The TRADE 2019 Algo Survey - Hedge Fund | Page 11

[ A L G O R I T H M I C T R A D I N G S U R V E Y ] Bernstein B ernstein was one of the two major outperformers in this year’s hedge fund survey, alongside Exane BNP Paribas. The firm recorded a consistent percent- age of responses from hedge funds in line with last year’s results, primarily from respondents managing up to $10 billion in AuM and around one-third from the larger AuM brackets. Bernstein recorded the highest average score of any of the profiled providers in this year’s hedge fund survey with 6.08, narrowly ahead of Exane BNP Paribas (6.06) and Mirabaud Securities (6.01). The firm recorded the highest scores of profiled providers in four of the 15 categories under review: anonymity (6.28), customisation (6.05), flexibility and sophistication of smart order routing (5.99) and algo monitoring capabilities (6.06). The broker also recorded a score of above 6.00 in 10 of the 15 categories and year-on-year improvements across all areas of performance, most noticeably for flexibility and sophistication of smart order routing, execution consulting, execution consistency and reducing mar- ket impact, which increased 0.99, 0.83, 0.91 and 0.75 respectively on last year’s results. Bernstein’s lowest score came in the execution consulting category (5.86), however this was still the second-highest score of all profiled providers in this area. BERNSTEIN RATINGS FOR ALGORITHM PERFORMANCE Increase trader productivity Reduce market impact Execution consistency Cost Speed Anonymity Price improvement Customisation 5.95 6.09 6.10 6.09 6.21 6.28 5.94 6.05 Ease of use Customer support Execution consulting Dark pool access Flexibiltiy and sophistication of smart order routing Algo monitoring capabilities Data on venue/order routing logic or analysis Average score 5.94 6.19 5.86 6.21 5.99 6.06 6.18 6.08 KEY STATS 6.28 Highest score (anonymity) +0.99 Most improved year- on-year score (flexibility and sophistication of smart order routing) 5.86 Lowest score (execution consulting) +0.12 Least improved year-on-year score (customer support) 58% Most popular non-equity asset traded via algo by respondents: Listed derivatives 42% Most used algo performance measurement method: Implementation shortfall TCA Issue 60 // TheTradeNews.com // 87