[ A L G O R I T H M I C
T R A D I N G
S U R V E Y ]
Goldman Sachs
G
oldman Sachs recorded a marked increase in
responses from long-only firms in this year’s
survey, almost doubling its total from last year’s survey,
placing it fifth-highest among the providers profiled
for responses. The majority of of long-only respondents
for Goldman Sachs were from the larger AuM brackets,
with around one-third from the $10-50 billion AuM
bracket and another one-third manage over $50 billion.
Goldman Sachs’ scores in this year’s survey show
an overall decline compared to last year, achieving an
overall score of 5.35, a decrease of 0.21 year-on-year,
ranking higher than only JP Morgan of the providers
profiled this year. The bank recorded the lowest score
among profiled providers in three categories this year:
execution consistency (5.05), customisation (4.70) and
algo monitoring capabilities (4.86). Long-only respon-
dents handed out lower scores in 11 of the 15 catego-
ries reviewed for Goldman Sachs on a year-on-year
basis, with only marginal improvements in the cost
and dark pool access sections both up (0.07). The most
significant decreases were in the execution consisten-
cy (down 0.80), execution consulting (down 0.82) and
customisation (down 0.54) categories. Goldman Sachs’
highest score came in a new category for this year’s
survey, data on venue/order routing logic or analysis,
with 5.78.
GOLDMAN SACHS RATINGS FOR ALGORITHM PERFORMANCE
Increase trader
productivity Reduce market
impact Execution
consistency Cost Speed Anonymity Price
improvement Customisation
5.43 5.40 5.05 5.61 5.49 5.33 5.25 4.70
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
5.81 5.66 5.20 5.47 5.27 4.86 5.78 5.35
KEY STATS
5.81 4.70 39%
Highest score
(ease of use) Lowest score
(customisation) Most popular non-equity asset
traded via algo by respondents:
Exchange-traded funds
+0.80 -0.82 45%
Most improved
year-on-year score
(execution consistency) Least improved
year-on-year score
(execution consulting) Most used algo
performance measurement
method: Implementation
shortfall TCA
Issue 59 // TheTradeNews.com // 83