[ A L G O R I T H M I C T R A D I N G S U R V E Y ]
Redburn
Redburn is Europe ’ s largest independent equities broker , providing institutional investors with research and agency execution in equity markets across both Europe and North America . Redburn offers clients a number of core algorithms , including market participation or benchmark algos such as VWAP , TWAP , percentage volume ( participation ), market at open and market on close . It also provides key price improvement strategies , including implementation shortfall and dark or alternative liquidity seeking algos . Redburn outperforms the average in 12 of the 15 functional categories covered by the survey , recording an overall score of 6.04 , 22 basis points above this year ’ s survey average of 5.82 . Redburn performed particularly strongly in a number of key areas , including dark pool access (+ 0.58 ), ease of use (+ 0.34 ) and data on venue / order routing logic or analysis (+ 0.33 ), achieving top scores compared to the other providers profiled . Anonymity (+ 0.34 ) and price improvement (+ 0.25 ) also recorded solid scores . Areas where hedge fund clients
indicated they would like to see improvements are cost , speed and execution consulting , which fall short of the benchmarks by a marginal nine , two and two basis points respectively . Redburn received too few responses to be included within the providers profiled in last year ’ s survey , however it remains noteworthy that improvements were observed across 12 categories , including access to dark pools (+ 0.62 ), data on venue / order routing logic or analysis (+ 0.51 ) and customer support (+ 0.50 ). In terms of AUM , 24 % of hedge fund respondents manage upward of US $ 10 billion and 47 % manage between US $ 1 and 10 billion . Sixty-five percent of hedge fund clients who use Redburn , trade over 50 % of their portfolio algorithmically . By way of measuring algo performance , respondents use implementation shortfall TCA and liquidity capture . Throughout last year Redburn continued to invest heavily in execution services , particularly in its implementation shortfall and auction strategies , as well adding new liquidity sources .
REDBURN RATINGS FOR ALGORITHMIC PERFORMANCE
Increase trader productivity |
Reduce market impact |
Execution consistency |
Cost Speed Anonymity |
Price improvement |
Customisation |
Ease of use |
6.22 5.98 6.07 5.70 5.91 6.19 5.80 5.74 6.40
Order routing logic / analysis |
Customer support |
Execution consulting |
Dark pool access |
Flexibility / sophistication of SOR |
Algo monitoring |
Average score |
6.09 6.33 5.57 6.60 6.05 5.93 6.04
KEY STATS Overall Outperformer : Category Outperformer : X12
6.60 Highest score ( dark pool access ) |
5.57
Lowest score ( execution consulting )
|
0.62
Most improved ( dark pool access )
|
-0.13
Least improved ( execution consistency )
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82 // TheTRADE // Summer 2021 |
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