[ A L G O R I T H M I C T R A D I N G S U R V E Y ]
Kepler Cheuvreux
Kepler Cheuvreux offers clients a number of core algorithms , including market participation or benchmark algos such as VWAP , TWAP , percentage volume and market on close , as well as key price improvement strategies , including implementation shortfall and iceberg . In terms of asset classes , the firm ’ s algorithms cover both equities and ETFs across Europe , MENA and North American markets . Kepler Cheuvreux saw a record year for volume and revenue in 2020 , while gaining significant market share . “ During the peak of the coronavirus crisis in March last year , traders turned to liquidity seeking strategies and traded over a shorter duration , sell-side liquidity access was a key driver for the buy-side when choosing an algo provider ”, state the firm in their provider submission to the survey . Kepler Cheuvreux garnered too few responses from hedge fund managers to be included within the 2020 provider profiles . Notwithstanding , it remains notable that year-on-year increases were recorded across 14 of the 15 categories and the firm ’ s overage average has increased by 0.50 points . In this year ’ s survey , Kepler
outperformed the category average in 12 of the 15 service areas under review and their overall average score places the firm 0.14 points ahead of the survey average of 5.82 . Notably , customisation ( 6.09 ) was recorded at 0.42 points higher than the category average ( 5.67 ) and execution consistency ( 6.13 ) scored 0.37 points above the benchmark . The latter , along with price improvement (+ 0.28 ), recorded the highest category scores among all providers profiled . Thirty-six percent of hedge fund clients who use Kepler Cheuvreux , traded at least 50 % of their portfolio algorithmically . Managers with more than US $ 10 billion in AUM represent 20 % of all the firm ’ s hedge fund respondents , who were drawn exclusively from the UK and Europe . In Q4 2020 , Kepler completed an upgrade to their entire trading architecture . The upgrade , underpinned by Quantitative Algorithmic Infrastructure ( QAI ), leverages open source streaming technologies and is supported by machine learning . The new tech stack also includes a new regionally located smart order router .
KEPLER CHEUVREUX RATINGS FOR ALGORITHMIC PERFORMANCE
Increase trader productivity |
Reduce market impact |
Execution consistency |
Cost Speed Anonymity |
Price improvement |
Customisation |
Ease of use |
6.17 5.94 6.13 6.09 5.88 5.87 5.83 6.09 6.11
Order routing logic / analysis |
Customer support |
Execution consulting |
Dark pool access |
Flexibility / sophistication of SOR |
Algo monitoring |
Average score |
5.79 6.24 5.71 5.88 5.77 5.93 5.96
KEY STATS Overall Outperformer : Category Outperformer : X12
6.24 Highest score ( customer support ) |
5.71
Lowest score ( execution consulting )
|
0.95 Most improved ( algo monitoring ) |
-0.13 Least improved ( anonymity ) |
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Issue 68 // thetradenews . com // 79 |