Transaction costs in personal investing

個人投資中的交易成本

 

by Charles Cheng, CFA
鄭又銓, CFA

 

Starting this January, a comprehensive regulatory reform in Europe for investor protection (MiFID II) has come into effect, shining a spotlight on the impact of transaction costs and broker execution. The primary parties affected by the regulation will be the large institutional fund managers and brokers trading within the region, who will have increased transparency requirements as well as new restrictions on trading practices.

從今年1月份開始，歐洲投資者保護的全面監管改革（MiFID II）已經生效，使交易成本和經紀人執行的影響成為焦點。受到該監管影響的主要將是區域內交易的大型機構基金經理和經紀人，他們需要提供更高的透明度，並對交易行為施加新的限制。

 

 

However, it would also be prudent for individual investors, regardless of location, to review their trading practices for stocks and bonds as well. Investment transaction costs remain an under-explored part of investment advice and investment literature, especially for individual investors, and a review of the components of one’s own investment execution costs can be of significant benefit to investment performance in the long term.

不過，對個人投資者來說，無論其身處何地，都應謹慎的檢閱其股票和債券的交易活動。投資交易成本在投資建議和投資文獻中仍是未被充分研究的部分，特別是對於個人投資者而言，對投資執行成本的組成部分的檢查可以對投資業績產生長遠的顯著效益。

 

 

First, we look to research done for institutional investors for a framework to analyze transaction costs. Over the past two decades, research done on institutional trading has shown the large impact that trade execution can have on investment performance. The methodology is centered around “Total Implementation Shortfall” analysis, which measures the total cost of trading between the price from the inception of an investment decision to the actual final executed price including various costs incurred.

首先，我們以機構投資者作為研究框架來分析交易成本。過去二十年來，對機構交易的研究現實了高效執行對投資業績產生的巨大影響。該方法以“總體實施不足”分析為中心，衡量投資決策開始時的價格與實際最終執行價格（包括各種成本）之間的交易總成本。

 

 

These can be separated into both explicit and implicit costs. Explicit costs include broker commissions and taxes (like stamp duty) which are easily calculated. Implicit costs are harder to get clear breakdowns for. These include opportunity costs (not being able to do a trade because of market movement), market impact (trades causing market movements), bid- ask spreads, and delay costs (market movement during trade process).

這些可以分為顯性和隱性兩部分成本。顯性成本包括經紀佣金和稅收（如印花稅），這些都很容易計算。隱性成本很難清楚地分解每項開支。這些包括機會成本（由於市場變動而無法進行交易），市場影響（導致市場波動的交易），買賣價差和延遲成本（在交易過程中的市場變動）。

 

 

According to the Investment Technology Group (ITG), average total costs for US institutional equity trades have ranged from 27-53 basis points (0.27% to 0.53%) over the past eight years. For smaller stocks and non-US stocks, the costs are higher, ranging from 75 – 212 basis points (bps) for micro cap US stocks and 72-106 bps for emerging Asia stocks. Implicit costs for institutional investors tend to be much higher than explicit costs, with their large trade sizes and low commission rates. Due to technology and market reforms these costs are much lower than they have been in preceding decades, but still can be a major drag on portfolio returns, depending on the turnover of the strategy.

根據投資科技集團（ITG）的數據，過去八年美國機構股票交易的平均總成本在27-53個基點 ^*註（0.27％至0.53％）之間。小型股票和非美國股票的成本較高，微型美國股票為75 – 212個基點（bps），新興亞洲股票為72-106個基點。機構投資者的隱性成本往往遠高於顯性成本，因為它們的交易規模大，佣金率低。由於技術和市場改革，這些成本已遠低於過去幾十年的成本，但基於營業額的考量，這些成本依然可能成為拖累投資組合收益的主要因素。

 

 

A one percent increase in transaction costs, for example 1% total transaction costs per trade on 100% portfolio turnover, on a strategy returning 8% annually can make a -19% difference in total returns over a ten year period. When these are added to other expenses in trading, a lot of the hard earned excess returns from taking investment risks are taken away.

若交易成本每增加1％，指每次100％進出交易的成本增加1％，對於一個年收益8％的策略來說十年期間的總回報就會產生-19％的差異。當這些成本與其他交易費用加在一起後，很多從高風險投資中難得獲得的收益就這樣不翼而飛了。

 

 

For individual investors, the direct costs tend to be a much larger portion of total transaction costs than for institutional investors, with commissions ranging from single digit basis points for discount brokers to over 100 basis points for certain products from full service brokers. However, implicit costs are still a factor, especially for smaller or thinly traded investments. For example, the average bid ask spread of Hong Kong listed stocks on the Hang Seng Index currently is around 0.16% while the average for the smaller companies Hong Kong GEM board is 3%. The GEM board stocks also only average a daily value traded of around 540,000 USD. While institutional investors can rely on professional trading teams or trading algorithms to mitigate these implicit costs, most individual investors have to manage them themselves. Also, in certain countries, taxes play a big factor in portfolio returns and are often exacerbated by increased portfolio turnover.

對於個人投資者而言，直接成本在交易成本總額的比例是大於機構投資者的，個人投資者支付的佣金從折扣經紀人的個位數基點值到全服務經紀商的某些產品的100個基點以上。但是，隱性成本仍然是一個因素，特別是對於小規模或交易量小的投資。例如，恆生指數上香港上市股票的平均買賣價差約為0.16％，而較小型公司所在的香港創業板的平均買賣價差為3％。創業板的股票平均每日交易量僅約為54萬美元。雖然機構投資者可以依靠專業交易團隊或交易算法來減輕這些隱性成本，但大多數個人投資者則必須自己管理這些成本。而且，在某些國家，稅收是影響投資組合收益的重要因素，而投資組合周轉率往往更加重了整個投資組合的稅收額。

 

 

In order to mitigate these costs, individual investors can benefit from taking the following four steps: 1) If possible, estimate a breakdown of the various transaction costs incurred in your normal trading activity, both implicit and explicit. 2) Negotiate commissions if possible, depending on the services obtained from the brokers. 3) Reduce implicit trading costs by planning your trade orders based on the liquidity of your investments. 4) Build trading costs into your investment strategy by comparing the expected benefit per trading decision to the estimated cost and adjusting your trading activity and portfolio turnover explicitly.

為了降低這些成本，個人投資者可以從以下四個步驟中受益：1）如果可能的話，列出在你正常交易活動中估計將產生的各種交易成本的明細，包括隱性和顯性的成本。 2）根據經紀人提供的服務，盡可能對佣金額進行議價。 3）通過根據您的投資流動性規劃您的交易訂單來降低隱性交易成本。 4）通過比較每筆交易決策的預期收益與估算成本和投資組合周轉率，將交易成本納入您的投資策略，並明確調整您的交易活動。

 

 

註: 一個基點是1%的百分之一； 是0.01%。

 

Mr. Cheng is a managing partner at Clarity Investment Partners, a Hong Kong based independent private investment office.

鄭先生為可承資本，一家總部設於香港的獨立投資辦公室之董事合夥人。

 

 

 

 

 

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