[ A L G O R I T H M I C
T R A D I N G
S U R V E Y ]
Jefferies
J
efferies saw the percentage of responses it received
from long-only buy-side firms more than double
year-on-year. Long-only respondents for Jefferies
were split relatively evenly across AuM size brackets
in this year’s survey, with the largest group in the $1-10
billion assets under management range.
Jefferies recorded a marginally higher average score
from long-only respondents this year with 6.07, up 0.1
year-on-year. However, this was also the second-high-
est average score for profiled providers in this year’s
survey, with only Bernstein and Exane BNP Paribas
achieving a higher average, and above the long-only
survey average of 5.76. Jefferies scored highest out of
all profiled providers in four categories under review
in this year’s survey, for speed (6.31), price improve-
ment (5.89), ease of use (6.28) and one of the two new
categories introduced in this year’s survey, algo mon-
itoring capabilities (6.04). Many of Jefferies’ scores
from long-only respondents stayed consistent with last
year’s survey results, although there were noticeable
improvements in the cost (up 0.63), speed (up 0.76)
and reducing market impact (up 0.27) categories and
declines in the execution consistency (down 0.21),
customisation (down 0.44) and execution consulting
(down 0.61) categories.
JEFFERIES RATINGS FOR ALGORITHM PERFORMANCE
Increase trader
productivity Reduce market
impact Execution
consistency Cost Speed Anonymity Price
improvement Customisation
6.24 6.14 5.96 5.93 6.31 5.88 5.89 5.97
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
6.28 6.45 5.82 6.04 6.11 6.04 5.95 6.07
KEY STATS
6.45 5.82 43%
Highest score
(customer support) Lowest score
(execution consulting) Most popular non-equity asset
traded via algo by respondents:
Exchange-traded funds
+0.76 -0.61 40%
Most improved
year-on-year score
(speed) Least improved
year-on-year score
(execution consulting) Most used algo
performance measurement
method: Implementation
shortfall TCA
86 // TheTrade // Spring 2019