PM misalignment driving traders to ditch VWAP

Asia buy-side desks are following US peers by ditching volume-weighted average price as a benchmark for algo trading on the grounds that their interests become misaligned with portfolio managers. Heads of trading at asset management firms and heads of execution at investment banks in this region all point to a shift away from VWAP towards use of implementation shortfall (IS) or participation weighted price (PWP) as an algorithmic benchmark. While brokers in Asia still use VWAP f…