%0 Journal Article %A Chris Sparrow %T TCA Benchmarks: One or Many? %D 2009 %R 10.3905/JOT.2009.4.3.087 %J The Journal of Trading %P 87-89 %V 4 %N 3 %X As Transaction Cost Analysis (TCA) has matured, the issue of picking the correct benchmark to measure trading performance has been raised by many Head Traders. A desire to simplify the process by determining a single benchmark has been expressed. While appealing, the cost of simplicity of TCA analysis using a single benchmark is that not all of the details of the trading performance may be captured. While it may be possible to define a single benchmark based on a specific implementation strategy, there are many different types of trading strategies and so a benchmark that may be suitable for measuring the performance of one trading strategy may not be suitable for a different trading strategy that has different objectives. The author suggests that the optimal TCA benchmark should be tied to the implementation instructions and any order constraints, and further that for a given trading strategy, the use of multiple benchmarks may provide for a richer analysis of trading performance. There is a trade-off between the simplicity of using a single TCA benchmark and the richness of the TCA analysis that comes from using multiple TCA benchmarks.TOPICS: Performance measurement, quantitative methods, statistical methods %U https://jot.pm-research.com/content/iijtrade/4/3/87.full.pdf