T R A D E E X E C U T I O N A N A L Y S I SS M Report Guide
T R A D E E X E C U T I O N S M A N A LYS I S Northern Trust Trade Execution Analysis is designed to meet the growing demand for better transparency into best execution practices for equity holdings. With this tool, users can identify the drivers behind a fund s trading costs, including commissions, trade execution and local fees. Our intuitive report design allows clients to: Make informed decisions about trading costs associated with a particular portfolio or investment strategy. Understand the breakdown of a fund s costs on a per-trade basis with in-depth analysis. Run a single report or series of reports for any time period including daily, weekly, monthly, quarterly or annually.
T R A D E E X E C U T I O N A N A LYS I S S U M M A R I Z E S I N F O R M AT I O N Trade Execution Analysis lets users compare the trade executed price to the Volume Weighted Average Price (VWAP). This exercise is the industry standard used to measure the pricing impact of a trade. VWAP represents the weighted average price of all daily purchase and sale transactions executed for a particular security. It is essential to understand the relationship between the trade executed price and the VWAP because transactions executed either above or below the VWAP can detract value from the fund. Trade Execution Analysis also allows clients to determine the price impact of specific trade decisions on a portfolio or across a range of portfolios. Easily accessible via Northern Trust Passport, our Web-based information delivery system, the reports in our package summarize information across a variety of parameters. Each summary uses the same format, making it easier for clients to quickly identify the drivers behind their fund s trading costs. Trade Execution Analysis further broadens the comprehensive scope of our reports. By extending our reporting and analysis capabilities, we help our clients in fulfilling their regulatory and fiduciary responsibilities.
C O N T E N T S TRADE EXECUTION ANALYSIS TOTAL FUND....................... 1 TRADE EXECUTION ANALYSIS BY COUNTRY...................... 2 TRADE EXECUTION ANALYSIS BY BROKER........................ 3 TRADE EXECUTION ANALYSIS BY MANAGER...................... 4 TRADE EXECUTION ANALYSIS TRADE DETAIL...................... 5 TRADE EXECUTION ANALYSIS TRADE RANKINGS.................. 6
T R A D E E X E C U T I O N A N A L Y S I S T O T A L F U N D Trade Exec XX DEC XX CONSOLIDATED ABCCR ABC CLIENT Trade Execution Analysis - Total Fund Trading Costs in Basis Points Execution Manager Principal Traded Commission vs VWAP Total Costs Percent of Trading Total Fund 255,583,228-17.6-5.4-1.3-24.3-620,233 100% 100 % 0% Account - Manager A Account - Manager B Account - Manager C Account - Manager D Account - Manager E Account - Manager F A B C D E F Local Fees All Principal 128,969,321-4.2-24.2-311,981 50.46% Total All Costs Difference 50.30 % 0.16% 48,142,702-14.7-12.6-0.2-27.5-132,444 18.84 % 21.35 % -2.52% 39,691,977-23.9-1.6-4.3-29.8-118,285 15.53 % 19.07 % -3.54% 30,507,520-4.0-2.3-6.2-18,981 11.94 % 3.06 % 8.88% 7,922,158-17.8-12.6-18.3-48.6-38,523 3.10 % 6.21 % -3.11% 349,550 19.4-0.6-20 0.14 % % 0.13% Northern =ust *Generated by The Northern Trust Company from periodic data on XX Feb XX 2165C0 The Total Fund report provides a comparison of all managers executed transactions, enabling the client to review the trading costs per manager as well as a benchmark against their trade volumes. A B Principal Traded is based on the pending and settled positions traded during the reporting period specified. Commission is calculated as total commission divided by total principal D E Local Fees is calculated as local fees divided by principal traded, multiplied by 10,000. All Principal is calculated as the principal traded for each fund divided by the total principal traded. C Execution vs. VWAP is calculated as total pricing impact divided by principal F All Costs is calculated as the total costs per fund divided by the total costs. N O R T H E R N T R U S T 1
T R A D E E X E C U T I O N A N A L Y S I S B Y C O U N T R Y Trade Report Exec Statement Title XX DEC XX 1 DEC XX 31 DEC XX ( REPORT STATEMENT DATE) CONSOLIDATED ABCCR REPORT ACCOUNT NAME ABC CLIENT Trade Execution Analysis - By Country Trading Costs in Basis Points Execution Country Principal Traded C ommission vs VWAP B A B C C D E D F Local Fees Total Total Costs All Principal Percent of Trading Total Fund 255,583,228-17.6-5.4-1.3-24.3-620,233 100% 100 % 0% United States 45,484,414-15.0-12.1-0.2-27.3-124,256 17.80% 23 % -2.24% France 45,355,870 2.3-17.7-80,144 17.75% 12.92 % 4.82% Italy 35,321,088 8.4-11.6-40,798 13.82% 6.58 % 7.24% Japan 30,507,520-4.0-2.3-6.2-18,981 11.94% 3.06 % 8.88% Germany 21,689,380-43,430 8.49% 7.00 % 1.48% Spain 17,543,623-35,017 6.86% 5.65 % 1.22% Taiwan 10,747,759-18.6-1.3-2.5-22.4-24,040 4.21% 3.88 % 0.33% Singapore 10,041,790-30.7-0.2-0.4-31.2-31,360 3.93% 5.06 % -1.13% Netherlands 9,408,911-99.6-119.7-112,612 3.68% 18.16 % -14.48% United Kingdom 7,131,170-17.5-12.8-20.3-50.7-36,127 2.79% 5.82 % -3.03% Australia 5,541,162-15.6-9.1-24.7-13,687 2.17% 2.21 % -4% Hong Kong 4,425,054-25.3-0.7-10.8-36.8-16,298 1.73% 2.63 % -0.90% South Korea 4,359,951-4 -13.7-53.7-23,424 1.71% 3.78 % -2.07% China 4,307,641-15.4-2.4-7.7-25.6-11,012 1.69% 1.78 % -9% Canada 1,896,293-6.0-14.7-20.6-3,914 0.74% 0.63 % 0.11% Denmark 790,988-10.2-30.3-2,395 0.31% 0.39 % -8% Bermuda 770,254-16.4-11.2-27.6-2,128 0.30% 0.34 % -4% Global Region 260,360-1 -12.9-0.5-23.4-610 0.10% 0.10 % % All Costs Difference Northern =ust *Generated by The *Generated Northern Trust by Northern Company Trust from from periodic periodic data data on XX on Feb 31 Jan XX 2166C0 XX The Trade Execution Analysis by Country report provides a breakdown of the trading costs in a particular country as well as the percent traded in that country as compared to the total fund. This report will help clients measure the value of trading in a specific market. A B Principal Traded is based on the pending and settled positions traded during the reporting period specified. Commission is calculated as total commission divided by total principal D E Local Fees is calculated as local fees divided by principal traded, multiplied by 10,000. All Principal is calculated as the principal traded for each country divided by the total principal traded. C Execution vs. VWAP is calculated as total pricing impact divided by principal F All Costs is calculated as the total costs per country divided by the total costs. 2 N O R T H E R N T R U S T
T R A D E E X E C U T I O N A N A L Y S I S B Y B R O K E R Trade Exec XX DEC XX CONSOLIDATED ABCCR ABC CLIENT Trade Execution Analysis - By Broker Trading Costs in Basis Points Execution Broker Principal Traded Commission vs VWAP Local Fees Total Total Costs All Principal Percent of Trading Total Fund 255,583,228-17.6-5.4-1.3-24.3-620,233 100% 100 % 0% GOLDMAN SACHS INTL LDN (CST IB01) 48,419,605-10.1-3.2-0.9-14.3-69,264 18.94% 11.17 % 7.78% CITIGROUP GLOBAL LTD BROKER 33,910,889-21.0-3.7-0.1-24.8-84,174 13.27% 13.57 % -0.30% DEUTSCHE BK,AG LONDON INTL EQUITIES 17,850,903 17.7-3.2-5.5-9,872 6.98% 1.59 % 5.39% MERRILL LYNCH INTL LTD EQUITIES 13,349,296-14.8-34.8-46,467 5.22% 7.49 % -2.27% INSTINET - NEW YORK (CORPORATION) 11,175,385-16.9-30.5-0.2-47.5-53,124 4.37% 8.57 % -4.19% MAINFIRST BANK AKTIENGESE US CHAFT 10,290,356-20,586 4.03% 3.32 % 0.71% INTERMONTE SECURITIES SIM 9,267,751 36.4 16.4 15,244 3.63% -2.46% 6.08% UBS AG LONDON 8,801,510-4.7-24.7-21,744 3.44% 3.51 % -6% FOX PITT KELTON LONDON 8,537,109-4.1-24.2-20,637 3.34% 3.33 % 1% LEHMAN BROS INC NEW YORK DTC 074 7,195,678-15.1-6.5-0.1-21.8-15,682 2.82% 2.53 % 0.29% CHEUVREUX DE VIRIEU PARIS 5,182,613-4.4-24.4-12,665 2.03% 2.04 % -1% CSFB (EUROPE) LIMITED LONDON 5,013,969-134.9-154.9-77,673 1.96% 12.52 % -10.56% BROWN BROS HARRIMAN NEW YORK 4,686,221 0 1.83% % 1.83% MERRILL LYNCH FENNER & SMITH INC 4,505,257-30.1 4.5-0.2-25.8-11,606 1.76% 1.87 % -0.11% EXANE PARIS 4,266,328-4 -17,072 1.67% 2.75 % -1.08% MERRILL LYNCH INTERNATIONAL, LONDON 4,263,617 2.3-17.8-7,571 1.67% 1.22 % 0.45% INVESTMENT TECH GP INC NEW YORK 4,238,384-6.2 10.9-0.4 4.2 1,784 1.66% -0.29% 1.95% BANK JULIUS BAER FRANKFURT 4,174,840-8,366 1.63% 1.35 % 0.28% CITATION FINANCIAL GROUP NY 3,349,738-10.2-23.1-0.4-33.7-11,293 1.31% 1.82 % -0.51% UBS SECURITIES ASIA 3,272,168-25.4-2.9-10.7-39.0-12,751 1.28% 2.06 % -0.78% (D)SBC WARBURG DILLON REED & COR NY 3,064,238-10.8-1.6-0.1-12.4-3,812 1.20% 0.61 % 0.58% CITIGROUP GLOBAL MKTS ASIA LTD HK 2,980,068-11.1-6.2-17.2-5,140 1.17% 0.83 % 0.34% ING BARING SECS SEOUL 2,821,291-39.9-4.7-44.6-12,577 1.10% 2.03 % -0.92% JB WERE & SON MELBOURNE 2,780,786-24.9-5.9-30.9-8,581 1.09% 1.38 % -0.30% CSFB NEW YORK DTC 355 2,543,326-11.2-22.9-0.3-34.4-8,759 1.00% 1.41 % -0.42% DONALD & CO. SECURITIES INC - N.Y. 2,145,792-19.6 6.8-0.3-13.1-2,812 0.84% 0.45 % 0.39% DEUTSCHE SECURITIES ASIA LTD, H.K. 2,096,901-29.9-0.5-30.4-6,367 0.82% 1.03 % -0.21% DEUTSCHE SECS TAIPEI 1,807,741-40.1-3.4-15.1-58.5-10,584 0.71% 1.71 % -1.00% BANK OF NEW YORK (NEW YORK)DTC 901 1,688,612-14.8 13.9-0.5-1.4-231 0.66% 4 % 0.62% GOLDMAN SACHS (ASIA) SEOUL 1,538,659-40.3-30.2-70.5-10,847 0.60% 1.75 % -1.15% TORONTO DOMINION SECURITIES INC CAN 1,431,950-5.9-5.1-10.9-1,562 0.56% 0.25 % 0.31% FIDELITY CAP MKTS NEW YORK-DTC00226 1,421,482-19.9-0.6-0.3-20.8-2,958 0.56% 0.48 % 8% PRUDENTIAL BACHE NEW YORK 1,418,568-15.5-7.6-23.1-3,274 0.56% 0.53 % 3% MORGAN STANLEY AND CO NW YK DTC 050 1,382,021-28.6-5.3-0.5-34.3-4,746 0.54% 0.77 % -0.22% KNIGHT SECURITIES NEW YORK 1,325,181-11.1-14.4-0.4-25.9-3,430 0.52% 0.55 % -3% Northern =ust A B C D E F All Costs Difference *Generated by The Northern Trust Company from periodic data on XX Feb XX 2167C0 The Trade Execution Analysis by Broker report focuses on the cost of trades executed with a particular broker, and is available across a specific portfolio or a consolidation of portfolios. The report provides clients with a complete picture of where trade activity is directed. A B Principal Traded is based on the pending and settled positions traded during the reporting period specified. Commission is calculated as total commission divided by total principal D E Local Fees is calculated as local fees divided by principal traded, multiplied by 10,000. All Principal is calculated as the principal traded for each broker divided by the total principal traded. C Execution vs. VWAP is calculated as total pricing impact divided by principal F All Costs is calculated as the total costs per broker divided by the total costs. N O R T H E R N T R U S T 3
T R A D E E X E C U T I O N A N A L Y S I S B Y M A N A G E R Trade Exec XX DEC XX CONSOLIDATED ABCCR ABC CLIENT A B C D E F Northern =ust *Generated by The Northern Trust Company from periodic data on XX Feb XX 2168C0 The Trade Execution Analysis by Manager report highlights each manager s trading costs and transaction volumes, providing the client with a comparison across their entire manager base or across managers of similar strategies. A B Principal Traded is based on the pending and settled positions traded during the reporting period specified. Commission is calculated as total commission divided by total principal D E Local Fees is calculated as local fees divided by principal traded, multiplied by 10,000. All Principal is calculated as the principal traded divided by the total principal traded. C Execution vs. VWAP is calculated as total pricing impact divided by principal F All Costs is calculated as the total costs per manager, per country or per broker divided by the fund s total costs. 4 N O R T H E R N T R U S T
T R A D E E X E C U T I O N A N A L Y S I S T R A D E D E T A I L Trade Exec XX DEC XX CONSOLIDATED ABCCR ABC CLIENT Trade Execution Analysis - Trade Detail Trade Date Settle Date Issue Description Country Broker Buy/Sell Shares Principal A B C D E Trade Price VWAP Commission Amount in BPS Pricing Impact Amount in BPS Local Fees Amount in BPS Total Costs Amount in BPS PMI01 - F & C EUROPE EQUITIES THYSSENKRUPP AG NPV Germany BANK JULIUS BAER FRANKFURT Sell 278,60 15.0151 4,174,840.44-8,366.42-8,366.42 0 BNP PARIBAS EUR2 France FOX PITT KELTON LONDON Sell 176,412.00 48.4900 8,537,109.45 48.5100-17,108.43-3,528.24-4.1-20,636.67-24.20 ENEL EUR1 Italy MERRILL LYNCH INTL LTD EQUITIES Buy 813,20 5.4425 4,434,692.68 5.4600-8,851.68 14,231.00 32.1 5,379.32 12.10 E.ON AG NPV Germany GOLDMAN SACHS INTL LDN (CST IB01) Sell 88,20 49.7072 4,375,405.81-8,768.35-8,768.35 0 DEUTSCHE BOERSE AG NPV(REGD) Germany MAINFIRST BANK AKTIENGESE US CHAFT Buy 104,881.00 42.9580 4,514,488.96-9,010.96-9,010.96 0 CAPITALIA SPA EUR1 Italy INTERMONTE SECURITIES SIM Buy 1,778,50 2.5332 4,514,306.79 2.5500-9,010.59 29,878.80 66.2 20,868.21 46.20 VNU NV EUR0.20 Netherlands MERRILL LYNCH INTERNATIONAL, LONDON Sell 115,25 25.0342 2,879,421.17 25.0700-5,770.38-4,125.95-14.3-9,896.33-34.40 ACCOR EUR3 France UBS AG LONDON Buy 48,56 35.5044 1,727,541.85 35.6400-3,448.19 6,584.74 38.1 3,136.55 18.20 TELEFONICA SA EUR1 Spain CITIGROUP GLOBAL LTD BROKER Buy 1,512,10 11.5790 17,543,623.11-35,017.21-35,017.21 0 BOUYGUES EUR1 France CHEUVREUX DE VIRIEU PARIS Sell 195,541.00 26.3981 5,151,587.05 26.4100-10,323.82-2,326.94-4.5-12,650.76-24.60 BNP PARIBAS EUR2 France EXANE PARIS Sell 88,50 48.3037 4,266,327.69 48.4000-8,549.76-8,522.55-17,072.31-4 CIE DE ST-GOBAIN EUR4 Northern =ust France DEUTSCHE BK,AG LONDON INTL EQUITIES Sell 115,70 38.4990 4,445,425.63 38.3700-8,908.67 14,925.30 33.6 6,016.63 13.50 *Generated by The Northern Trust Company from periodic data on XX Feb XX 2169C0 The Trade Execution Analysis Trade Detail report identifies the specific transactions during the selected period and analyzes the different components of a trade s transaction costs, such as commission expense, execution cost and local fees. The trading costs reflected in the other templates are summarized in the Trade Detail report as well. A B Trade Price / VWAP shows the comparison of the trade price on the actual trade vs. the market VWAP as of the close of business for trade date. Commission reflects the per trade commission cost as well as basis point impact. D E Local Fees reflects the per trade fee due, as well as basis point impact. Total Costs is a summation of the three prior columns, along with total basis point impact. C Pricing Impact Buy Side equals negative (price minus VWAP) multiplied by absolute shares. Sell Side equals (price minus VWAP) multiplied by shares. N O R T H E R N T R U S T 5
T R A D E E X E C U T I O N A N A L Y S I S T R A D E R A N K I N G S Trade Exec XX DEC XX CONSOLIDATED ABCCR ABC CLIENT A B Northern =ust *Generated by The Northern Trust Company from periodic data on XX Feb XX 2166C0 The Trade Execution Analysis Trade Rankings report highlights the five best and five worst transactions relative to VWAP during the selected period. Rather than showing every trade, this report allows the user to quickly pinpoint the transactions that drive many of the account or consolidation s costs. A 5 Best Trades Relative to VWAP shows the five trades with the largest positive figures, in basis points, in terms of execution versus VWAP. B 5 Worst Trades Relative to VWAP shows the five trades with the largest negative figures, in basis points, in terms of execution versus VWAP. 6 N O R T H E R N T R U S T
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