[ A L G O R I T H M I C T R A D I N G S U R V E Y ]
Bank of America
Bank of America achieved an increase of 24 basis points in this year ’ s survey , raising its average score from 5.43 in 2020 to 5.67 in 2021 . Impressively , BofA has improved in all fifteen categories across the survey , with the highest increases seen in the data on venue / order routing logic or analysis (+ 0.41 ), reduction in market impact (+ 0.40 ) and customisation features (+ 0.39 ) categories , which indicates the strong direction of travel that the firm has undertaken over the past year . Despite improvements however , the US bank underperforms the survey average by 0.14 points overall . Aspects of service such as ease of use ( -0.26), access to dark pools ( -0.26), increased trader productivity ( -0.24) and reduced market impact ( -0.24) are perhaps the most notable . Furthermore , BofA scored below the category average in all categories , with the exception of data on venue / order routing logic or analysis , where its score of 5.82 came in 12 basis points above the category average of 5.70 .
The most commonly used algorithms for BofA by long-only respondents were implementation shortfall ( single stock ), dark or alternative liquidity seeking algos and VWAP . In terms of how the firm might improve its algo offering , clients commented that they would like to see more “ strategies for trading small-caps ”, whilst two UK-based large asset managers call for more “ innovation ”. A handful of clients also suggested that they would like to see more customisation features to support passive trading and liquidity provision . Seventy percent of the funds that rely on BofA for algo execution indicate they trade at least half of their portfolio value by algorithmic means . Just under half ( 46 %) of participants manage over US $ 50 billion in assets . For the most part the long-only respondents were from either European or North American markets , though there were also a small handful from Asian centers such as Singapore and Hong Kong .
BANK OF AMERICA RATINGS FOR ALGORITHMIC PERFORMANCE
Increased trader productivity |
Reduced market impact |
Execution consistency |
Cost Speed Anonymity Price improvement Customisation |
5.73 5.56 5.70 5.70 5.70 5.77 5.64 5.45
Ease of use |
Order routing logic / analysis |
Customer support |
Execution consulting |
Dark pool access |
Flexibility and sophistication of SOR |
Algo monitoring |
Average score |
5.76 5.82 5.89 5.47 5.66 5.65 5.54 5.67
KEY STATS
5.89 Highest score
( customer support )
|
5.45 Lowest score ( customisation ) |
0.41
Most improved ( order routing logic / analysis )
|
0.03 Least improved ( ease of use ) |
78 // TheTRADE // Spring 2021 |
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