TCA in FX has long been viewed as the ultimate box-ticking exercise, but that is now changing as asset owners and oversight functions focus more keenly on the value they leave on the table when hedging their currency exposures. But what, Colin Lambert asks, should good FX TCA look like?
Several years ago at a Profit & Loss Forex Network New York conference, the then head of an execution desk at a
major Canadian pension fund recounted an experience he had earlier that year. Five weeks of meetings and conference calls had taken place to decide whether or not to sell USD/CAD 500 million, during which time the market had drifted some 200 points lower. Once the decision was taken to sell, another week went by as the method of execution was debated, during which Funds fell another 50 points. When the deal was finally executed,