[ A PA C
A L G O
S U R V E Y ]
more block trades could be pushing asset managers
away from algos and towards negotiated trade options.
Lastly, Fig 6 shows the types of algos firms in Asia are
using. VWAP has long been a popular algo for firms
across the world and in Asia and it still is with 69.8%
of firms using this algo. TWAP has also seen a boost
in its popularity, going from less than 20% in 2016 to
over 49% this year. Participation algos have also been
among the most popular in Asia and this year they
have proved the most popular algo, used by close to
68% of firms.
best execution possible when your brokerage window
on the markets is so narrow.
Looking at Fig 5, which shows the extent to which
asset managers are using algos to execute their flow,
shows the breaking of a trend which has seen more
and more flow heading to algos. The proportion of
firms executing 40% or more of their flow by algo has
been growing steadily for years but has dramatically
fallen back this year to 42.57%, lower than it was even
back in 2014. Reasons for this trend are unclear, but
it has been speculated that firms may be getting a
better handle on when it is appropriate to use algos
and when to instead use a sales trader. Also, a drive for
Fig 5: PROPORTION OF TRADING USING ALGOS
Proportion of Trades
by Value
% of Respondents % of Respondents % of Respondents % of Respondents % of Respondents
2013 2014 2015 2016 2017
Not Answered 3.04 3.32 3.62 3.43 7.55
0-5% 9.12 7.85 7.24 6.23 12.14
5-10% 9.46 10.09 8.69 11.22 5.66
10-20% 18.58 14.57 4.34 7.79 7.55
20-30% 14.53 10.99 7.97 12.46 15.09
30-40% 15.54 10.13 21.01 9.66 9.43
40% and over 29.73 43.05 47.10 49.22 42.57
Fig 6: TYPE OF ALGO USED
Algo Type
% of
Respondents % of
Respondents % of
Respondents % of
Respondents % of
Respondents % of
Respondents
2012 2013 2014 2015 2016 2017
% Volume (Participation) 67.37 64.53 56.71 57.24 58.26 67.86
Dark Liquidity Seeking 49.10 55.07 60.30 26.81 56.39 45.38
Implementation Shortfall
(Basket) 10.11 17.57 16.39 7.24 16.51 27.62
Implementation Shortfall
(Single Stock) 44.54 50.68 45.73 38.40 45.79 37.73
Other 9.62 9.46 7.19 13.04 8.41 9.42
TWAP 30.67 26.01 12.84 24.63 18.06 49.05
VWAP 70.47 74.32 57.20 57.25 60.74 69.80
Issue 54
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