Market microstructure is traditionally thought to aid execution traders and market makers, the two types of intraday financial practitioners continuously interfacing within the markets. For longer-term investors, such as pension funds and long-only hedge funds’ portfolio managers, market microstructure is usually not considered to be a variable in portfolio optimization. However, the latest research from shows that long-only managers ignore the effects of market microstructure at the expense of their clients’ portfolios. This note summarizes the latest findings. First of all, what is market microstructure? In broad terms, the science of market microstructure that examines the evolution of orders and order matching that occurRead More →