[ A L G O R I T H M I C T R A D I N G S U R V E Y ]
Goldman Sachs
Goldman Sachs Electronic Trading ( GSET ) offers clients access to a suite of global liquidity pools , such as SIGMA X , which is enhanced by its algo execution capabilities . During the peak of market volatility in March and April 2020 , GSET saw volumes 135 % higher than the average trading day , with market data volumes processed by the platform almost tripling overnight . The firm currently has approximately 530 institutional clients on the buy-side that use its algorithms . GSET ’ s “ core ” algorithms include peg , TWAP , VWAP and portfolio algos ( APEX ) and these apply entirely to equities . Goldman Sachs attracts the third highest number of long-only fund responses ( 80 ) in this year ’ s survey . Clients managing over US $ 50 billion in assets represent 39 % of respondents doing business with Goldman Sachs in the long-only 2021 survey . Sixty-eight percent of firms looking to the company for trading expertise indicate they trade at least half of their portfolio value algorithmically .
Goldman Sach ’ s average of 5.72 is just up from its score last year but is nonetheless marginally below the survey average of 5.81 . The firm recorded year-on-year increases in nine categories and outperformed the category average in two areas : execution consistency ( 5.92 ) and flexibility and sophistication of smart order routing ( 5.85 ). For the most part there was little change between its scores this year and last year , its most significant improvements were in service areas such as price improvement (+ 0.24 ) and market impact reduction (+ 0.20 ). Goldman is moving ahead with the build of the new strategic trading platform ‘ Atlas ’, which provides flexible , modular architecture upon which products can drive improvement across clients ’ execution benchmarks . The first algo was launched at the end of 2020 and additional algos will be launched throughout 2021 . In addition , the firm have expanded their offering to include a full algo suite for the complexed regions of MENA .
GOLDMAN SACHS RATINGS FOR ALGORITHMIC PERFORMANCE
Increased trader productivity |
Reduced market impact |
Execution consistency |
Cost Speed Anonymity Price improvement Customisation |
5.90 5.61 5.92 5.75 5.78 5.63 5.53 5.50
Ease of use |
Order routing logic / analysis |
Customer support |
Execution consulting |
Dark pool access |
Flexibility and sophistication of SOR |
Algo monitoring |
Average score |
5.91 5.64 5.75 5.52 5.92 5.85 5.65 5.72
KEY STATS
5.92 Highest score ( execution consistency ) |
5.50 Lowest score ( customisation ) |
0.24 Most improved ( price improvement ) |
-0.20 Least improved ( cost ) |
84 // TheTRADE // Spring 2021 |
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