The TRADE 59 - Q1 2019 | Page 80

[ 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