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Quantitative Finance · Glossary

What is Transition management?

Definition 29.3 Strategies I: Equities and Futures · Chapter 29 — The Asset Managers’ Strategies

Transition management is the moving of a portfolio from one set of holdings to another (a new manager, a new benchmark, a new allocation) at the lowest implementation shortfall, balancing the market impact of trading fast against the risk of holding the old portfolio while the new one is built.

A transition of 59% of a $2 billion synthetic fund from a 100-name index sample to a value tilt: expected cost (half spread plus square-root impact, assumed parameters) and the standard deviation from holding the unexecuted part, by the number of days taken. Data: s1_assetmgr.transition_plan.
Figure 29.2. A transition of 59% of a $2 billion synthetic fund from a 100-name index sample to a value tilt: expected cost (half spread plus square-root impact, assumed parameters) and the standard deviation from holding the unexecuted part, by the number of days taken. Data: s1_assetmgr.transition_plan.
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