[ A L G O R I T H M I C T R A D I N G S U R V E Y ]
Bernstein
Bernstein Trading , a wholly owned subsidiary of AllianceBernstein L . P ., provides fundamental research and full-service execution services to institutional clients globally . Bernstein received 20 responses from hedge fund managers in this year ’ s survey , placing the broker in twelfth place amongst its peers . Respondents were from a relatively even distribution of AUM brackets , from US $ 0.5 billion up to more than US $ 50 billion . Sixty percent of the hedge fund respondents who rely on Bernstein trade at least 50 % of their portfolio value through algorithms . The vast majority of respondents using Bernstein were from Europe , and there were also several respondents from North America . The firm beat the survey average by 26 basis points overall and scored highest in the category of speed (+ 0.40 ) across all the providers profiled . Bernstein outperformed the category average in 14 of 15 service areas under review and scored particularly strongly in areas such as reduce market impact (+ 0.54 ), customer support (+ 0.34 ) and customisation (+ 0.34 ). The firm
failed to meet the benchmark in just one area , recording its lowest score in the price improvement category ( 5.53 ), which underperformed by just two basis points compared to the category average . Year-on-year increases were observed across 10 of the 15 service areas under review , the most notable being data on venue / order routing logic or analysis (+ 0.45 ), reduce market impact (+ 0.42 ), execution consulting (+ 0.36 ) and increase trader productivity (+ 0.35 ). Declines were recorded in customisation ( -0.27 ), price improvement ( -0.24 ) and anonymity ( -0.22 ), among others . The most commonly used measures for algo performance by hedge fund respondents were VWAP TCA , implementation shortfall TCA and liquidity capture . In terms of how the Bernstein can improve , respondents have suggested that the firm should add more customisation on liquidity providers , providing relative limits versus sector / country benchmark , and better MOC trading functionality .
BERNSTEIN RATINGS FOR ALGORITHMIC PERFORMANCE
Increase trader productivity |
Reduce market impact |
Execution consistency |
Cost Speed Anonymity |
Price improvement |
Customisation |
Ease of use |
6.30 6.30 6.08 6.05 6.33 5.98 5.53 6.01 6.19
Order routing logic / analysis |
Customer support |
Execution consulting |
Dark pool access |
Flexibility / sophistication of SOR |
Algo monitoring |
Average score |
6.09 6.38 5.73 6.24 6.10 5.94 6.08
KEY STATS Overall Outperformer : Category Outperformer : X14
6.38 Highest score ( customer support ) |
5.53
Lowest score ( price improvement )
|
0.45
Most improved ( order routing logic / analysis )
|
-0.27 Least improved ( customisation ) |
|
|
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Issue 68 // thetradenews . com // 73 |