[ A L G O R I T H M I C T R A D I N G S U R V E Y ]
Citi
Citi achieved a small increase of 5 basis points in this year ’ s survey , raising its average score for long-only responses from 5.42 in 2020 up to 5.48 . In 2021 we see signs of improvement for the US bank , with year-onyear increases recorded across 10 categories , the most significant being for customer support and services (+ 0.49 ), increased trader productivity (+ 0.35 ) and flexibility and sophistication of smart order routing (+ 0.18 ). Citi ’ s highest scoring category this year was ease of use , which came in at 5.85 . Long-only respondents that use Citi reported to using VWAP TCA , implementation shortfall TCA , mean reversion and liquidity shortfall to measure algo performance . In January 2021 , the firm rolled out a new trading platform with a suite of execution algorithms for global futures markets and will be available to Citi clients on major exchanges throughout North America , Europe and Asia . Despite improvements observed in the majority of service areas and the positive direction of travel , Citi ’ s overall average score falls 0.33 points short of the survey average . In addition , the firm recorded scores lower than the category average in all 15 service areas under review . Most significantly , Citi ’ s score for anonymity ( 5.40 ) and access to dark pools ( 5.48 ) were recorded at -0.49 and -0.44 below the category average respectively . The firm ’ s lowest scoring categories were customisation ( 5.24 ) and execution consulting ( 5.22 ). Nonetheless , scores across all aspects of service for Citi fall comfortably within the Good range ( 5.00-5.99 ). Respondents commented that they would like to see better monitoring tools and more customisation opportunities through bespoke algos . Over half ( 55 %) of long-only respondents trade at least half of their portfolio using algorithms . A similar proportion ( 56 %) of respondents represent managers with US $ 50 billion or more in AUM . Long-only clients of Citi that responded to this year ’ s survey were based mainly within the major markets of Europe .
CITI RATINGS FOR ALGORITHMIC PERFORMANCE
Increased trader productivity |
Reduced market impact |
Execution consistency |
Cost Speed Anonymity Price improvement Customisation |
5.62 5.40 5.47 5.63 5.55 5.40 5.37 5.24
Ease of use |
Order routing logic / analysis |
Customer support |
Execution consulting |
Dark pool access |
Flexibility and sophistication of SOR |
Algo monitoring |
Average score |
5.85 5.35 5.61 5.22 5.48 5.47 5.46 5.48
KEY STATS
5.85 Highest score
( ease of use )
5.22 Lowest score ( execution consulting )
0.49 Most improved ( customer support )
-0.45
Least improved ( execution consulting )
82 // TheTRADE // Spring 2021