[ A L G O R I T H M I C T R A D I N G S U R V E Y ]
Liquidnet
Liquidnet is a global institutional investment network that connects asset managers with liquidity . The New York-based firm offers a number of core algorithms , including dark and alternative liquidity seeking algos , implementation shortfall , market on close , peg , percentage volume ( participation ), VWAP , TWAP and dynamic POV , across equities and listed ETFs . Liquidnet received 34 submissions from hedge fund clients in this year ’ s survey , which in terms of number of responses , ranks the firm sixth amongst its peers . Liquidnet scored an overall average of 5.94 — up from 5.84 in last year ’ s survey – exceeding the survey average by 12 basis points . Fifty-three percent of respondents who use Liquidnet managed upward of US $ 1 billion . In terms of geographic coverage , clients came from UK ( 41 %), Europe ( 15 %), Hong Kong ( 26 %), North America ( 12 %) and ROW ( 6 %). Precisely 50 % of respondents trade at least half of their portfolio algorithmically . The firm outperformed the category average across 12 aspects of service and scored highest among all
providers profiled in the area of reduce market impact , coming in at an impressive 64 basis points above the category average . In stark contrast however , Liquidnet ’ s score for cost ( 5.39 ), ranked lowest of all providers profiled , underperforming the benchmark by 40 basis points . Liquidnet increased its score from last year ’ s survey across 10 categories , with the most significant increase seen in speed (+ 0.28 ). Increases were also observed in algo monitoring capabilities (+ 0.28 ) and ease of use (+ 0.27 ). Year-on-year decreases were recorded in five category areas , including anonymity which dropped by over 0.16 points , yet still sits comfortably within the Very Good range ( 6.00 – 6.99 ). In terms of additional features that respondents would like to see from Liquidnet , some commented that they want better MOC trading functionality , on-trade AI , and more pre-trade and TCA services . There was also mention of pairs algos as well as seamless trading and settlement of dual-listed equities .
LIQUIDNET RATINGS FOR ALGORITHMIC PERFORMANCE
Increase trader productivity |
Reduce market impact |
Execution consistency |
Cost Speed Anonymity |
Price improvement |
Customisation |
Ease of use |
6.27 6.40 5.63 5.39 6.00 6.14 5.70 5.54 6.08
Order routing logic / analysis |
Customer support |
Execution consulting |
Dark pool access |
Flexibility / sophistication of SOR |
Algo monitoring |
Average score |
5.79 6.26 5.67 6.40 5.91 5.94 5.94
KEY STATS Overall Outperformer : Category Outperformer : X12
6.40 Highest score ( dark pool access ) |
5.39
Lowest score ( cost )
|
0.29
Most improved ( speed )
|
-0.17 Least improved ( anonymity ) |
80 // TheTRADE // Summer 2021 |
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