[ 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
and Portware were also mentioned.
oldman Sachs saw a marked increase in the
Building on its solid showing in last year’s hedge
number of hedge fund respondents in this year’s
fund algo survey, Goldman Sachs outperformed the
survey, with just under half of respondents managing
survey average in nine of the 14 categories on review
more than $50 billion of assets, while there was an
this year. The bank saw increased year-on-year scores
even spread of hedge funds from other AuM brackets
in the reducing market impact, execution consistency,
accounting for the rest of the bank’s respondents. Just
over one-third of hedge funds respondents for Goldman speed, price improvement, customer support, exe-
cution consulting and smart order routing capability
Sachs traded listed derivatives and fixed income via
categories. A score of 6.17 in the customer support cat-
algos. Over half of respondents recorded increased us-
egory was the highest achieved by Goldman Sachs in
age of the bank’s algos year-on-year, while the rest said
this year’s survey, while the bank was most improved
their usage had remained consistent over the period,
in the execution consulting category, which increased
and one-third of respondents said they are considering
Goldman
Sachs Bloomberg EMSX 0.71 year-on-year. The most significant decline in scor-
adopting algos from
other providers.
Improve for
ing for the bank was for its customisation capabilities,
was the popular choice for execution management
Reduce
Execution
which dropped to a score of 4.97. Cost
Goldman Sachs respondents,
while
Eze
Software, ITG
Year
trader
Speed
2018
2017
RATINGS FOR ALGORITHM PERFORMANCE
productivity
5.52
market impact
consistency
5.76
5.85
5.95
5.22
5.37
5.52
5.59
5.90
5.52
Improve trader productivity
Reduce market impact
5.85
5.76
5.22
Execution consistency
5.95
5.52
5.37
Cost
2018
5.50
2017
5.90
5.59
5.50
Speed
5.66
Anonymity
5.88
5.49
5.44
Price improvement
4.98
Customisation
5.73
5.73
5.85
Ease of use
5.39
Crossing
5.60
Customer support
6.18
5.72
Execution consulting
5.91
5.20
5.38
5.56
Dark pool access
5.50
5.38
Smart order routing capabilities
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86 // TheTrade // Summer 2018
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3.00
4.0 0
5.00
6.0 0
7.00
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