Our laser technique can tell apart elephant and mammoth ivory – here’s how it may disrupt the ivory trade 
Ukraine war: Putin’s plan to fire up Zaporizhzhia power plant risks massive nuclear disaster 
History for sale: what does South Africa’s struggle heritage mean after 30 years of democracy? 
Nigerians throw naira notes around to show love: but it could land you in jail 
The politics stopping the UK from opening a youth mobility scheme with Europe 
Family farms are fast disappearing: our research shows how young generations can take them up successfully 
Implicit transaction costs (ITCs) are not directly visible but may be a material drag on investors’ return. This note aims to measure and identify ITC drivers, which can have implications for trading strategies. For agency trades, we calculate a volume-weighted average effective spread (VWAES) as a proxy for ITCs.
Based on reported transactions involving 62 European-listed ETFs between Jan 2015 and Dec 2016, we show that VWAES primarily depend on market conditions and intraday trading times – they may be wider if trades are executed at market open or during volatile trading sessions - but also vary by ETF, driven by the commercial and marketing strategies of ETF providers. For non-agency trades, ITCs are difficult to estimate due to lack of public data.
However, we explain that ITCs may be low if the requested ETF positions are held in market makers’ inventories. If not, ITCs can be broken down into hedging costs and creation & redemption fees and ultimately depend on ETFs’ underlying exposures and market conditions.
