[ A L G O R I T H M I C
T R A D I N G
S U R V E Y ]
[ A L G O R I T H M I C
Bank of America Merrill Lynch Bernstein
B B
ank of America Merrill Lynch (BAML) recorded
a significant increase in the level of percentage of
responses it received from hedge funds, over dou-
ble the percentage it received in last year’s survey,
ranking joint-sixth in terms of response levels this
year. Just over half of hedge fund respondents for
BAML managed over $10 billion of assets, although
there was a relatively even split of respondents across
AuM brackets. BAML recorded increased year-on-year
scores in nine of the 15 categories under review in this
year’s survey, with an average score of 5.70 (up 0.28
from 2018), fractionally below the survey-wide aver-
age score of 5.72. The most significant year-on-year
improvements were in the speed (up 0.63), dark pool
access (up 0.48) and cost (up 0.73) categories, while
the bank’s best area of performance was in customer
support, where it recorded a score of 6.15, which rep-
resented a year-on-year improvement of 0.89. BAML
also received a score of 6.10 in the anonymity category.
Meanwhile there were decreased year-on-year scores
from hedge fund respondents in the customisation
(down 0.45), ease of use (down 0.30) and execution
consulting (down 0.13) categories.
BANK OF AMERICA MERRILL LYNCH RATINGS FOR ALGORITHM PERFORMANCE
ernstein was one of the two major outperformers
in this year’s hedge fund survey, alongside Exane
BNP Paribas. The firm recorded a consistent percent-
age of responses from hedge funds in line with last
year’s results, primarily from respondents managing
up to $10 billion in AuM and around one-third from
the larger AuM brackets. Bernstein recorded the
highest average score of any of the profiled providers
in this year’s hedge fund survey with 6.08, narrowly
ahead of Exane BNP Paribas (6.06) and Mirabaud
Securities (6.01). The firm recorded the highest scores
of profiled providers in four of the 15 categories
under review: anonymity (6.28), customisation (6.05),
T R A D I N G
S U R V E Y ]
flexibility and sophistication of smart order routing
(5.99) and algo monitoring capabilities (6.06). The
broker also recorded a score of above 6.00 in 10 of the
15 categories and year-on-year improvements across
all areas of performance, most noticeably for flexibility
and sophistication of smart order routing, execution
consulting, execution consistency and reducing mar-
ket impact, which increased 0.99, 0.83, 0.91 and 0.75
respectively on last year’s results. Bernstein’s lowest
score came in the execution consulting category (5.86),
however this was still the second-highest score of all
profiled providers in this area.
BERNSTEIN RATINGS FOR ALGORITHM PERFORMANCE
Increase trader
productivity Reduce market
impact Execution
consistency Cost Speed Anonymity Price
improvement Customisation Increase trader
productivity Reduce market
impact Execution
consistency Cost Speed Anonymity Price
improvement Customisation
5.80 5.31 5.66 5.74 5.80 6.10 5.44 5.17 5.95 6.09 6.10 6.09 6.21 6.28 5.94 6.05
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 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
5.44 6.15 5.70 5.67 5.90 6.05 5.61 5.70 5.94 6.19 5.86 6.21 5.99 6.06 6.18 6.08
KEY STATS
KEY STATS
59% 6.28
-0.45 53% Worst year-on-year score
(customisation) Most used
algo performance
measurement method:
Implementation shortfall TCA +0.99
6.15 5.17
Highest score
(customer support ) Lowest score
(customisation)
+0.89 Best year-on-year score
(customer support)
86 // TheTrade // Summer 2019
Most popular non-equity asset
traded via algo by respondents:
Exchange-traded funds
Highest score
(anonymity)
Most improved year-
on-year score
(flexibility and sophistication
of smart order routing)
5.86
Lowest score
(execution consulting)
+0.12
Least improved
year-on-year score
(customer support)
58%
Most popular non-equity
asset traded via algo by
respondents: Listed derivatives
42%
Most used algo
performance measurement method:
Implementation shortfall TCA
Issue 60 // TheTradeNews.com // 87