%0 Journal Article %A Robert Kissell %T Transaction Cost Analysis %B A Practical Framework to Measure Costs and Evaluate Performance %D 2008 %R 10.3905/jot.2008.705630 %J The Journal of Trading %P 29-37 %V 3 %N 2 %X This article presents a framework for financial transaction cost analysis (TCA). We discuss the importance of properly distinguishing between a cost and a performance metric. We investigate implementation shortfall and arrival price costing methodologies and debate the value of each. We then introduce techniques to properly evaluate transaction performance using pre-trade estimates and z-score, market adjusted costs, relative performance measure (RPM), interval VWAP, and non-parametric statistical tests.TOPICS: Statistical methods, performance measurement, portfolio construction %U https://jot.pm-research.com/content/iijtrade/3/2/29.full.pdf