Liquidity Cost Score (LCS®) is Barclays’ objective, quantitative, bond-level liquidity measure based on bid-ask quotes.
During this presentation, Vadim Konstantinovsky (Quantitative Portfolio Strategy) and Amy Mignosi (Global Head of Research Marketing) will discuss how LCS and its companion metric, Trade Efficiency Score (TES), can help investors:
- Monitor and report on portfolio and benchmark liquidity
- Conduct market liquidity analysis
- Construct and optimize liquidity-constrained portfolios
- Quantify the effect of transaction costs on alpha strategies