The TRADE 2019 Algo Survey - Hedge Fund | Page 21

[ A L G O R I T H M I C T R A D I N G S U R V E Y ] UBS U BS recorded a twofold increase in the percentage of responses it received from hedge fund firms in this year’s survey, with just over half of respondents managing more than $10 billion in AuM. UBS record- ed a slight improvement in its average score for this year’s survey with 5.59, an increase of 0.13 on the 2018 edition, although this was just below the survey-wide average of 5.72. The bank saw year-on-year increases in eight of the 15 areas of performance under review, with the most noticeable improvements coming in the increase trader productivity (up 0.66), reducing mar- ket impact (up 0.56), speed (up 0.52), price improve- ment (up 0.95) and customer support (up 0.36) catego- ries. However, there were also significant year-on-year decreases for anonymity (down 0.38), flexibility and sophistication of smart order routing (down 0.25) and execution consulting (down 0.51). UBS’ score in the execution consulting category (5.06) was also the lowest of all profiled providers in this year’s survey. The bank’s scores in the two new functional categories for this year’s survey produced a modest result for algo monitoring capabilities (5.61) and a relatively low score for data on venue/order routing logic or analysis (5.25). UBS RATINGS FOR ALGORITHM PERFORMANCE Increase trader productivity Reduce market impact Execution consistency Cost Speed Anonymity Price improvement Customisation 5.61 5.78 5.65 5.52 5.72 5.64 5.46 5.56 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 5.85 5.72 5.06 5.65 5.71 5.61 5.25 5.59 KEY STATS 5.85 5.06 36% Highest score (ease of use) Lowest score (execution consulting) Most popular non-equity asset traded via algo by respondents: Listed derivatives +0.95 -0.51 45% Most improved year-on-year score (price improvement) Least improved year-on-year score (execution consulting) Most used algo performance measurement method: Implementation shortfall TCA Issue 60 // TheTradeNews.com // 97