| 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 | |
| 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 | |
| 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 |
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| TRADES BY ORDER SIZE |
| Large orders: 50,000+ shares | |
| 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 | |
| 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 | |
| 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 |
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| TRADES BY LIQUIDITY |
| 0% - 20% of daily volume | |
| 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 | |
| 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 | |
| 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 |
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| TRADES BY MARKET CAP |
| Giant cap | |
| 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 | |
| 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 | |
| 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 |
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| Small cap | |
| 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 | |
| 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 |
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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 Sept. 30. 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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*3Q 2012 peer data are preliminary. |
