  Individual trade orders are often bunched into a block order for processing
efficiency, where in post execution, they are allocated into individual
accounts. Since Regulators have not mandated any specific post trade allocation
practice or methodology, entities try to rigorously follow internal policies
and procedures to meet the minimum Regulatory ask of being procedurally fair
and equitable. However, as many have found over the years, there is no simple
solution for post trade allocation between accounts that results in a uniform
distribution of returns. Furthermore, in many instances, the divergences
between returns do not dissipate with more transactions, and tend to increase
in some cases. This paper is the first systematic treatment of trade allocation
risk. We shed light on the reasons for return divergence among accounts, and we
present a solution that supports uniform allocation of return irrespective of
number of accounts and trade sizes.
