational Performance
This research programme deals with two topics: best execution and, more generally, the issue of operational risk. The goal of the research programme is to develop a complete framework for measuring transaction costs: EBEX (“Estimated Best Execution”) but also to develop the existing framework for specific situations (constrained orders, listed derivatives, etc.). Research will also focus on risk-adjusted performance measurement of execution strategies, analysis of market impact and opportunity costs on listed derivatives order books, impact of explicit and implicit transaction costs on portfolio performances and the impact of market fragmentation resulting from MiFID on the quality of execution in European listed securities markets.
MIFID
This paper is a call for the industry to seriously embrace a reflexion on how the quality of service is and should be measured in order to adequately protect the end investor in a context where a deliberate fragmentation of supply might not be counter balanced by adequate measures.
TCA IN EUROPE: CURRENT & BEST PRACTICES
This research reviews the conditions in which buy-side firms (traditional and alternative) are currently monitoring transaction costs and investigates the various issues related to transaction cost analysis in the context of the Markets in Financial Instruments Directive due to be enforced in November 2007, which contains an important provision related to Best Execution.
MITIGATING HEDGE FUNDS OPERATIONAL RISKS
This study shows that, when accompanied by appropriate risk monitoring and adequate structuring of the relationship with the hedge fund manager, managed accounts today represent a very efficient approach to mitigating operational risks, especially when the size of the investments does not allow for a dedicated operational due diligence and risk monitoring team to be set up.
CACEIS, NYSE EURONEXT AND SUNGARD "MIFID & BEST EXECUTION RESEARCH CHAIR"
Information about the CACEIS, NYSE Euronext and SunGard "MiFID & Best Execution Research Chair".

Related Papers
Hide-and-Seek in the Market: Placing and Detecting Hidden Orders; Rudy De Winne, Catherine D'Hondt; April 2007