Algorithmically Beating VWAP
Today we published a paper titled “Systematically Beating VWAP on Large Canadian Baskets” (click on the title to download), which deals with the exercise of utilizing the VI4 algorithms for achieving a “better than VWAP” execution benchmark.
Based upon the results detailed below, for the combined tests, an average 74% or 44 of the 60 names traded, outperformed the daily VWAP by an estimated 10.6 bps.
While this paper specifically deals with Canadian stocks;
The exercise was labeled a “Canadian” study for stronger emphasis on markets with higher “correlation” but lower “relative liquidity” vis-à-vis the United States.
a companion study is currently being conducted for an S&P500 basket and the findings will be published this spring.