The TRADE 59 - Q1 2019 | Page 88

[ A L G O R I T H M I C T R A D I N G S U R V E Y ] Kepler Cheuvreux K epler Chevreux saw its percentage of responses from long-only buy-side firms dip compared to last year’s survey, but the broker still attracted the highest percentage of responses than any other pro- vider this year. Around half of respondents for Kepler Cheuvreux manage more than $10 billion in assets. Kepler Cheuvreux was unable to maintain its impressive scores from last year’s survey, with 10 of the 15 categories under review showing decreased year-on-year scores and an average score of 5.69, just below the long-only survey average this year and a drop of 0.15 year-on-year. Although there were minor decreases in some categories, there were more notice- able drops in the reducing market impact (down 0.41), execution consistency (down 0.34), speed (down 0.37), anonymity (down 0.30) and customer support (down 0.41). It’s score of 5.40 in the dark pool access category was the lowest of any provider profiled. While the broker did not receive a score of at least 6.0 in any of the performance categories this year, it did record year-on-year increases in the cost (up 0.23), custom- isation (up 0.04) and execution consulting (up 0.11) categories. KEPLER CHEUVREUX RATINGS FOR ALGORITHM PERFORMANCE Increase trader productivity Reduce market impact Execution consistency Cost Speed Anonymity Price improvement Customisation 5.80 5.73 5.77 5.78 5.67 5.68 5.48 5.55 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 5.85 5.91 5.94 5.40 5.53 5.54 5.75 5.69 KEY STATS 5.94 5.40 41% Highest score (execution consulting) Lowest score (dark pool access) Most popular non-equity asset traded via algo by respondents: Exchange-traded funds +0.23 -0.41 47% Most improved year-on-year score (cost) Least improved year-on-year score (reduce market impact, customer support) Most used algo performance measurement method: VWAP TCA 88 // TheTrade // Spring 2019