TY - JOUR T1 - Methods of Measuring Transaction Costs JF - Trading SP - 44 LP - 48 VL - 2001 IS - 1 AU - Peter Lert Y1 - 2001/03/20 UR - http://guides.pm-research.com/content/2001/1/44.abstract N2 - This article addresses the technical aspects of measuring transaction costs from the perspective of the institutional investor. There is an initial discussion of the relationship between transaction costs and portfolio performance, indicating that the significance of trading follow from the prices achieved, and that transaction costs are themselves an analytical (albeit important) construct that follows from the choice of benchmark price and aggregation view. An extended example is drawn to illustrate several of the possible choices: benchmarks using pre-trade, post-trade, and trade-day-average prices, with aggregation either by trade day or trade “package” of continuous days of trading. The pattern of quantitative results, along with the significance of trading style, is observed. Finally these illustrative methods are related to the leading commercial transaction cost measurement services. ER -