[ 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
Citi
T R A D I N G
S U R V E Y ]
Credit Suisse
C
iti saw an almost fourfold increase in the level of
percentage of responses it received from hedge
funds in this year’s survey, with respondents coming
from a relatively even split of AuM brackets. Citi’s
overall score in this year’s hedge fund survey dropped
by 0.15 to 5.24, well below the survey-wide average of
5.72, the lowest total of all the profiled providers. The
bank will have cause to be concerned with the scores
provided by hedge fund respondents, which ranked
Citi with the lowest scores of all profiled providers in
5 of the 15 performance categories reviewed: increas-
ing trader productivity (4.92), reducing market impact
(5.13), price improvement (5.10), ease of use (5.13) and
customer support (5.35). The most marked year-on-
year area of declining performance for Citi was in
the customer support category, which scored highly
in 2018 (6.18), but saw a decline of 0.83 in this year’s
survey, while there were other noticeably lower scores
for ease of use (down 0.76), increasing trader produc-
tivity (down 0.45) and price improvement (down 0.39).
Citi recorded year-on-year improvements for cost (up
0.30) and customisation (up 0.19).
CITI RATINGS FOR ALGORITHM PERFORMANCE
C
redit Suisse recorded a significant increase in the
percentage of responses it received from hedge
funds in this year’s survey, over double the percentage
it recorded in 2018. The majority of respondents were
from mid-cap size range, with almost 60% of respon-
dents managing between $1-10 billion of AuM. Credit
Suisse saw scores from hedge fund respondents mostly
improve in this year’s survey, with an average score
of 5.59, a year-on-year improvement of 0.19 on 2018’s
survey, but just below the survey-wide average score of
5.72. The bank’s standout area of performance in this
year’s survey was in the customer support category,
which scored 6.13 and represented a major improve-
ment of 1.01 over its 2018 rating. Credit Suisse also saw
year-on-year improvements for increasing trader pro-
ductivity (up 0.45), reducing market impact (up 0.47),
execution consistency (up 0.40), price improvement
(up 0.27), customisation (up 0.26), ease of use (up 0.47)
and dark pool access (up 0.27). However, there are
areas where Credit Suisse saw previously high scores
in last year’s survey decline year-on-year, particularly
in the flexibility and sophistication of smart order
routing (down 0.43), anonymity (down 0.62) and cost
(down 0.37) categories.
CREDIT SUISSE 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
4.92 5.13 5.34 5.24 5.14 5.26 5.10 5.48 5.49 5.23 5.67 5.49 5.28 5.26 5.21 5.82
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
5.13 5.35 5.48 5.24 5.32 5.34 5.11 5.24 5.71 6.13 5.64 5.79 5.57 5.70 5.82 5.59
KEY STATS
KEY STATS
5.48 4.92 50% 6.13 5.21 14%
Highest score
(execution consulting/
customisation) Lowest score
(improve trader performance) Most popular non-equity asset
traded via algo by respondents:
Exchange-traded funds Highest score
(customer support) Lowest score
(price improvement) Most popular non-equity asset
traded via algo by respondents:
Foreign exchange
+0.30 -0.83 42% +1.01 -0.62 43%
Most improved year-
on-year score:
(cost) Least improved
year-on-year score:
(customer support) Most used algo
performance measurement
method: Implementation
shortfall TCA Most improved
year-on-year score
(customer support) Least improved
year-on-year score
(anonymity) Most used algo
performance measurement
method: VWAP TCA
88 // TheTrade // Summer 2019
Issue 60 // TheTradeNews.com // 89