The information collected in this survey will be used to generate an open-source transaction cost dataset aimed at providing a more realistic Profit and Loss (P&L) for back-testing and plausibility of trading strategies.
Please estimate your average mid-2023-mid-2024 costs of a single trade in forward points, i.e., typical difference between spot and forward exchange rate. Bid-offer refers to the costs for purchasing or selling a new 1-month FX forward contract. Rolling refers to changing an existing contract that is at maturity into a new 1-month forward contract. The survey for a normal trade size (median) and a large trade size with more market impact (90th percentile trade), whose USD or EUR values are shown next to the box.
As an example of how the costs are calculated (under the abstract assumption of no change in the spot rate), imagine on Friday the 1st of March 2024 we buy 50million EURUSD 1-month FX forward contract at bid-offer spread 0.018987 forward points (i.e. a cost of 50million EUR * 0.018987 = 0.94935 million EUR). On Tuesday the 1st of April 2024 we roll over the now matured position of 50million EURUSD spot into a new 1-month FX forward contract at roll costs 0.001899 (roll costs 50million EUR * 0.001899 = 0.09495 million EUR). Lastly on Wednesday the 1st of May 2024 we sell the position of the 50 million EURUSD at bid-offer spread 0.018987 (total costs 50million EUR * 0.018987 = 0.94935 million EUR).
By participating in this survey, you consent to the collection and use of your data as described below in this notice.
Thank you for your participation.
Macrosynergy is a London based macroeconomic research and technology company whose founders have developed and employed macro quantamental investment strategies in liquid, tradable asset classes, across many markets and for a variety of different factors to generate competitive, uncorrelated investment returns for institutional investors for two decades. Our quantitative-fundamental (quantamental) computing system tracks a broad range of real-time macroeconomic trends in developed and emerging countries, transforming them into macro systematic quantamental investment strategies. In June 2020 Macrosynergy and J.P. Morgan started a collaboration to scale the quantamental system and to popularize tradable economics across financial markets.
