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  2. INTERACTIVE
November 26, 2012 12:00 AM

Tradewatch for Nov. 26, 2012

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    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 Sept. 30. Source: Elkins/McSherry, a State Street company.
    ALL TRADING

    Global brokers
    RankBrokerDifference
    1

    Redburn Partners

    -51.99
    2

    Societe Generale

    -50.01
    3

    Jefferies & Co.

    -41.3
    4

    BNP Paribas

    -34.85
    5

    Cantor Fitzgerald

    -28.16
    6

    Banco Santander

    -22.89
    7

    Exane Ltd.

    -18.39
    8

    CIBC Securities

    -18.37
    9

    Instinet

    -18.26
    10

    Credit Agricole

    -18.17

    U.S. brokers
    RankBrokerDifference
    1

    Lazard Capital Mkts.

    -22.15
    2

    Bloomberg Tradebook

    -16.69
    3

    Guzman & Co.

    -16.18
    4

    Russell Impl. Svcs.

    -13.75
    5

    Merlin Securities

    -12.91
    6

    Liquidnet Inc.

    -11.5
    7

    Sanford C. Bernstein

    -11.11
    8

    Instinet

    -11.09
    9

    CAPIS

    -9.94
    10

    Weeden & Co.

    -9.11
     
    TRADES BY ORDER SIZE

    Large orders: 50,000+ shares
    RankBrokerDifference
    1

    Lazard Capital Mkts.

    -28.34
    2

    Liquidnet Inc.

    -19.5
    3

    Sanford C. Bernstein

    -15.31
    4

    Oppenheimer & Co.

    -15.01
    5

    Guzman & Co.

    -14.37
    6

    William Blair

    -14.31
    7

    Russell Impl. Svcs.

    -13.53
    8

    Instinet

    -13.17
    9

    Barclays

    -10.81
    10

    ITG

    -10.02

    Medium orders: 10,000 - 50,000 shares
    RankBrokerDifference
    1

    Lazard Capital Mkts.

    -21.12
    2

    Bloomberg Tradebook

    -19.77
    3

    State Street Global Mkts.

    -17.19
    4

    Guzman & Co.

    -14.45
    5

    Merlin Securities

    -12.81
    6

    CAPIS

    -11.83
    7

    Russell Impl. Svcs.

    -11.33
    8

    Nomura Securities

    -10.97
    9

    Instinet

    -9.47
    10

    Weeden & Co.

    -8.51

    Small orders: 10,000 shares or less
    RankBrokerDifference
    1

    Bloomberg Tradebook

    -26.11
    2

    Telsey Advisory Group

    -24.66
    3

    William Blair

    -23.84
    4

    Jones Trading

    -21.95
    5

    Guzman & Co.

    -20
    6

    Lazard Capital Mkts.

    -17.56
    7

    Russell Impl. Svcs.

    -16.63
    8

    Merlin Securities

    -15.98
    9

    CAPIS

    -15.79
    10

    Nomura Securities

    -15.24
     
    TRADES BY LIQUIDITY

    0% - 20% of daily volume
    RankBrokerDifference
    1

    Lazard Capital Mkts.

    -22.82
    2

    Bloomberg Tradebook

    -17.37
    3

    Guzman & Co.

    -16.48
    4

    Instinet

    -15.78
    5

    Barclays

    -14.87
    6

    Russell Impl. Svcs.

    -13.79
    7

    Merlin Securities

    -12.27
    8

    Liquidnet Inc.

    -11.08
    9

    Jefferies & Co.

    -10.44
    10

    Nomura Securities

    -10.21

    20% - 50% of daily volume
    RankBrokerDifference
    1

    Sanford C. Bernstein

    -24.24
    2

    Lazard Capital Mkts.

    -23.29
    3

    Liquidnet Inc.

    -17.29
    4

    Bloomberg Tradebook

    -14.21
    5

    CAPIS

    -13.37
    6

    Merlin Securities

    -12.15
    7

    Susquehanna Fin’l

    -10.48
    8

    Loop Capital Markets

    -8.85
    9

    Guzman & Co.

    -7.57
    10

    Weeden & Co.

    -5.93

    50%+ of daily volume
    RankBrokerDifference
    1

    Oppenheimer & Co.

    -58.93
    2

    Russell Impl. Svcs.

    -40.97
    3

    Cheuvreux

    -38.44
    4

    Credit Suisse

    -35.2
    5

    UBS

    -33.89
    6

    Stifel Nicolaus

    -32.48
    7

    Instinet

    -31.47
    8

    Raymond James

    -29.81
    9

    Bank Of America - Merrill

    -29.51
    10

    Cantor Fitzgerald

    -29.02
     
    TRADES BY MARKET CAP

    Giant cap
    RankBrokerDifference
    1

    Lazard Capital Mkts.

    -8.82
    2

    Guzman & Co.

    -7.59
    3

    ITG

    -5.95
    4

    ICAP Securities

    -4.06
    5

    Barclays

    -3.67
    6

    Macquarie Securities

    -3.59
    7

    Merlin Securities

    -3.43
    8

    Sanford C. Bernstein

    -2.95
    9

    Weeden & Co.

    -2.56
    10

    Liquidnet Inc.

    -2.45

    Large cap
    RankBrokerDifference
    1

    Instinet

    -26.8
    2

    Lazard Capital Mkts.

    -10.11
    3

    Bloomberg Tradebook

    -7.17
    4

    RBC Capital Markets

    -4.57
    5

    Nomura Securities

    -3.8
    6

    Merlin Securities

    -2.01
    7

    Russell Impl. Svcs.

    -0.23
    8

    Guzman & Co.

    0.09
    9

    Susquehanna Fin’l

    0.72
    10

    State St. Global Mkts.

    2.78

    Midcap
    RankBrokerDifference
    1

    Liquidnet Inc.

    -27.58
    2

    Janney Montgomery

    -24.51
    3

    Jefferies & Co.

    -16.31
    4

    Lazard Capital Mkts.

    -13.52
    5

    Goldman Sachs

    -10.2
    6

    Bloomberg Tradebook

    -10.04
    7

    Banco Santander

    -7.2
    8

    Russell Impl. Svcs.

    -6.33
    9

    State St. Global Mkts.

    -5.8
    10

    Guzman & Co.

    -4.2

    Small cap
    RankBrokerDifference
    1

    Nomura Securities

    -34.09
    2

    Credit Suisse

    -19.28
    3

    Macquarie Securities

    -19.05
    4

    Craig-Hallum Capital

    -17.54
    5

    Bloomberg Tradebook

    -16.75
    6

    Weeden & Co.

    -14.98
    7

    Liquidnet Inc.

    -14.71
    8

    Telsey Advisory Grp.

    -13.52
    9

    CAPIS

    -11.05
    10

    Russell Impl. Svcs.

    -10.24

    Microcap
    RankBrokerDifference
    1

    Robert W. Baird & Co.

    -31.75
    2

    Telsey Advisory Grp.

    -20.46
    3

    UBS

    -10.58
    4

    Lazard Capital Mkts.

    -10.37
    5

    Griswold Co.

    -9.42
    6

    Russell Impl. Svcs.

    -6.3
    7

    Bank of America - Merrill

    -5.96
    8

    Bloomberg Tradebook

    -5.44
    9

    Bank of New York

    -4.86
    10

    Sanford C. Bernstein

    1.59
     
    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 Sept. 30. Source: Investment Technology Group.

    U.S. trading costs: Commissions and implementation shortfall

     
    Average spread and annualized volatility of S&P 500 constituents

    *3Q 2012 peer data are preliminary.

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