[ 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
Exane BNP Paribas
T R A D I N G
S U R V E Y ]
Goldman Sachs
E
xane BNP Paribas was one of the two standout
performers of this year’s hedge fund survey,
alongside Bernstein. The firm recorded a significantly
higher percentage of responses to this year’s survey,
with the vast majority of hedge fund respondents
from small to mid-cap AuM brackets, with just 12%
of firms managing more than $10 billion. The broker
recorded the second-highest average score of all
profiled providers in this year’s survey with 6.06,
marginally behind Bernstein (6.08), an increase of
0.65 year-on-year. Exane BNP Paribas received several
noticeable year-on-year improvements from respon-
dents, including those for price improvement (up 1.16),
increasing trader productivity (up 1.04), speed (up
0.94), execution consulting (up 0.84), cost (up 0.83),
dark pool access (up 0.80) and reducing market impact
(up 0.70). The firm also recorded the highest scores
of all profiled providers in six of the 15 functional
performance categories under review, including one
of the two new categories introduced this year, data on
venue/order routing logic or analysis (6.14). The only
area in which Exane BNP Paribas saw a year-on-year
decline was for execution consulting, which dropped
0.15 in this year’s survey, a relatively modest decline in
line with the survey average.
EXANE RATINGS FOR ALGORITHM PERFORMANCE
G
oldman Sachs recorded a significant increase
in the percentage of responses it received from
hedge fund firms in this year’s survey, with just under
half of those managing over $10 billion in AuM.
Goldman Sachs saw its overall rating stay consistent
with its score from last year’s survey, recording an
average of 5.57 this year, a marginal decrease of 0.03
year-on-year, and slightly below the survey-wide
average of 5.72. The bank’s scores across the 15 areas
of performance under review were rather more varied,
with seven categories recording increased year-on-
year scores and six showing a year-on-year decrease.
The most notable areas of improvement for Goldman
Sachs were for cost (up 0.47), ease of use (up 0.35)
and dark pool access (up 0.35), while there were
marginal increases in a further four categories. There
were several instances where hedge fund respondents
handed out significantly lower scores for Goldman
Sachs compared to last year, most noticeable in the
execution consulting (down 0.64), customer support
(down 0.49), reducing market impact (down 0.40)
and execution consistency (down 0.63) categories.
Goldman Sachs was also attributed the lowest score
of all profiled providers in the execution consistency
category (5.32).
GOLDMAN SACHS 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
6.07 6.24 6.18 6.09 6.32 6.20 5.98 6.05 5.69 5.36 5.32 5.83 5.70 5.63 5.70 5.21
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
6.15 6.24 5.58 5.77 5.96 5.94 6.14 6.06 6.08 5.69 5.27 5.70 5.42 5.09 5.80 5.57
KEY STATS
KEY STATS
6.32 5.58 50% 6.08 5.09 50%
Highest score
(speed) Lowest score
(execution consulting) Most popular non-equity
asset traded via algo by
respondents: Listed derivatives Highest score
(ease of use) Lowest score
(algo monitoring capabilities) Most popular
non-equity asset traded
via algo by respondents
Exchange-traded funds
+1.16 -0.15 38% +0.46 -0.64 43%
Most improved
year-on-year score
(price improvement) Least improved year-on-year score
(execution consulting) Most used algo
performance measurement
method: Implementation
shortfall TCA Most improved
year-on-year score
(cost) Least improved
year-on-year score
(execution consulting) Most used
algo performance
measurement method:
Implementation shortfall TCA
90 // TheTrade // Summer 2019
Issue 60 // TheTradeNews.com // 91