| 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. Rolling four-quarter data as of March 31. Source: Elkins/McSherry, a State Street company. |
| ALL TRADING |
| Global brokers | |
| 1 | Liquidnet Inc. | -25.13 | | 2 | ITG | -23.52 | | 3 | Cantor Fitzgerald | -13.74 | | 4 | Barclays | -13.16 | | 5 | Russell Impl. Svcs. | -10.09 | | 6 | Goldman Sachs | -7.37 | | 7 | CAPIS | -6.27 | | 8 | Bank of America - Merrill | -5.46 | | 9 | Instinet | -5.38 | | 10 | Macquarie Securities | -4.16 |
| | | U.S. brokers | |
| 1 | HSBC | -25.9 | | 2 | Oppenheimer & Co. | -20.48 | | 3 | Lazard Capital Markets | -14.21 | | 4 | Liquidnet Inc. | -11.54 | | 5 | Telsey | -10.69 | | 6 | BTIG | -6.77 | | 7 | Susquehanna Financial | -6.09 | | 8 | Jefferies & Co. | -4.12 | | 9 | Russell Impl. Svcs. | -3.53 | | 10 | Bank of America - Merrill | -1.62 |
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| TRADES BY ORDER SIZE |
| Large orders: 50,000+ shares | |
| 1 | Lazard Capital Mkts. | -32.89 | | 2 | Oppenheimer & Co. | -28.84 | | 3 | HSBC | -23.74 | | 4 | BTIG | -17.83 | | 5 | Liquidnet Inc. | -14.05 | | 6 | Susquehanna Financial | -6.43 | | 7 | Sanford C. Bernstein | -0.19 | | 8 | Russell Impl. Svcs. | 0.91 | | 9 | Jefferies & Co. | 0.92 | | 10 | Loop Capita’l Markets | 1.47 |
| | | Medium orders: 10,000 - 50,000 shares | |
| 1 | Telsey | -26.18 | | 2 | State Street Bank | -22.79 | | 3 | Oppenheimer & Co. | -13.11 | | 4 | Lazard Capital Mkts. | -10.58 | | 5 | Liquidnet Inc. | -8.65 | | 6 | Nomura Securities | -7.25 | | 7 | CAPIS | -6.46 | | 8 | Jefferies & Co. | -4.94 | | 9 | Morgan Stanley | -4.36 | | 10 | Bank of America - Merrill | -3.64 |
| | | Small orders: 10,000 shares or less | |
| 1 | Robert W. Baird | -24.12 | | 2 | Telsey | -21.89 | | 3 | Bloomberg Tradebook | -18.34 | | 4 | Mitsubishi Secs. | -16.82 | | 5 | Susquehanna Financial | -16.53 | | 6 | Russell Impl. Svcs. | -16.1 | | 7 | Bank of America - Merrill | -15.26 | | 8 | Piper Jaffray | -15.09 | | 9 | Oppenheimer & Co. | -14.85 | | 10 | Morgan Stanley | -12.58 |
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| TRADES BY LIQUIDITY |
| 0% - 20% of daily volume | |
| 1 | HSBC | -32.86 | | 2 | State Street Bank | -23.26 | | 3 | Telsey | -19.38 | | 4 | Oppenheimer & Co. | -16.66 | | 5 | Lazard Capital Mkts. | -14.17 | | 6 | Liquidnet Inc. | -10.83 | | 7 | Jefferies & Co. | -5.45 | | 8 | Susquehanna Financial | -5.35 | | 9 | BTIG | -5.25 | | 10 | Russell Impl. Svcs. | -3.9 |
| | | 20% - 50% of daily volume | |
| 1 | Lazard Capital Mkts. | -20.09 | | 2 | William Blair | -15.21 | | 3 | Sanford C. Bernstein | -14.16 | | 4 | Liquidnet Inc. | -13.55 | | 5 | Weeden & Co. | -11.6 | | 6 | Lazard Capital Mkts. | -6.92 | | 7 | Susquehanna Financial | -6.5 | | 8 | State Street Bank | -6.24 | | 9 | Fidelity Investments | -4.88 | | 10 | Goldman Sachs | -3.73 |
| | | 50%+ of daily volume | |
| 1 | Oppenheimer & Co. | -60.92 | | 2 | Cantor Fitzgerald | -45.56 | | 3 | Cheuvreux | -36.84 | | 4 | Scotia Capital | -34.75 | | 5 | Robert W. Baird | -26.13 | | 6 | Williams Capital | -25.72 | | 7 | Sanford C. Bernstein | -24.8 | | 8 | Bank of America - Merrill | -24.24 | | 9 | Goldman Sachs | -24.18 | | 10 | UBS | -18.24 |
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| TRADES BY MARKET CAP |
| Giant cap | |
| 1 | Oppenheimer & Co. | -38.52 | | 2 | Susquehanna Fin. | -34.15 | | 3 | HSBC | -21.29 | | 4 | Stifel Nicolaus | -10.89 | | 5 | Lazard Capital Mkts. | -9.62 | | 6 | Macquarie Securities | -5.35 | | 7 | Liquidnet Inc. | -2.63 | | 8 | Telsey | -0.81 | | 9 | Weeden & Co. | 0.04 | | 10 | BTIG | 0.3 |
| | | Large cap | |
| 1 | Morgan Keegan | -32.33 | | 2 | Lazard Capital Mkts. | -26.92 | | 3 | William Blair | -17.41 | | 4 | HSBC | -15.28 | | 5 | State Street Bank | -14.87 | | 6 | Oppenheimer & Co. | -10.81 | | 7 | Russell Impl. Svcs. | -7.53 | | 8 | Bank of America - Merrill | -1.06 | | 9 | Raymond James | -0.97 | | 10 | Liquidnet Inc. | 0.29 |
| | | Midcap | |
| 1 | Cantor Fitzgerald | -41.85 | | 2 | State Street Bank | -33.87 | | 3 | Lazard Capital Mkts. | -32.83 | | 4 | Liquidnet Inc. | -26.7 | | 5 | Jefferies & Co. | -20.15 | | 6 | BTIG | -11.62 | | 7 | Telsey | -10.68 | | 8 | Deutsche Bank | -8.78 | | 9 | Bank of America - Merrill | -5.19 | | 10 | Morgan Stanley | -4.42 |
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| Small cap | |
| 1 | Lazard Capital Mkts. | -52.83 | | 2 | Liquidnet Inc | -34.14 | | 3 | Telsey | -33.62 | | 4 | Oppenheimer & Co. | -24.41 | | 5 | Bloomberg Tradebook | -23.78 | | 6 | Piper Jaffray | -21.88 | | 7 | BTIG | -19.14 | | 8 | Susquehanna Fin. | -6.68 | | 9 | Credit Suisse | -5.65 | | 10 | Morgan Stanley | -2.64 |
| | | Microcap | |
| 1 | Lazard Capital Mkts. | -80.06 | | 2 | Bloomberg Tradebook | -75.76 | | 3 | Telsey | -52.34 | | 4 | Garwood Securities | -45.09 | | 5 | Lazard Capital Mkts. | -41.4 | | 6 | Oppenheimer & Co. | -39.13 | | 7 | Goldman Sachs | -37.61 | | 8 | UBS | -32.28 | | 9 | Morgan Stanley | -31.6 | | 10 | Weeden & Co. | -26.28 |
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| 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. Data are as of March 31. Source: Investment Technology Group. |
| U.S. trading costs: Commissions and implementation shortfall |
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| Average spread and annualized volatility of S&P 500 constituents |
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*1Q2012 peer data are preliminary. |
