Tradewatch: March 7, 2011

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
Rank	Broker	Difference
1	Societe Generale	-30.48
2	KBC Bank	-16.21
3	Carnegie Securities	-16.02
4	Exane Ltd.	-13.94
5	Fox-Pitt	-8.32
6	Cantor Fitzgerald	-4.62
7	BTIG	-4.44
8	Natixis Bleichroeder	-4.38
9	SEB Securities	-4.25
10	Sanford C. Bernstein	-3.67
All trading: U.S. brokers
Rank	Broker	Difference
1	Liquidnet	-30.51
2	State Street Bank	-14.34
3	Robert W. Baird	-13.34
4	Morgan Keegan	-12.19
5	Brockhouse	-11.61
6	Piper Jaffray	-11.24
7	CAPIS	-7.10
8	Wedbush	-4.85
9	Bloomberg Tradebook	-4.70
10	Cantor Fitzgerald	-4.44
Trades by order size:
Large orders: 50,000+ shares
Rank	Broker	Difference
1	Piper Jaffray	-33.75
2	State Street Bank	-14.66
3	Brockhouse	-12.99
4	Loop Capital Markets	-11.78
5	Morgan Keegan	-11.63
6	Liquidnet	-11.31
7	WJB Capital Group	-10.38
8	Nomura Securities	-9.42
9	ICAP Securities	-9.20
10	UBS	-8.12
Medium orders: 10,000 - 50,000 shares
Rank	Broker	Difference
1	Robert W. Baird	-22.75
2	CAPIS	-21.40
3	Liquidnet	-14.13
4	State Street Bank	-13.96
5	Wedbush	-13.50
6	Bay Crest Partners	-11.19
7	Cantor Fitzgerald	-10.10
8	Bloomberg Tradebook	-9.84
9	Brockhouse	-8.13
10	Goldman Sachs	-3.75
Small orders: 10,000 shares or less
Rank	Broker	Difference
1	Liquidnet	-59.10
2	Robert W. Baird	-57.46
3	Wedbush	-54.50
4	William Blair	-29.75
5	Bloomberg Tradebook	-24.33
6	Rosenblatt	-23.03
7	CAPIS	-16.89
8	Cantor Fitzgerald	-16.78
9	Sanford C. Bernstein	-15.75
10	Stifel Nicolaus & Co.	-12.53
Trades by liquidity
0% - 20% of daily volume
Rank	Broker	Difference
1	Liquidnet	-35.30
2	State Street Bank	-15.68
3	Robert W. Baird	-15.00
4	ICAP Securities	-10.90
5	CAPIS	-9.00
6	Cantor Fitzgerald	-8.55
7	Wedbush	-7.47
8	Goldman Sachs	-3.71
9	Nomura Securities	-3.55
10	Cabrera Capital Markets	-3.41
20% - 50% of daily volume
Rank	Broker	Difference
1	ITG	-21.87
2	Morgan Keegan	-20.35
3	Barclays	-18.18
4	Sanford C. Bernstein	-17.92
5	State Street Bank	-12.96
6	Bloomberg Tradebook	-12.90
7	Morgan Stanley	-12.37
8	The Griswold Co.	-9.97
9	Deutsche Bank	-7.33
10	Avondale Partners	-7.00
50% + of daily volume
Rank	Broker	Difference
1	ITG	-40.81
2	Cheuvreux	-31.74
3	Brockhouse	-27.81
4	J.P. Morgan	-26.48
5	Cowen & Co.	-21.78
6	Citigroup	-21.44
7	Bloomberg Tradebook	-21.27
8	Morgan Stanley	-20.05
9	Keefe Bruyette & Woods	-19.80
10	Liquidnet	-19.72
Trades by market cap
Giant cap
Rank	Broker	Difference
1	UBS	-23.07
2	Liquidnet	-16.67
3	Williams Capital	-15.49
4	ICAP Securities	-10.47
5	Wedbush	-10.41
6	State Street Bank	-3.34
7	WJB Capital Group	-2.12
8	Cowen & Co.	-1.25
9	Loop Capital Markets	-0.71
10	Goldman Sachs	0.27
Large cap
Rank	Broker	Difference
1	Liquidnet	-58.27
2	Brockhouse	-42.03
3	Wedbush	-21.19
4	Keefe Bruyette & Woods	-7.99
5	Williams Capital	-5.98
6	State Street Bank	-4.50
7	Morgan Keegan	-3.67
8	CAPIS	-3.60
9	BMO Capital Markets	-2.08
10	Deutsche Bank	-1.16
Midcap
Rank	Broker	Difference
1	Robert W. Baird	-40.61
2	Piper Jaffray	-39.67
3	Cantor Fitzgerald	-15.87
4	Brockhouse	-15.58
5	State Street Bank	-13.72
6	Liquidnet	-10.77
7	Bloomberg Tradebook	-6.88
8	Keefe Bruyette & Woods	-3.03
9	Jefferies & Co.	3.52
10	Stifel Nicolaus & Co.	3.57
Small cap
Rank	Broker	Difference
1	Bloomberg Tradebook	-39.42
2	CIBC Capital Markets	-32.69
3	The Griswold Co.	-27.87
4	Rochdale Securities	-26.20
5	Robert W. Baird	-24.16
6	Instinet	-18.83
7	Deutsche Bank	-18.34
8	Morgan Stanley	-15.48
9	Barclays	-13.65
10	CAPIS	-12.47
Microcap
Rank	Broker	Difference
1	Bloomberg Tradebook	-65.71
2	Raymond James	-47.76
3	J.P. Morgan	-35.38
4	Wachovia	-29.64
5	Rosenblatt	-23.12
6	Knight Securities	-22.16
7	Gar Wood Securities	-19.14
8	Keefe Bruyette & Woods	-12.42
9	Jefferies & Co.	-7.91
10	ITG	-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