[ 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
Morgan Stanley
T R A D I N G
S U R V E Y ]
UBS
M
organ Stanley recorded a small increase in the
percentage of responses it received from hedge
fund firms in this year’s survey, with half of respon-
dents managing assets worth between $1-10 billion.
Morgan Stanley received an average score of 5.75 in
this year’s survey, both above the survey-wide average
of 5.72 and a 0.35 increase on its score in last year’s
survey, as well as representing the highest average
score achieved by a bank this year. Morgan Stanley
recorded year-on-year increases in 11 of the 15 areas of
performance reviewed, most noticeably for increasing
trader productivity (up 0.58), reducing market impact
(up 0.77), cost (up 0.36), execution consulting (up
0.35), dark pool access (up 0.46) and flexibility and
sophistication of smart order routing (up 0.33). It was
in the customisation category where the bank truly
outperformed this year however; while its score of
5.56 was relatively modest compared to other profiled
providers, this was an area of underperformance
for Morgan Stanley in last year’s survey (4.53), and a
year-on-year increase of 1.02 represents significant
improvement. The only area in which the bank saw a
decreased year-on-year score was for customer sup-
port (down 0.18).
MORGAN STANLEY RATINGS FOR ALGORITHM PERFORMANCE
U
BS recorded a twofold increase in the percentage
of responses it received from hedge fund firms in
this year’s survey, with just over half of respondents
managing more than $10 billion in AuM. UBS record-
ed a slight improvement in its average score for this
year’s survey with 5.59, an increase of 0.13 on the 2018
edition, although this was just below the survey-wide
average of 5.72. The bank saw year-on-year increases
in eight of the 15 areas of performance under review,
with the most noticeable improvements coming in the
increase trader productivity (up 0.66), reducing mar-
ket impact (up 0.56), speed (up 0.52), price improve-
ment (up 0.95) and customer support (up 0.36) catego-
ries. However, there were also significant year-on-year
decreases for anonymity (down 0.38), flexibility and
sophistication of smart order routing (down 0.25)
and execution consulting (down 0.51). UBS’ score in
the execution consulting category (5.06) was also the
lowest of all profiled providers in this year’s survey.
The bank’s scores in the two new functional categories
for this year’s survey produced a modest result for
algo monitoring capabilities (5.61) and a relatively low
score for data on venue/order routing logic or analysis
(5.25).
UBS 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
5.75 5.70 5.80 5.88 5.91 5.74 5.49 5.56 5.61 5.78 5.65 5.52 5.72 5.64 5.46 5.56
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
5.81 5.69 5.54 6.04 5.86 5.68 5.81 5.75 5.85 5.72 5.06 5.65 5.71 5.61 5.25 5.59
KEY STATS
KEY STATS
6.04 5.49 50% 5.85 5.06 36%
Highest score
(dark pool access) Lowest score
(price improvement) Most popular non-equity
asset traded via algo by
respondents: Foreign exchange Highest score
(ease of use) Lowest score
(execution consulting) Most popular non-equity
asset traded via algo by
respondents: Listed derivatives
+1.02 -0.18 40% +0.95 -0.51 45%
Most improved
year-on-year score
(customisation) Least improved
year-on-year score
(customer support) Most used algo
performance measurement
method: Implementation
shortfall TCA 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
96 // TheTrade // Summer 2019
Issue 60 // TheTradeNews.com // 97