The TRADE 79 - Q1 2024 | 页面 93

[ S U R V E Y | A L G O R I T H M I C T R A D I N G ]

categories . However , when it comes to anonymity , they are bottom of the chart . Note , however , that they beat the overall category average by 0.07 , so they still had a solid score . Unfortunately , not much insight can be gained from buy-side traders , as no comments were left .

When it comes to BMO , there were plenty of changes being made globally over the last 12 months . Supporting the usual core algorithms , as well as ARC , a BMO proprietary algo strategy , BMO covers equities and ETFs mainly in EMEA and North America . For three of the fifteen categories list ( Above / Below / to the L / R ) BMO took the bottom slot , however given the recent changes , BMO may be one to watch in the coming year , with one trader commenting that they believe that BMO is the best “ all-rounder in class ”.

Methodology Buy-side survey respondents were asked to give a rating for each algorithm provider on a numerical scale from 1.0 ( very weak ) through to 7.0 ( excellent ), covering 15 functional criteria . In general , 5.0 ( good ) is the ‘ default ’ score of respondents . In total , a record number of 2,222 ratings were received across 35 algo providers , yielding thousands of data points for analysis . Only the evaluations from clients who indicated that they were engaged in managing long-only strategies have been used to compile the provider profiles and overall market review information . Each evaluation was weighted according to three characteristics of each respondent : the value of assets under management ; the proportion of business done using algorithms ; and the number of different providers being used . In this way the evaluations of the largest and broadest users of algorithms were weighted at up to three times the weight of the smallest and least experienced respondent . Finally , it should be noted that some responses provided by affiliated entities were ignored . A few other responses where the respondent could not be properly verified were also excluded . We hope that readers find this approach both informative and useful as they assess different capabilities in the future .

LIBERUM T-REX * RATINGS FOR ALGORITHMIC PERFORMANCE

6.27 6.10 6.17 6.04 6.11 6.32 6.15 5.92

6.00 5.86 6.29 6.26 6.21 6.16 5.96 6.12

REDBURN ATLANTIC RATINGS FOR ALGORITHMIC PERFORMANCE

6.11 6.03 6.25 5.97 6.16 6.14 6.12 6.05

6.26 5.94 6.59 6.09 6.25 6.07 6.06 6.14

STIFEL EUROPE RATINGS FOR ALGORITHMIC PERFORMANCE

6.32 6.01 6.25 5.78 6.09 5.99 6.28 5.81

6.26 5.95 6.37 6.25 6.38 5.94 5.94 6.11

* 2023 scores not comparable due to limited sample size Issue 79 // thetradenews . com // 93