BondWave in the News
November 2019

4 months ago  •  By  •  0 Comments

Traders Magazine logo linking to article on Prevailing Market Price: VWAP for Bonds?
Friday Newsletter logo linking to article on Prevailing Market Price: VWAP for Bonds?
Prevailing Market Price: VWAP for Bonds?
11/25/2019: Traders Magazine
11/01/2019: Corporate Bond Friday Newsletter
After initial skepticism, equity market participants have for years harnessed volume-weighted average price (VWAP) to evaluate execution quality. This key metric is enabled by the transparency of the equity markets where both pre- and post-trade data are readily available for every stock and where algorithms are impacted by changes to that data in a matter of milliseconds. As the equity market has grown comfortable with the consistent calculation method of VWAP, the focus of execution analysis has shifted from which is the appropriate benchmark toward how best to use and interpret the benchmark comparisons.
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