[ 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 received 36 responses from hedge fund managers in this year ' s survey - which in terms of number of submissions , ranks the bank third amongst its peers - with a third of those managing over US $ 10 billion in AUM . BofA ’ s average score has increased by over 27 basis points from 2020 , raising its overall average up to 5.84 and placing the North Carolina-headquartered investment bank firmly in the upper end of the Good range . BofA ’ s highest year-on-year increases were observed in the cost (+ 0.58 ), increase trader productivity (+ 0.47 ) and customisation (+ 0.39 ) categories . The only decrease recorded was in execution consistency ( -0.03), which disappointingly ranks -0.14 below the category average in this year ’ s survey . As in previous years , customer support remains the bank ’ s highest rated service area under review , scoring an impressive 6.17 ( Very Good ), 12 basis points ahead of the benchmark . The bank outperformed the category average across ten service areas under review , with its strongest relative performance being its score of 6.03 in data on
venue , rating 27 basis points above the benchmark . Areas such as cost (+ 0.21 ), price improvement (+ 0.17 ) and customisation features (+ 0.13 ) also performed well . In contrast , Bank of America falls below the category average in five categories , most noticeably in increase trader productivity and breadth of dark or alternative liquidity sources , where it scores -0.20 and -0.19 points below the benchmarks respectively . For the most part , the hedge fund respondents were from either European or North American markets , though there was also a small handful from Asian centers such as Hong Kong . The most commonly used measures for algo performance by hedge fund respondents were VWAP TCA and implementation shortfall TCA . When asked what additional features they wanted , a number of respondents commented that they would like more consistent consultation and algo customisation on the access of the liquidity providers , possible customisation for more passive trading for exchange-traded fund ( ETF ) business , and more automated auction engagement .
BANK OF AMERICA RATINGS FOR ALGORITHMIC PERFORMANCE
Increase trader productivity |
Reduce market impact |
Execution consistency |
Cost Speed Anonymity |
Price improvement |
Customisation |
Ease of use |
5.78 5.67 5.62 6.00 5.96 5.96 5.72 5.80 5.93
Order routing logic / analysis |
Customer support |
Execution consulting |
Dark pool access |
Flexibility / sophistication of SOR |
Algo monitoring |
Average score |
6.03 6.17 5.60 5.83 5.86 5.75 5.84
KEY STATS Overall Outperformer : Category Outperformer : X9
6.17 Highest score
( customer support )
|
5.60
Lowest score ( execution consulting )
|
0.58
Most improved ( cost )
|
-0.03
Least improved ( execution consistency )
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70 // TheTRADE // Summer 2021 |
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