Xetra Liquidity Measure (XLM) for ETFs

Xetra Liquidity Measure (XLM) for ETFs

Liquidity is one of the central criterions to rate the market quality in securities trading. This applies not only to trading in shares but also in Exchange Traded Funds. Investors and trading participants profit from liquid markets by trading securities immediately and at lowest costs.

Since February 2019, Deutsche Börse offers a new service with the intraday Xetra Liquidity Measure (iXLM): iXLM provides information on how the trading costs of an ETF have developed over the course of the day. Accordingly, investors can use the iXLM as an indicator for determining favourable trading times and thereby reduce their implicit trading costs. For calculation purposes, the trading day from 9:00 to 17:30 is divided into half-hour intervals and the iXLM is calculated retroactively for each half-hour. These values are published once a month in the ETF statistics

Xetra Top Liquids (ETFs)

Instrument Roundtrip Buy Sell
LYX.EUR.OVERN.RET.U.ETF A 0.9 0.4 0.4
DK DB EUROG.GER.MONEYM. 1.5 0.7 0.7
ISIV-EO ULTR.BD U.ETF EOD 2.3 1.1 1.1
ISHS CORE DAX UCITS ETF 2.6 1.3 1.3
ISHSVII-CORE S+P500 DLACC 2.6 1.4 1.3
IS EO G.B.1-3YR U.ETF EOD 2.8 1.4 1.4
ISH.CORE EO STOX.50 U.ETF 2.9 1.4 1.5
ISHS-CORE S+P 500 DL D 2.9 1.5 1.4
MUL-LX.EUROM.7-10Y I.G. A 3.0 1.2 1.7
DK DB EUROG.GERMANY 1-3 3.0 1.5 1.5

Results in basis points for 100.000 € roundtrip

*On a daily basis
**Roundtrip = Opening and closing a position at the same time

With the Xetra Liquidity Measure (XLM), the liquidity of electronic order book trading is measured on the basis of implicit transaction costs. XLM integrates the market impact costs into one single figure. The lower the XLM, the lower the market impact costs for the trading of a fund and the higher the liquidity of a fund and its trading efficiency.

The XLM is stated in basis points (100 basis points = 1 per cent). It corresponds to the relative market impact costs for the so-called round trip (simultaneous buying and selling of a position) for a given order size. An XLM of ten basis points and an order volume of €25,000 means, for instance, that the market impact costs for buying and selling this share have amounted to €25.

Detailed explanations can be found in the article “The Market Impact – Liquidity Measure in Electronic Securities Trading”.

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