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March 08, 2010 12:00 AM

Tradewatch March 8, 2010

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    Tradewatch
    ITG Broker Edge features a transaction database of nearly 11.6 million trades ($1.5 trillion) compiled solely from aggregated trade data from ITG's Transaction Cost Peer Universe. The data are sourced directly from buy-side institutions and may include some soft-dollar, CSA and other payments over and above execution-only commissions. The information presented herein is based upon the “placement” time stamp recorded in ITG clients’ order management systems and encompasses four quarters of U.S. equity trading data for the period ended Sept. 30, 2009. Brokers are separated into two categories, core brokers and specialty brokers. Core brokers must a) trade globally; b) provide trading services in multiple asset classes to include, in particular, exchange-traded equity derivatives; c) provide research; and d) offer soft-dollar and/or CSA services to their clients. Specialty brokers are often used for a specific area of expertise and do not meet all of the above criteria. Ranks are based on the top 50 by dollar volume in each of the two categories. Execution cost is the price difference from order to execution. Value added is the difference between execution cost and ITG’s Post-Trade Agency Cost Estimator benchmark, excluding the impact of market momentum. Difficulty is based on the dollar-weighted Post-Trade Agency Cost Estimator. Commissions are ranked in cents per share.
    Best execution: Core brokers

    Large trades

    (More than 50,000 shares)

    Value

    added

    (bps)

    ITG14
    Barclays Capital9
    Bank of America Merrill Lynch2
    Knight Equity Markets1
    Goldman Sachs0
    Citigroup Global Markets-3
    J.P. Morgan Securities-4
    Morgan Stanley-4
    Sanford C. Bernstein-4
    UBS Securities-7

    Medium trades

    (10,000 - 50,000 shares)

    Value

    added

    (bps)

    Sanford C. Bernstein-1
    Bank of America Merrill Lynch-3
    Morgan Stanley-3
    Citigroup Global Markets-5
    Deutsche Bank Securities-5
    Goldman Sachs-6
    BNY ConvergEx Group-6
    ITG-7
    Instinet-8
    Knight Equity Markets-8

    Small trades

    (Less than 10,000 shares)

    Value

    added

    (bps)

    Nomura Securities15
    Cantor Fitzgerald & Co.8
    Sanford C. Bernstein0
    Citigroup Global Markets-1
    BNY ConvergEx Group-2
    ITG-2
    Fidelity Capital Markets-2
    Knight Equity Markets-2
    UBS Securities-3
    Jefferies & Co.-4

    Best execution: Specialty brokers

    Large trades

    (More than 50,000 shares)

    Value

    added

    (bps)

    Lava Trading34
    Liquidnet34
    JonesTrading16
    Wedbush Morgan Securities12
    Fox-Pitt Kelton-1
    Rosenblatt Securities-2
    Capital Institutional Services-3
    RBC Capital Markets-3
    Thomas Weisel Partners-4
    ISI Group-4

    Medium trades

    (10,000 - 50,000 shares)

    Value

    added

    (bps)

    Liquidnet22
    Wedbush Morgan Securities17
    Fox-Pitt Kelton6
    RBC Capital Markets1
    Stifel, Nicolaus & Co.-2
    Wachovia Securities-2
    Leerink Swann-4
    Robert W. Baird & Co.-4
    Rosenblatt Securities-5
    Thomas Weisel Partners-5

    Small trades

    (Less than 10,000 shares)

    Value

    added

    (bps)

    Liquidnet19
    Capital Institutional Services7
    Wachovia Securities1
    The Williams Capital Group-3
    Thomas Weisel Partners-3
    REDIPlus-4
    Weeden & Co.-5
    Robert W. Baird & Co.-7
    Morgan, Keegan & Co.-9
    Cowen & Co.-9

    Other rankings: Core brokers
    Lowest execution costMost difficult tradesLowest commissions
    Large trades

    (More than 50,000 shares)

    ITG

    Barclays Capital

    Sanford C. Bernstein

    Knight Equity Markets

    Citigroup Global Markets

    Bank of America Merrill Lynch

    Morgan Stanley

    Cantor Fitzgerald & Co.

    Goldman Sachs

    Credit Suisse

    Jefferies & Co.

    Instinet

    ITG

    Sanford C. Bernstein

    Deutsche Bank Securities

    Medium trades

    (10,000 - 50,000 shares)

    Sanford C. Bernstein

    BNY ConvergEx Group

    Citigroup Global Markets

    Bank of America Merrill Lynch

    Morgan Stanley

    Cantor Fitzgerald & Co.

    Credit Suisse

    Knight Equity Markets

    J.P. Morgan Securities

    Morgan Stanley

    Nomura Securities

    Sanford C. Bernstein

    Goldman Sachs

    Jefferies & Co.

    ITG

    Small trades

    (Less than 10,000 shares)

    Nomura Securities

    BNY ConvergEx Group

    Sanford C. Bernstein

    Fidelity Capital Markets

    Citigroup Global Markets

    Cantor Fitzgerald & Co.

    UBS Securities

    Credit Suisse

    Jefferies & Co.

    Knight Equity Markets

    Sanford C. Bernstein

    Fidelity Capital Markets

    Goldman Sachs

    Nomura Securities

    ITG

    Other rankings: Specialty brokers
    Lowest execution costMost difficult tradesLowest commission
    Large trades

    (More than 50,000 shares)

    Liquidnet

    Wedbush Morgan Securities

    Lava Trading

    ISI Group

    Fox-Pitt Kelton

    Lava Trading

    JonesTrading

    Liquidnet

    Weeden & Co.

    Cowen & Co.

    Lava Trading

    Rosenblatt Securities

    Fox-Pitt Kelton

    Wedbush Morgan Securities

    REDIPlus

    Medium trades

    (10,000 - 50,000 shares)

    Wedbush Morgan Securities

    Liquidnet

    Fox-Pitt Kelton

    Rosenblatt Securities

    Wachovia Securities

    Liquidnet

    Robert W. Baird & Co.

    RBC Capital Markets

    Stifel, Nicolaus & Co.

    Cowen & Co.

    Fox-Pitt Kelton

    REDIPlus

    Rosenblatt Securities

    Wedbush Morgan Securities

    Weeden & Co.

    Small trades

    (Less than 10,000 shares)

    Capital Institutional Services

    Liquidnet

    Wachovia Securities

    The Williams Capital Group

    Thomas Weisel Partners

    Rosenblatt Securities

    Liquidnet

    Robert W. Baird & Co.

    RBC Capital Markets

    Raymond James & Assoc.

    REDIPlus

    Rosenblatt Securities

    The Williams Capital Group

    Weeden & Co.

    Liquidnet

    Source: Investment Technology Group

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