The TRADE 67 - Q1 2021 | Page 81

[ A L G O R I T H M I C T R A D I N G S U R V E Y ]

Good ) in the 2021 survey , just up from its 2020 score and significantly above the survey average of 5.81 . Year-on-year increases were observed in seven categories , most notably in algo monitoring capabilities (+ 0.43 ) and data on venue / order routing logic or analysis (+ 0.36 ). Decreases were observed in eight of the service areas under review , most of which were relatively marginal , except for customer support and services ( -0.30) and the category of cost ( -0.17), which drops down a range this year from Very Good to Good . In terms of number of responses , Bernstein received 52 responses from long-only managers , placing it eleventh highest among its peers . The firm beat the category average across all aspects of service , with the exception of price improvement , where its score of 5.64 falls just two basis points less than the category average of 5.67 , indicating that this is an area that Bernstein can work to make improvements . Services areas such as flexibility and sophistication of smart order routing , customisation features , algo monitoring and data on venue / order routing logic or analysis scored particularly strongly , outperforming the category average by + 0.38 , + 0.33 , + 0.28 and + 0.22 points respectively . The most commonly used algorithms from Bernstein in this year ’ s survey were dark or alternative liquidity seeking algos , VWAP , % volume ( participation ) and implementation shortfall ( single stock ). In terms of how Bernstein can improve , respondents have suggested that the firm should think more about “ relative limits vs sector / country benchmark ”, “ pre-trade information ” and developing better process for demonstrating best execution . Just under three quarters ( 73 %) of long-only respondents who rely on Bernstein trade at least 50 % of their portfolio value through algorithms . In terms of the AUM profile , nearly a third ( 30 %) of long-only respondents managed more than US $ 50 billion . Most long-only respondents using Bernstein were from Europe and there were also several respondents from North America . Clients mainly use implementation shortfall TCA , VWAP TCA and liquidity capture to monitor algo performance .

BERNSTEIN RATINGS FOR ALGORITHMIC PERFORMANCE

6.04 5.94 6.01 5.97 6.00 6.09 5.64 5.90

6.27 5.92 6.22 5.76 6.16 6.15 6.00 6.00

KEY STATS