The TRADE 56 - Page 79

Implementation shortfall 6.93 (basket) 12.98 Implementation [ shortfall A L 36.63 G O (single R I T H stock) M 44.24 I C T R A D I N G S U R V E Y ] Other 8.42 0 TWAP 29.21 28.91 VWAP 51.98 53.69 Figure 6: Types of algorithms used (% of responses) Hedge funds 2018 Hedge funds 2017 51.98 % Volume (participation) 60.76 58.42 Dark liquidity seeking 70.5 6.93 Implementation shortfall (basket) 12.98 36.63 Implementation shortfall (single stock) 44.24 8.42 Other 29.21 28.91 TWAP 51.98 53.69 VWAP 0 coming to market, although hedge fund respondents were reticent to provide details on what sort of algos these may be. Ultimately there are some overlaps between long-only and hedge fund algorithmic trading during the nascent stages of MiFID II; there is an increasing appetite for algos that are consistent and simple to use, and hedge funds in particularly seem to have grown far more confident in using automated trading strategies for higher levels of value than they have in the past. 10 20 30 40 Whether hedge funds continue to engage with as many algo providers going forward remains to be seen, but the onus is now firmly placed on the sell-side to outperform and meet the increasing expecta- 50 60 70 80 tions of their clients in what will surely be an ongoing evolution to the markets, as life under MiFID II becomes less about regulatory compliance and more about getting the best returns possible. The TRADE would like to thank all of the buy- and sell-side firms that took part in this year’s survey. As always, we encourage as many firms as possible to take part as possible and to get their clients involved. In the autumn 2018 edition of The TRADE we will publish the results of this year’s Execution Management System (EMS) Survey. Issue 56 // // 79