The TRADE 59 - Q1 2019 | Page 83

[ 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