THETRADETECH DAILY THE OFFICIAL NEWSPAPER OF TRADETECH 2021
Figure 4 : Number of providers used (% of responses )
ALGO 2020 ALGO 2021
5 + 32.54
41.13
4
9.22 10.75 provider count
3
14.89 15.52
2 12.54
14.89
1 19.86
28.66 0.00 5.00 10.00 15.00 20.00 25.00 30.00 35.00 40.00 45.00
Figure 5 : Algo usage by value trader (% of responses ) % of respondents |
2021 |
2020 |
Not Answered |
3.46 |
1.96 |
0-5 % |
5.19 |
4.71 |
5-10 % |
6.82 |
8.43 |
10-20 % |
4.55 |
6.08 |
20-30 % |
12.19 |
7.65 |
30-40 % |
6.64 |
9.22 |
40-50 % |
11.74 |
12.75 |
50-60 % |
9.65 |
22.16 |
60-70 % |
12.37 |
9.61 |
70-80 % |
6.64 |
6.47 |
80 % and over |
20.75 |
10.98 |
Figure 6 : Types of algos used (% of responses ) |
|
|
Algo type |
2021 |
2020 |
2019 |
% Volume ( Participation ) |
56.96 |
49.02 |
60.92 |
Dark Liquidity Seeking |
59.78 |
72.94 |
59.11 |
Implementation Shortfall ( Basket ) |
15.56 |
13.92 |
16.42 |
Implementation Shortfall ( Single Stock ) |
46.22 |
53.14 |
45.32 |
Other |
4.91 |
5.10 |
3.45 |
TWAP |
25.75 |
24.71 |
21.51 |
VWAP |
59.51 |
54.71 |
63.87 |
Methodology
Buy-side survey respondents were asked to give a rating for each algorithm provider on a numerical scale from 1.0 ( very weak ) 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 1,468 ratings were received across 36 algo providers , yielding thousands of data points for analysis . Only the evaluations from clients who indicated that they were engaged in managing long-only firms 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 responses provided by affiliated entities are 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 . As in 2020 , this year ’ s survey analysis for the long-only results was carried out by Aite Group .
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