Tradewatch: March 7, 2011
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March 07, 2011 12:00 AM

Tradewatch: March 7, 2011

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    To continue to provide readers with the best information, Pensions & Investments has revamped its Tradewatch report. The new version provides a ranking of best-performing brokers based on global equity trading from the universe of Elkins/ McSherry, a State Street company.

    Additional specialized broker rankings by trade size, market capitalization and percent of daily volume are also provided. And charts, with data provided by Investment Technology Group Inc., provide a historical perspective on trading costs.

    The Elkins/McSherry universe is a compilation of actual trade data from Elkins/McSherry's large client base. On a rolling four-quarter basis, the universe contains more than 24 million trades, $7.2 trillion in principal, and 375 billion shares of trading for 1,400 investment managers and 2,000 brokers worldwide.

    Tradewatch

    Broker rankings
    Ranked by difference in cost/savings against the Elkins/McSherry universe, based on the top 50 brokers in each category by U.S. dollar volume.
    All trading: Global brokers
    RankBrokerDifference
    1Societe Generale-30.48
    2KBC Bank-16.21
    3Carnegie Securities-16.02
    4Exane Ltd.-13.94
    5Fox-Pitt-8.32
    6Cantor Fitzgerald-4.62
    7BTIG-4.44
    8Natixis Bleichroeder-4.38
    9SEB Securities-4.25
    10Sanford C. Bernstein-3.67
    All trading: U.S. brokers
    RankBrokerDifference
    1Liquidnet-30.51
    2State Street Bank-14.34
    3Robert W. Baird-13.34
    4Morgan Keegan-12.19
    5Brockhouse-11.61
    6Piper Jaffray-11.24
    7CAPIS-7.10
    8Wedbush-4.85
    9Bloomberg Tradebook-4.70
    10Cantor Fitzgerald-4.44
    Trades by order size:
    Large orders: 50,000+ shares
    RankBrokerDifference
    1Piper Jaffray-33.75
    2State Street Bank-14.66
    3Brockhouse-12.99
    4Loop Capital Markets-11.78
    5Morgan Keegan-11.63
    6Liquidnet-11.31
    7WJB Capital Group-10.38
    8Nomura Securities-9.42
    9ICAP Securities-9.20
    10UBS-8.12
    Medium orders: 10,000 - 50,000 shares
    RankBrokerDifference
    1Robert W. Baird-22.75
    2CAPIS-21.40
    3Liquidnet-14.13
    4State Street Bank-13.96
    5Wedbush-13.50
    6Bay Crest Partners-11.19
    7Cantor Fitzgerald-10.10
    8Bloomberg Tradebook-9.84
    9Brockhouse-8.13
    10Goldman Sachs-3.75
    Small orders: 10,000 shares or less
    RankBrokerDifference
    1Liquidnet-59.10
    2Robert W. Baird-57.46
    3Wedbush-54.50
    4William Blair-29.75
    5Bloomberg Tradebook-24.33
    6Rosenblatt-23.03
    7CAPIS-16.89
    8Cantor Fitzgerald-16.78
    9Sanford C. Bernstein-15.75
    10Stifel Nicolaus & Co.-12.53
    Trades by liquidity
    0% - 20% of daily volume
    RankBrokerDifference
    1Liquidnet-35.30
    2State Street Bank-15.68
    3Robert W. Baird-15.00
    4ICAP Securities-10.90
    5CAPIS-9.00
    6Cantor Fitzgerald-8.55
    7Wedbush-7.47
    8Goldman Sachs-3.71
    9Nomura Securities-3.55
    10Cabrera Capital Markets-3.41
    20% - 50% of daily volume
    RankBrokerDifference
    1ITG-21.87
    2Morgan Keegan-20.35
    3Barclays-18.18
    4Sanford C. Bernstein-17.92
    5State Street Bank-12.96
    6Bloomberg Tradebook-12.90
    7Morgan Stanley-12.37
    8The Griswold Co.-9.97
    9Deutsche Bank-7.33
    10Avondale Partners-7.00
    50% + of daily volume
    RankBrokerDifference
    1ITG-40.81
    2Cheuvreux-31.74
    3Brockhouse-27.81
    4J.P. Morgan-26.48
    5Cowen & Co.-21.78
    6Citigroup-21.44
    7Bloomberg Tradebook-21.27
    8Morgan Stanley-20.05
    9Keefe Bruyette & Woods-19.80
    10Liquidnet-19.72
    Trades by market cap
    Giant cap
    RankBrokerDifference
    1UBS-23.07
    2Liquidnet-16.67
    3Williams Capital-15.49
    4ICAP Securities-10.47
    5Wedbush-10.41
    6State Street Bank-3.34
    7WJB Capital Group-2.12
    8Cowen & Co.-1.25
    9Loop Capital Markets-0.71
    10Goldman Sachs0.27
    Large cap
    RankBrokerDifference
    1Liquidnet-58.27
    2Brockhouse-42.03
    3Wedbush-21.19
    4Keefe Bruyette & Woods-7.99
    5Williams Capital-5.98
    6State Street Bank-4.50
    7Morgan Keegan-3.67
    8CAPIS-3.60
    9BMO Capital Markets-2.08
    10Deutsche Bank-1.16
    Midcap
    RankBrokerDifference
    1Robert W. Baird-40.61
    2Piper Jaffray-39.67
    3Cantor Fitzgerald-15.87
    4Brockhouse-15.58
    5State Street Bank-13.72
    6Liquidnet-10.77
    7Bloomberg Tradebook-6.88
    8Keefe Bruyette & Woods-3.03
    9Jefferies & Co.3.52
    10Stifel Nicolaus & Co.3.57
    Small cap
    RankBrokerDifference
    1Bloomberg Tradebook-39.42
    2CIBC Capital Markets-32.69
    3The Griswold Co.-27.87
    4Rochdale Securities-26.20
    5Robert W. Baird-24.16
    6Instinet-18.83
    7Deutsche Bank-18.34
    8Morgan Stanley-15.48
    9Barclays-13.65
    10CAPIS-12.47
    Microcap
    RankBrokerDifference
    1Bloomberg Tradebook-65.71
    2Raymond James-47.76
    3J.P. Morgan-35.38
    4Wachovia-29.64
    5Rosenblatt-23.12
    6Knight Securities-22.16
    7Gar Wood Securities-19.14
    8Keefe Bruyette & Woods-12.42
    9Jefferies & Co.-7.91
    10ITG-2.77
    Trading analytics
    Commissions and implementation shortfall based on ITG's peer group. Volatility annualized is the 60-day historical volatility for the S&P 500 index.
    U.S. trading costs: Commissions and implementation shortfall
    Average spread and annualized volatility of S&P 500 constituents
    *4Q2010 peer data are preliminary. Sources: Elkins/McSherry a State Street company; Investment Technology Group

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