VWAP as a Measure of Best Ex: Not Always So Helpful

When reviewing best ex, do you compare your trades to VWAP? Maybe you shouldnt. VWAP, which stands for “volume-weighted average price,” is a commonly-cited measure of execution quality. However, as WilmerHale partner James Anderson pointed out at last weeks ACA Compliance Group fall conference, the usefulness of VWAP as a measure of execution quality will […]
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