[ A L G O R I T H M I C
T R A D I N G
S U R V E Y ]
Bank of America Merrill Lynch
B
ank of America Merrill Lynch (BAML) recorded
a slight decrease in the percentage of responses
it received within this year’s survey from long-only
firms, ranking only 12th in terms of response levels.
Almost three-quarters of respondents manage at least
$10 billion of assets, with just under half managing
more than $50 billion.
Last year BAML recorded declining scores across
all areas of performance under review, however this
year’s results show areas of improvement, with eight
of the 15 categories scoring higher than in 2018. While
there were some marginal year-on-year increases in
the execution consistency (up 0.09), cost (up 0.06)
and flexibility and sophistication of smart order
routing (up 0.1) categories, there were more signifi-
cant increases for speed (up 0.59), customer support
(0.65) and anonymity (up 0.4). The latter category was
BAML’s standout area of performance, with a score of
5.99, the third-highest of profiled providers. Of con-
cern to BAML will be long-only respondent’s rating of
its algo customisation capabilities, which scored 4.73
(down from 5.67 in 2018). BAML received an average
score of 5.53 from long-only respondents in this year’s
survey, a year-on-year increase of 0.11, but below the
long-only survey average score of 5.74.
BANK OF AMERICA MERRILL LYNCH RATINGS FOR ALGORITHM PERFORMANCE
Increase trader
productivity Reduce market
impact Execution
consistency Cost Speed Anonymity Price
improvement Customisation
5.75 5.23 5.51 5.48 5.87 5.99 5.55 4.73
Ease of use Customer support Execution
consulting Dark pool access Flexibiltiy and sophistication
of smart order routing Algo monitoring
capabilities Data on venue/order
routing logic or analysis Average
score
5.39 5.93 5.37 5.53 5.68 5.31 5.60 5.53
KEY STATS
55%
5.99 4.73 Highest score
(anonymity) Lowest score
(customisation) +0.65 -0.94 55%
Best year-on-year score
(customer support) Worst year-on-year score
(customisation) Most used
algo performance
measurement method:
Implementation shortfall TCA
80 // TheTrade // Spring 2019
Most popular non-equity asset
traded via algo by respondents:
Listed derivatives