[ A L G O R I T H M I C
T R A D I N G
S U R V E Y ]
Bernstein
B
ernstein attracted a significantly higher percent-
age of responses from long-only firms in this year’s
survey, ranking joint second-highest for responses be-
hind only Kepler Cheuvreux and tied with JP Morgan.
Over one-third of long-only respondents for Bernstein
are in the $10-50 billion AuM bracket, while around
20% in the $1-10 billion and more than $50 billion
AuM brackets.
Bernstein will have every reason to be pleased
with its showing in this year’s survey, with long-only
respondents rating the broker highest of the pro-
filed providers in five of the 15 categories reviewed
– increasing trader productivity (6.30), cost (6.12),
anonymity (6.40), customer support (6.52) and
dark pool access (6.29). The firm also recorded the
joint-highest total average score of profiled providers
with 6.10, tied with Exane BNP Paribas, representing
a 0.47 year-on-year increase. Bernstein also recorded
year-on-year increases in all but one category under
review, discounting the two new categories introduced
this year, the exception being a marginal fall of 0.09 for
dark pool access. The areas where it showed most im-
provement were in the increasing trader productivity
(up 0.62), customisation (up 0.69), ease of use (up 0.51)
and customer support (0.53) categories.
BERNSTEIN RATINGS FOR ALGORITHM PERFORMANCE
Increase trader
productivity Reduce market
impact Execution
consistency Cost Speed Anonymity Price
improvement Customisation
6.30 6.11 6.05 6.12 6.03 6.40 5.84 5.90
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
6.13 6.52 6.05 6.29 6.07 5.83 5.89 6.10
KEY STATS
6.52
5.83
Highest score
(customer support) Lowest score
(algo monitoring capabilities)
+0.69 -0.09
Most improved
year-on-year score
(customisation)
Least improved
year-on-year score
(dark pool access)
43%
Most popular non-equity
asset traded via algo by
respondents: Foreign exchange
53%
Most used algo
performance measurement method:
Implementation shortfall TCA
Issue 59 // TheTradeNews.com // 81