How to control the hidden costs of systematic investing

How to control the hidden costs of systematic investing

16 February 2021
Angana Jacob

Find out how to construct investment strategies that accurately incorporate trading costs into the backtesting process.

Any backtest is only as good as the information put into it. And yet when it comes to trading costs it is often assumed that an approximation is accurate enough to account for real world trading frictions. In reality, the impact of trading costs can be similar in magnitude, or even outweigh, the systematic premia they aim to capture. Additionally, trading costs assume greater significance in a low-return environment as they effectively represent a greater proportion of potential return available.

Our whitepaper explores in detail how to construct investment strategies that accurately incorporate trading costs into the backtesting process.



Hidden costs of quant trading


Please complete this form to download a copy of the whitepaper: