[ A L G O R I T H M I C
T R A D I N G
S U R V E Y ]
Goldman Sachs
G
oldman Sachs recorded a significant increase
in the percentage of responses it received from
hedge fund firms in this year’s survey, with just under
half of those managing over $10 billion in AuM.
Goldman Sachs saw its overall rating stay consistent
with its score from last year’s survey, recording an
average of 5.57 this year, a marginal decrease of 0.03
year-on-year, and slightly below the survey-wide
average of 5.72. The bank’s scores across the 15 areas
of performance under review were rather more varied,
with seven categories recording increased year-on-
year scores and six showing a year-on-year decrease.
The most notable areas of improvement for Goldman
Sachs were for cost (up 0.47), ease of use (up 0.35)
and dark pool access (up 0.35), while there were
marginal increases in a further four categories. There
were several instances where hedge fund respondents
handed out significantly lower scores for Goldman
Sachs compared to last year, most noticeable in the
execution consulting (down 0.64), customer support
(down 0.49), reducing market impact (down 0.40)
and execution consistency (down 0.63) categories.
Goldman Sachs was also attributed the lowest score
of all profiled providers in the execution consistency
category (5.32).
GOLDMAN SACHS RATINGS FOR ALGORITHM PERFORMANCE
Increase trader
productivity Reduce market
impact Execution
consistency Cost Speed Anonymity Price
improvement Customisation
5.69 5.36 5.32 5.83 5.70 5.63 5.70 5.21
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
6.08 5.69 5.27 5.70 5.42 5.09 5.80 5.57
KEY STATS
6.08 5.09 50%
Highest score
(ease of use) Lowest score
(algo monitoring capabilities) Most popular
non-equity asset traded
via algo by respondents
Exchange-traded funds
+0.46 -0.64 43%
Most improved
year-on-year score
(cost) Least improved
year-on-year score
(execution consulting) Most used
algo performance
measurement method:
Implementation shortfall TCA
Issue 60 // TheTradeNews.com // 91