Stand-up comedy and trading have a surprising amount in common. Both rely on strong communication but can have unpredictable results depending on your audience. Most important though is the secret of comedy… timing. Timing is arguably the most important part of any trading decision; it can often take days between a PM making a trading decision and it being implemented in the market. In fast moving markets a delay of even an hour or so can wipe out any improvements made through trading. On the sell-side timing is equally important, even if a broker doesn’t have a say over when an order is placed, they often control how quickly it is executed and whether to front- or rear-weight the trading. In this paper we look at how we can break down common performance metrics to show the benefits (or cost) of timing. This can help clients understand whether it is the algo itself that’s performing well or simply their choice of strategy.
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