The TRADE 2019 Algo Survey - Hedge Fund | Page 18

[ A L G O R I T H M I C T R A D I N G S U R V E Y ] Liquidnet L iquidnet saw a marginal increase in the percentage of responses it received from hedge fund firms in this year’s survey, with around one-third of respon- dents managing $10-50 billion in AuM. Liquidnet recorded a varied set of results in this year’s survey, with some significant year-on-year fluctuations. The firm received an average score of 5.33, one of the hedge fund survey’s lowest average scores, although this represented only a minor decrease from last year’s survey. Hedge fund respondents handed out the lowest scores to Liquidnet of all profiled providers in six of the 15 areas of performance under review in this year’s survey: cost (5.18), speed (4.91), customi- sation (4.74), dark pool access (5.23), flexibility and sophistication of smart order routing (5.23) and algo monitoring capabilities (5.03). Liquidnet’s poorest area of performance year-on-year was clearly in the dark pool access category, which scored significantly lower than in last year’s survey, falling from 6.24 in 2018 to 5.23 in this year’s survey. However, there were also noticeable areas of improvement for Liquidnet compared to last year, with year-on-year increases in the reducing market impact (up 0.32), cost (up 0.69), price improvement (up 0.58), and customer support (up 0.32) categories. LIQUIDNET RATINGS FOR ALGORITHM PERFORMANCE Increase trader productivity Reduce market impact Execution consistency Cost Speed Anonymity Price improvement Customisation 5.65 6.16 5.35 5.18 4.91 5.75 5.63 4.74 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 5.28 5.76 5.28 5.23 5.23 5.03 4.82 5.33 KEY STATS 6.16 4.74 40% Highest score (reduce market impact) Lowest score (customisation) Most popular non-equity asset traded via algo by respondents: Exchange-traded funds +0.69 -1.01 47% Most improved year-on-year score (cost) Least improved year-on-year score (dark pool access) Most used algo performance measurement method: Implementation shortfall TCA 94 // TheTrade // Summer 2019