The TRADE 2019 Algo Survey - Hedge Fund | Page 13

[ A L G O R I T H M I C T R A D I N G S U R V E Y ] Credit Suisse C redit Suisse recorded a significant increase in the percentage of responses it received from hedge funds in this year’s survey, over double the percentage it recorded in 2018. The majority of respondents were from mid-cap size range, with almost 60% of respon- dents managing between $1-10 billion of AuM. Credit Suisse saw scores from hedge fund respondents mostly improve in this year’s survey, with an average score of 5.59, a year-on-year improvement of 0.19 on 2018’s survey, but just below the survey-wide average score of 5.72. The bank’s standout area of performance in this year’s survey was in the customer support category, which scored 6.13 and represented a major improve- ment of 1.01 over its 2018 rating. Credit Suisse also saw year-on-year improvements for increasing trader pro- ductivity (up 0.45), reducing market impact (up 0.47), execution consistency (up 0.40), price improvement (up 0.27), customisation (up 0.26), ease of use (up 0.47) and dark pool access (up 0.27). However, there are areas where Credit Suisse saw previously high scores in last year’s survey decline year-on-year, particularly in the flexibility and sophistication of smart order routing (down 0.43), anonymity (down 0.62) and cost (down 0.37) categories. CREDIT SUISSE RATINGS FOR ALGORITHM PERFORMANCE Increase trader productivity Reduce market impact Execution consistency Cost Speed Anonymity Price improvement Customisation 5.49 5.23 5.67 5.49 5.28 5.26 5.21 5.82 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 5.71 6.13 5.64 5.79 5.57 5.70 5.82 5.59 KEY STATS 6.13 5.21 14% Highest score (customer support) Lowest score (price improvement) Most popular non-equity asset traded via algo by respondents: Foreign exchange +1.01 -0.62 43% Most improved year-on-year score (customer support) Least improved year-on-year score (anonymity) Most used algo performance measurement method: VWAP TCA Issue 60 // TheTradeNews.com // 89