I-Star Global Cost Index 1Q 2013

I-STAR GLOBAL COST INDEX
1Q 2013 Market Outlook

March 15, 2013

Kissell Research Group, LLC
1010 Northern Blvd., Suite 208
Great Neck, NY 11021
www.kissellresearch.com

A message from the Kissell Research Group
It is our pleasure to present our 1Q 2013 Global Trading Cost Index Report.
Our analysis covers all global regions including developed, emerging, and frontier markets.
These reports are intended to provide traders and portfolio managers with necessary
information to make informed portfolio construction and trading decisions.
We provide our models and model parameters directly to investors. This allows investors to run
analyses from within their own applications, and using their own market expectations and alpha
estimates, without having to interact with any outside party or website. This eliminates the
possibility of information leakage or potentially having someone reverse engineer the
investment decision process.
And most importantly, our methodology is fully transparent and verifiable. We do not employ a
box approach and we encourage investors to evaluate and test our results.
Robert Kissell, President
Kissell Research Group I-Star Global Cost Index 1Q 2013 2
Executive Team
Robert Kissell, Ph.D
President
Over 20+ years experience
Previous: JPM, UBS, Instinet

Roberto Malamut, Ph.D
Head of Quantitative Research
Previous: SAC, JPM, ITG

Michael Blake
Head of Technology
Cloud Computing, Big Data
NASA Consultant

Diana Muzan
Head of Product Development
Previous: BNP

Morton Glantz, Advisor
Previous: SVP JPMChase
Euromoney Consultant
Fordham Professor

Executive Summary
We evaluated trading costs across global regions.
The analysis covers sixty-three (63) countries across ten (10) regions in the Americas, Europe, Asia,
LatAm, and in the Frontier Markets.
US and Canada continue to have the lowest trading costs.
Trading costs in Canada are relatively unchanged YTD compared to year end.
In the US, large and small cap stocks experience an increase in trading costs YTD but were unchanged
MOM.
Developed Europe experienced a spike in costs 2013 YTD.
The increase in trading costs throughout most of developed Europe was fueled by increased order flow
sensitivity and continued investor uncertainty.
Costs in many of the developed European countries have surpassed the costs in Emerging Europe.
Developed Europe experienced the largest variation in trading costs across countries. The lowest trading
cost countries are in the Nordic area (Norway, Sweden, and Finland). The most expensive trading cost
countries were in the Mediterranean area (Greece, Spain, and Italy).
The large variation in costs across Europe could have a dramatic effect on portfolio construction and
asset allocation as managers incorporate trading costs into the stock selection process.
Emerging & Frontier Markets have experienced a recent decline in costs MOM.
Emerging Asia & Frontier markets have experienced the largest decline in trading costs YTD.
Investors appear to have become less sensitive to order flow in these areas, some of which is already
reflected in reduced volatility.
Details
Long-Term Trading Cost Trends (2008 Present)
We evaluated long-term trading costs using our I-Star Cost Index model across the global regions for the period
2008 - present.
As shown in the graphs, trading costs are far from constant. There was a large spike in the I-Star Index during the
Financial Crisis of 2008-2009, the May 2010 Flash Crash, and the Summer-Fall 2011 European & US Debt
Concerns. The increase in trading costs during the flash crash and debt issue concern periods were not as
pronounced in the emerging and frontier markets as they were in the developed markets. This insight shows that
trading costs have not been as highly correlated across countries has been observed with price movement trends
and price covariance.
Trading costs have leveled off over the last year, but many markets and countries have experienced a recent
increase in trading costs during the early months of 2013.
Country Trading Cost
We evaluated trading cost across various countries in each of our Global Regions.
This included US, Canada, Europe (Developed & Emerging), Asia (Developed & Emerging), LatAm, and Frontier
Markets.
As shown in the graphs, trading costs were lower on average for the developed markets.
However, many of the emerging countries currently have costs more consistent with the developed markets (e.g.,
Israel, South Africa, Malaysia), and many of the developed countries have costs that are more reflective of emerging
countries (e.g., Italy, Spain, Greece, and Japan).
These differences in trading costs, however, is often due to volatility and liquidity conditions, and overall investor
sentiment and macro-economic conditions, which are all subject to a quick market adjustments and reversals.
Our trading cost estimates do not include the spread cost by country which may or may not have a large influence on
the total cost that will be incurred by the investor. Spread contribution to cost is a function of market, size, and
urgency level.

FAQ
What is the I-Star Cost Index?
Our I-Star Trading Cost Model is a market impact estimate for an order that comprises 10% of the
stocks average trading volume (ADV) executed via a full day VWAP strategy. The model incorporates
current liquidity and volatility in the market. The cost index value is an average across all stocks.
Model parameters are computed for each of our regions (see references for insight into our parameter
estimation process).
The I-Star Cost Index Model is described on page 24.
What is our Estimation / Forecasting Methodology?
Our cost estimates are based on our model parameters and market conditions over the historical /
current period. Our cost forecasts are based on our model parameters and the expected market
conditions over the forecasted period (e.g., volatility & liquidity). The Model is described on page 24.
What is Market Impact?
Market impact is the price movement in the stock caused by your trade or order. The impact is due to the
liquidity/urgency needs of the trade (temporary) and the information content conveyed to the market
(permanent). Our estimates distinguish between temporary and permanent impact.
What about Spread Costs?
Our trading cost estimate focuses solely on the price movement in the stock due to the particular trade
or order. Spreads represent a fixed trading cost component, and the actual percentage of spreads that
investors will incur is a function of the order size and time horizon of the trade.
What is included in the report
Long-Term Cost Trends: we estimated our I-Star Cost Index cross all regions over the period 2008
through present. These values were based on our market impact model parameters calibrated for
each historical month in the period, along with actual market conditions and volatility within each
month. Our trend analysis also includes quarter over quarter cost change for each region. (See
page 10).
Current Cost Forecasts: we estimated the I-Star Cost Index for each region based on the current
model parameters and average market conditions in the region. (See page 14).
Costs by Country: we compare I-Star Cost Index estimates across sixty-three countries in our
regions. These estimates were based on current model parameters and actual market conditions
within each country. (See page 15).
Cost Curves: our cost curves provide investors with the expected trading costs for various order
sizes and trading strategies. The cost curves are computed for each of our trading regions based on
current market conditions. (See page 20).
I-Star Market Impact Model: the formulation of our I-Star impact model is provided along with our
calibrated parameters. This allows investors to verify our results as well as incorporate their own
proprietary views into customized analyses. (See page 24).
Further information on our model and methodology is provided in the References (See page 27).
*** Individual Stock and Country Analysis is Available upon Request ***
Trading Cost Snapshot
The graph above presents our trading cost findings
across regions.
The I-Star Index is computed based on an order of
10% Adv executed via a full day VWAP strategy.
The calculation incorporates current volatility and
liquidity conditions into the cost estimate.
Historically, US and Canada have been the markets
with the lowest trading costs, followed by developed
Europe.
Costs in Developed Europe, however, have increased
recently and it is now more costly to transact shares in
Developed Europe compared to Emerging Europe.

The graph above shows the change in trading costs
for each region for YTD and MOM.
Both the US markets and Developed Europe have
experienced an increase in cost since the beginning of
the year. But they have held relatively constant over
the last month.
Emerging Asia and the Frontier markets have realized
the largest reduction in costs since beginning of the
year, but they still represent the more costly trading
markets overall.

I-Star Cost Index Country Coverage
EMEA EMEA Asia Asia
Americas Developed Emerging Developed Emerging Latam Frontier
US - Large Austria Czech Republic Australia China Argentina Abu Dhabi
US - Small Belgium Egypt Hong Kong India Brazil Bahrain
Canada Britain Hungary Japan Indonesia Chile Dubai
Denmark Israel New Zealand Korea Colombia Estonia
Finland Morocco Singapore Malaysia Mexico Jordan
France Poland Pakistan Peru Kazakhstan
Germany Russia Philippines Kuwait
Greece South Africa Taiwan Oman
Ireland Turkey Thailand Qatar
Italy Vietnam Ukraine
Netherlands
Norway
Portugal
Spain
Sweden
Switzerland
As of: 3/1/2013
TRADING COST TRENDS
I-Star Global Trading Cost Trends
The graphs above show the long term trends in
trading costs across the developed markets.
The graph to the left shows trading cost trends in
across the developed markets over the last thirteen
months.
Evidence shows that trading costs have been
trending down since summer 2012.
Costs reached all time lows in January 2013 but
have increased slightly over the last two months.

I-Star Global Trading Cost Trends
The graph above shows long term trading cost
trends for the Emerging Markets from Jan-2008 to
present.
The graph to the left shows trading cost trends over
the last thirteen months.
LatAm and the Frontier markets have consistently
had the highest costs across time.
Relatively little correlation across Emerging Europe
and Emerging Asia.
Market Observations
The graph above shows the quarterly trading cost
trends by region over the last four quarters.
As shown, costs have been trending lower since 2Q-
2012.
The exception is Emerging Asia where costs spiked in
Jan-2013 due to increased volatility and decreased
liquidity. But costs have begun to subside in Feb and
March.

The graph above shows the market efficiency
rating for each of our regions.
Our market efficiency rating is a measure of how
quickly information is absorbed into the market.
North America has the highest efficiency ratio
followed by Developed Asia and Developed
Europe.
Emerging Markets, Latam, and Frontier markets
has the highest opportunity for profiting.

70%
75%
80%
85%
90%
95%
100%
105%
Market Efficiency Rating
1Q-2013
0
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I-Star Index - Quarterly Trends
2Q-2012
3Q-2012
4Q-2012
1Q_2013
Forecasted Costs Various Sizes (% Adv)
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Forecasted Costs
1% ADV
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Forecasted Costs
10% ADV
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25% ADV
COUNTRY COST ANALYSIS
Country Cost Analysis North America
The graphs above provide the cost index for different
indexes.
Large cap stocks have the lowest costs followed by mid
cap and then small caps stocks
There was relatively little difference in trading costs
across market capitalization in Canada.
0 5 10 15 20 25
CA-Small
CA-Large
R2000
R1000
SP600
SP400
SP500
US Indexes
1Q-2013
0 5 10 15 20 25
Materials
Financials
Energy
Industrials
Tech
ConsDiscr
Telecomm
HealthCare
Utilities
ConsStap
US Sectors
1Q-2013
The graphs above show the trading costs by GIC Sector.
Historically, Utilities and Telecomm have been the least
expensive sectors. Tech and Financials have been the
most expensive sectors.

Country Cost Analysis Europe
The Nordic countries experienced the lowest trading
costs during the first quarter 2013.
Most expensive countries were the Mediterranean
countries of Italy, Spain, and Greece.
This analysis shows that there is a large potential for
costs to vary by country within a region.
Portfolio managers need to
Emerging Europe historically has had some of the
largest ranges in trading costs across countries with
some countries having costs more consistent with
developed Europe and some countries having costs
more consistent with other emerging markets.
Historically, South Africa, Egypt and Czech Republic
have had the lowest costs across emerging Europe.
Turkey, Morocco, and Poland have historically been
the most expensive countries to trade.

Kissell Research Group I-Star Global Cost Index 1Q 2013
17
0 10 20 30 40
Italy
Spain
Greece
Denmark
France
Germany
Belgium
Portugal
Ireland
Netherlands
Austria
Switzerland
Finland
Britain
Sweden
Norway
Developed 1Q-2013
0 5 10 15 20 25 30 35
Poland
Morocco
Hungary
Russia
Egypt
Czech Republic
Turkey
South Africa
Israel
Emerging 1Q-2013
Country Cost Analysis Asia
Costs in developed Asia have increased in 1Q-2013
Most Expensive Countries: Japan
Least Expensive: New Zealand & Australia
Largest Change MoM: Japan (+35%)
Japan has historically been one of the lower trading
cost countries in Asia.

Costs in emerging Asia have decreased in 1Q-2013.
Least Expensive: Malaysia, Taiwan, and Indonesia
Most Expensive: China, Philippines, and Vietnam
Largest Change: Vietnam and Korea
Korea and China have historically been the lower
trading cost countries in emerging Asia.

0 5 10 15 20 25 30 35
Japan
Singapore
Hong Kong
Australi a
New
Zealand
Asia Developed
1Q-2013
0 10 20 30 40 50
Vietnam
Philippines
China
Pakistan
India
Thailand
Korea
Indonesia
Taiwan
Malaysi a
Asia Emerging
1Q-2013
Country Cost Analysis LatAm & Frontier
LatAm is one of the most expensive trading cost
regionss. The higher costs in this region is due to
higher volatility and increased sensitivity to order flow.
In Mexico & Argentina, costs have been steadily
increasing YTD. This is a reversal of the decreasing
trend experienced by both countries towards the end
of the year.
Most Expensive: Argentina and Mexico
Least Expensive: Chile and Colombia
The Frontier markets have historically been the most
expensive trading cost markets.
This is primarily due to higher volatility and order
sensitivity, and also due to a higher permanent impact
measure. The higher permanent impact is due to the
higher information content of the trade or at least a
higher perception of permanent impact.
Most Expensive: Kuwait & Ukraine
Least Expensive: Lithuania, Abu Dhabi, and Dubai

0 10 20 30 40 50 60
Argentina
Mexico
Peru
Brazil
Colombia
Chile
Latam
1Q-2013
0 20 40 60 80 100 120
Kuwait
Ukraine
Kazakhst
Estonia
Qatar
Jordan
Bahrain
Oman
Dubai
Abu Dhabi
Lithuania
Frontier
1Q-2013
COST CURVES
Cost Curves (basis points)
1Q-2013: US Large Cap Stocks 1Q-2013: US Small Cap Stocks
Order Trading Strategy Order Trading Strategy
Size 1-day Percentage of Volume (POV Rate) Size 1-day Percentage of Volume (POV Rate)
%ADV VWAP 5% 10% 15% 20% 25% 30% 35% 40% %ADV VWAP 5% 10% 15% 20% 25% 30% 35% 40%
1% 1.7 3.2 4.3 5.1 5.8 6.4 6.9 7.4 7.9 1% 2.5 5.3 7.6 9.5 11.1 12.6 13.9 15.2 16.4
5% 8.7 8.9 11.9 14.2 16.1 17.7 19.1 20.5 21.7 5% 11.1 11.3 16.3 20.3 23.7 26.9 29.8 32.5 35.1
10% 17.7 13.8 18.5 22.0 24.9 27.4 29.6 31.7 33.6 10% 21.5 15.7 22.6 28.1 33.0 37.3 41.3 45.1 48.7
15% 26.7 17.8 23.8 28.3 32.1 35.3 38.2 40.9 43.4 15% 31.6 19.1 27.4 34.1 39.9 45.2 50.1 54.7 59.0
20% 35.6 21.3 28.6 34.0 38.5 42.4 45.8 49.0 52.0 20% 41.4 21.8 31.3 39.0 45.7 51.8 57.4 62.6 67.6
25% 44.3 24.6 32.9 39.1 44.3 48.8 52.8 56.4 59.8 25% 50.8 24.3 34.8 43.4 50.8 57.6 63.8 69.6 75.1
30% 52.8 27.5 36.9 43.9 49.7 54.7 59.2 63.3 67.1 30% 60.0 26.5 38.0 47.3 55.4 62.7 69.5 75.9 81.8
35% 61.2 30.3 40.6 48.3 54.7 60.3 65.2 69.8 73.9 35% 68.9 28.5 40.8 50.9 59.6 67.5 74.8 81.6 88.0
40% 69.5 33.0 44.2 52.6 59.5 65.6 71.0 75.9 80.4 40% 77.5 30.3 43.5 54.2 63.5 71.9 79.7 86.9 93.8
45% 77.6 35.6 47.6 56.6 64.1 70.6 76.4 81.7 86.6 45% 85.8 32.1 46.0 57.3 67.1 76.0 84.2 91.9 99.1
50% 85.5 38.0 50.9 60.5 68.5 75.4 81.7 87.3 92.6 50% 93.9 33.7 48.3 60.2 70.5 79.9 88.5 96.6 104.2
1Q-2013: Canada Large Cap Stocks 1Q-2013: Canada Small Cap Stocks
%ADV VWAP 5% 10% 15% 20% 25% 30% 35% 40% %ADV VWAP 5% 10% 15% 20% 25% 30% 35% 40%
1% 1.6 3.6 5.1 6.2 7.2 8.1 8.9 9.6 10.3 1% 1.6 3.2 4.4 5.3 6.1 6.8 7.4 8.0 8.6
5% 8.9 9.1 12.9 15.8 18.3 20.5 22.5 24.4 26.1 5% 8.8 9.0 12.4 15.1 17.3 19.3 21.1 22.8 24.3
10% 18.4 13.6 19.3 23.7 27.4 30.7 33.7 36.4 39.0 10% 18.7 14.2 19.5 23.7 27.2 30.3 33.1 35.8 38.2
15% 27.9 17.3 24.4 29.9 34.6 38.8 42.6 46.1 49.3 15% 28.8 18.4 25.4 30.8 35.4 39.5 43.1 46.5 49.7
20% 37.3 20.4 28.8 35.4 40.9 45.9 50.3 54.4 58.3 20% 39.1 22.2 30.6 37.1 42.7 47.6 52.0 56.1 59.9
25% 46.6 23.2 32.8 40.3 46.6 52.2 57.3 62.0 66.3 25% 49.3 25.7 35.4 42.9 49.3 55.0 60.1 64.9 69.3
30% 55.7 25.8 36.5 44.8 51.8 58.0 63.7 68.9 73.7 30% 59.5 28.9 39.8 48.3 55.5 61.9 67.7 73.0 78.0
35% 64.6 28.2 39.9 48.9 56.6 63.4 69.6 75.3 80.6 35% 69.7 32.0 44.0 53.4 61.4 68.4 74.8 80.7 86.2
40% 73.4 30.5 43.1 52.9 61.2 68.5 75.2 81.4 87.1 40% 79.7 34.9 48.0 58.3 67.0 74.6 81.6 88.1 94.1
45% 82.0 32.6 46.1 56.6 65.5 73.4 80.5 87.1 93.3 45% 89.6 37.6 51.9 62.9 72.3 80.6 88.1 95.1 101.6
50% 90.4 34.7 49.1 60.2 69.6 78.0 85.6 92.6 99.2 50% 99.4 40.3 55.5 67.4 77.4 86.3 94.4 101.8 108.8
1Q-2013: EMEA - Developed 1Q-2013: EMEA - Emerging
%ADV VWAP 5% 10% 15% 20% 25% 30% 35% 40% %ADV VWAP 5% 10% 15% 20% 25% 30% 35% 40%
1% 2.5 3.9 5.0 5.9 6.6 7.2 7.7 8.2 8.7 1% 2.6 3.9 4.9 5.7 6.3 6.9 7.4 7.9 8.3
5% 12.1 12.3 15.7 18.3 20.5 22.5 24.2 25.9 27.4 5% 12.1 12.2 15.4 17.8 19.9 21.6 23.3 24.8 26.2
10% 24.8 20.2 25.7 30.0 33.6 36.8 39.7 42.3 44.8 10% 24.4 20.0 25.2 29.1 32.5 35.4 38.1 40.5 42.8
15% 37.9 26.9 34.3 40.0 44.8 49.1 52.9 56.4 59.7 15% 36.9 26.7 33.6 38.9 43.3 47.2 50.8 54.0 57.1
20% 51.1 33.0 42.1 49.1 55.0 60.2 64.9 69.2 73.2 20% 49.6 32.8 41.2 47.7 53.1 57.9 62.3 66.3 70.0
25% 64.4 38.6 49.3 57.5 64.4 70.5 76.0 81.1 85.8 25% 62.2 38.4 48.3 55.9 62.2 67.9 73.0 77.6 82.0
30% 77.7 44.0 56.1 65.5 73.3 80.3 86.5 92.3 97.7 30% 74.9 43.7 54.9 63.6 70.8 77.3 83.0 88.4 93.3
35% 90.9 49.0 62.6 73.0 81.8 89.5 96.5 103.0 108.9 35% 87.4 48.8 61.3 70.9 79.0 86.2 92.6 98.6 104.1
40% 104.0 53.9 68.8 80.3 89.9 98.4 106.1 113.2 119.8 40% 99.9 53.6 67.4 78.0 86.9 94.8 101.9 108.4 114.5
45% 117.0 58.6 74.8 87.3 97.8 107.0 115.4 123.1 130.2 45% 112.3 58.3 73.3 84.8 94.5 103.0 110.7 117.9 124.5
50% 129.9 63.2 80.7 94.1 105.4 115.3 124.4 132.6 140.3 50% 124.5 62.8 79.0 91.4 101.8 111.0 119.3 127.0 134.1
1Q-2013: Asia - Developed 1Q-2013: Asia - Emerging
%ADV VWAP 5% 10% 15% 20% 25% 30% 35% 40% %ADV VWAP 5% 10% 15% 20% 25% 30% 35% 40%
1% 2.0 3.4 4.5 5.4 6.2 6.9 7.6 8.2 8.7 1% 3.1 4.5 5.6 6.5 7.2 7.8 8.3 8.9 9.3
5% 10.3 10.5 14.0 16.8 19.2 21.4 23.4 25.3 27.0 5% 14.9 15.2 18.8 21.6 23.9 26.0 27.9 29.6 31.2
10% 21.8 17.1 22.8 27.3 31.3 34.8 38.1 41.1 44.0 10% 30.6 25.5 31.6 36.3 40.2 43.7 46.9 49.8 52.5
15% 34.1 22.7 30.3 36.3 41.6 46.3 50.6 54.7 58.5 15% 46.9 34.6 42.8 49.2 54.6 59.3 63.5 67.5 71.1
20% 46.7 27.8 37.0 44.4 50.9 56.6 61.9 66.9 71.5 20% 63.4 42.9 53.2 61.0 67.7 73.5 78.8 83.7 88.2
25% 59.5 32.5 43.3 52.0 59.5 66.2 72.4 78.2 83.7 25% 80.0 50.7 62.8 72.2 80.0 86.9 93.2 99.0 104.3
30% 72.4 37.0 49.2 59.1 67.6 75.3 82.3 88.9 95.1 30% 96.7 58.1 72.0 82.7 91.7 99.7 106.9 113.5 119.6
35% 85.4 41.2 54.9 65.8 75.3 83.9 91.7 99.1 106.0 35% 113.5 65.2 80.9 92.9 103.0 111.9 120.0 127.4 134.3
40% 98.3 45.2 60.2 72.3 82.7 92.1 100.7 108.8 116.4 40% 130.1 72.1 89.4 102.7 113.8 123.7 132.6 140.8 148.4
45% 111.3 49.1 65.4 78.5 89.9 100.1 109.4 118.2 126.4 45% 146.8 78.8 97.7 112.1 124.4 135.1 144.8 153.8 162.1
50% 124.2 52.9 70.5 84.5 96.7 107.7 117.8 127.2 136.1 50% 163.3 85.2 105.7 121.4 134.6 146.2 156.8 166.4 175.5
1Q-2013: LatAm 1Q-2013: Frontier
%ADV VWAP 5% 10% 15% 20% 25% 30% 35% 40% %ADV VWAP 5% 10% 15% 20% 25% 30% 35% 40%
1% 4.3 6.3 7.8 8.9 9.9 10.8 11.6 12.3 12.9 1% 7.9 10.9 12.9 14.4 15.6 16.6 17.5 18.3 19.1
5% 20.7 21.0 26.0 29.9 33.2 36.0 38.6 41.0 43.2 5% 30.4 30.8 36.5 40.6 44.0 46.9 49.4 51.7 53.9
10% 42.5 35.3 43.8 50.3 55.8 60.6 65.0 69.0 72.7 10% 55.6 48.1 57.0 63.5 68.8 73.3 77.3 80.9 84.2
15% 64.9 47.9 59.4 68.2 75.6 82.1 88.1 93.5 98.6 15% 79.4 62.5 74.1 82.5 89.3 95.2 100.4 105.1 109.4
20% 87.8 59.4 73.7 84.6 93.8 101.9 109.3 116.0 122.3 20% 102.2 75.2 89.2 99.3 107.5 114.6 120.9 126.5 131.7
25% 110.9 70.3 87.1 100.0 110.9 120.5 129.2 137.2 144.6 25% 124.2 86.9 103.0 114.6 124.2 132.3 139.6 146.1 152.1
30% 134.1 80.5 99.9 114.7 127.2 138.2 148.1 157.3 165.8 30% 145.5 97.7 115.8 128.9 139.7 148.8 157.0 164.4 171.1
35% 157.2 90.4 112.1 128.7 142.7 155.1 166.3 176.5 186.1 35% 166.2 107.9 127.9 142.4 154.3 164.4 173.4 181.5 189.0
40% 180.4 99.9 123.9 142.3 157.8 171.4 183.8 195.1 205.7 40% 186.3 117.7 139.4 155.2 168.1 179.2 189.0 197.9 206.0
45% 203.4 109.2 135.3 155.4 172.3 187.3 200.7 213.1 224.7 45% 206.0 126.9 150.4 167.5 181.4 193.3 203.9 213.5 222.3
50% 226.3 118.1 146.5 168.2 186.5 202.7 217.3 230.7 243.2 50% 225.2 135.9 161.0 179.3 194.2 206.9 218.3 228.5 237.9
I-STAR IMPACT MODEL
I-Star Impact Model
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I-Star Impact Model
Transparent Formulation
No API or B/D connection required
Integrate into in-house models and systems
No information leakage or potential for the investment
decision process to be reverse engineered
Incorporate proprietary estimates into the model including
alpha, volatility, liquidity, etc.
Perform what-if, sensitivity, and enhanced VaR
Generate proprietary factor scores, back-testing
universes
Evaluate real-time performance across all brokers
Parameters can be calibrated based on client trades
I=instantaneous Impact (bp)
MI=market impact cost (bp)
S = Shares to Trade
ADV = Average Daily Volume
POV = Percentage of Volume / Participation Rate
= Annualized Volatility
Model Parameters:
Markets: US-LC, US-SC, Canada (Large and
Small), Europe, Asia, Latam, and Frontier,
and Emerging and Developed Markets.
Instruments: Equities, ETFs, Futures, Fixed
Income
I-Star Market Impact Model - Parameters
Our I-Star Cost Index Market Impact Model is calibrated for each of our global regions.
These include: Americas, Canada, Europe, Asia, LatAm, and Frontier. These regions are further
classified by developed and emerging markets, and for large and small cap stocks.
Model parameters are estimated on a weekly basis and we performance a thorough statistical
analysis on estimated parameters. Further information on our estimation and testing procedure is
provided in the references section (see page 28).
Costs estimates across regions and countries incorporate estimated model parameters and actual
market conditions in each region.
The model parameters for 2011 are shown above. Current Parameters are available upon request.

Market Impact Parameters: 2011
Parameter US-LC US-SC CA-LC CA-SC EU-Dev EU-Emerg Asia-Dev Asia-Emrg Latam Frontier
a1: 1507.5 1831.7 1525.6 1772.7 1809.9 1910.9 1543.7 1851.2 2431.9 2356.0
a2: 0.38 0.45 0.41 0.60 0.65 0.41 0.49 0.41 0.52 0.52
a3: 0.94 0.91 0.95 0.81 0.60 0.82 0.85 0.91 0.92 1.05
a4: 1.05 1.04 0.94 1.05 0.94 1.00 0.93 0.96 1.00 0.80
b1: 0.97 0.93 0.97 0.90 0.95 0.86 0.91 0.90 0.86 0.82
Optimal Trading Strategies, Amacom, Inc., 2013.
The Science of Algorithmic Trading and Portfolio Management, Elsevier, 2013.
The I-Star Market Impact Model Derivation; www.KissellResearch.com.
Creating Dynamic Pretrade Models: Beyond the Black Box, Journal of Trading, Fall
2011, pg. 8-15.
Investing and Trading Consistency, Journal of Trading, Fall 2007.
References
NOTICE: Kissell Research Group, LLC is not acting as a municipal advisor and the opinions or views contained herein are not
intended to be, and do not constitute, advice within the meaning of Section 975 of the Dodd-Frank Wall Street Reform and
Consumer Protection Act.
This message and any attachments (the "message") is intended for recipient only and not for further distribution without the
express written consent of Kissell Research Group, LLC. If you receive this message in error, please delete and destroy all
electronic and paper copies and immediately notify the sender. Kissell Research Group, LLC accepts no liability whatsoever for the
actions of third parties in this respect. Kissell Research Group, LLC specifically prohibits the disclosure, dissemination,
redistribution or reproduction of this material, in whole or in part, without the written permission of Kissell Research Group, LLC.
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to the foregoing.
This communication is issued by Kissell Research Group, LLC for institutional investors only and is not a product of equity research
nor it is a recommendation to buy or sell any security or financial instrument. This report is for informational purposes and is not an
official confirmation of terms. It is not guaranteed as to accuracy, nor is it a complete statement of the financial products or markets
referred to. Opinions expressed are subject to change without notice and may differ or be contrary to the opinions or
recommendations of other Kissell Research Group. LLC employees or departments as a result of using different assumptions and
modeling criteria. Unless stated specifically otherwise, this is not a personal recommendation, offer or solicitation to buy or sell and
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indication of future performance or future likelihood. To the extent permitted by law, Kissell Research Group. LLC does not accept
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For additional information, please contact your Kissell Research Group, LLC contact.

Kissell Research Group, LLC. 2013. All rights reserved.

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