[ A L G O R I T H M I C
T R A D I N G
S U R V E Y ]
Citi
C
iti saw an almost fourfold increase in the level of
percentage of responses it received from hedge
funds in this year’s survey, with respondents coming
from a relatively even split of AuM brackets. Citi’s
overall score in this year’s hedge fund survey dropped
by 0.15 to 5.24, well below the survey-wide average of
5.72, the lowest total of all the profiled providers. The
bank will have cause to be concerned with the scores
provided by hedge fund respondents, which ranked
Citi with the lowest scores of all profiled providers in
5 of the 15 performance categories reviewed: increas-
ing trader productivity (4.92), reducing market impact
(5.13), price improvement (5.10), ease of use (5.13) and
customer support (5.35). The most marked year-on-
year area of declining performance for Citi was in
the customer support category, which scored highly
in 2018 (6.18), but saw a decline of 0.83 in this year’s
survey, while there were other noticeably lower scores
for ease of use (down 0.76), increasing trader produc-
tivity (down 0.45) and price improvement (down 0.39).
Citi recorded year-on-year improvements for cost (up
0.30) and customisation (up 0.19).
CITI RATINGS FOR ALGORITHM PERFORMANCE
Increase trader
productivity Reduce market
impact Execution
consistency Cost Speed Anonymity Price
improvement Customisation
4.92 5.13 5.34 5.24 5.14 5.26 5.10 5.48
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
5.13 5.35 5.48 5.24 5.32 5.34 5.11 5.24
KEY STATS
5.48 4.92 50%
Highest score
(execution consulting/
customisation) Lowest score
(improve trader performance) Most popular non-equity asset
traded via algo by respondents:
Exchange-traded funds
+0.30 -0.83 42%
Most improved year-
on-year score:
(cost) Least improved
year-on-year score:
(customer support) Most used algo
performance measurement
method: Implementation
shortfall TCA
88 // TheTrade // Summer 2019