The TRADE 56 - Page 92

[ A L G O R I T H M I C T R A D I N G S U R V E Y ] Morgan Stanley M While the majority of scores attributed to Morgan organ Stanley attracted the third-highest level of Stanley stayed at a consistent level in this year’s survey, responses to this year’s hedge fund algo survey, with some minor fluctuations both up and down, there representing a significant increase on its percentage of were some areas of performance that will be of concern. responses year-on-year. Over half of respondents man- Morgan Stanley saw decreasing year-on-year scores age more than $10 billion in assets, while the remain- in the improving trader productivity (down 0.68), der were from mid-sized AuM brackets. Hedge fund reducing market impact (down 0.98) and customisation respondents for Morgan Stanley were highly active in (down 1.08) categories in particular, with the bank’s the listed derivatives and foreign exchange market via lowest score coming in the latter category, where its algos, while one-third also traded in the ETF space. customisation was ranked at 4.53. There were increased Less than half of respondents indicated that their scores for Morgan Stanley’s cost, crossing, and ease of usage of Morgan Stanley algos had increased year-on- use capabilities, while its’ highest score came in the year, with the majority stating that usage remained Morgan Stanley customer support category (5.86). The bank was able at a consistent level. Only one-fifth of respondents to outperform the overall survey average in half of the said they are considering adopting algos Improve from other Reduce Execution categories under review in this year’s survey. providers. Year trader Cost Speed 2018 2017 RATINGS FOR ALGORITHM PERFORMANCE productivity 5.18 market impact consistency 4.93 5.86 5.52 5.91 5.51 5.64 5.39 5.18 Improve trader productivity 2017 5.91 Execution consistency 5.52 Cost 5.51 5.39 5.64 5.63 Speed Anonymity 5.52 Price improvement 5.49 5.55 4.53 Customisation 2018 5.86 4.93 Reduce market impact 5.63 5.97 5.91 5.61 5.76 5.80 Ease of use 5.41 5.29 Crossing 5.86 5.76 Customer support 5.19 5.30 Execution consulting 5.58 5.67 Dark pool access 5.53 5.72 Smart order routing capabilities 0.00 92 // TheTrade // Summer 2018 1.0 0 2.00 3.00 4.0 0 5.00 6.0 0 7.00 5.97