[ 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