| 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 Dec. 31. Source: Elkins/McSherry, a State Street company. |
| ALL TRADING |
| Global brokers | |
| 1 | Redburn Partners | -59.35 | | 2 | RBC Capital Markets | -57.76 | | 3 | Sociéte Générale | -46.4 | | 4 | ITG | -36.27 | | 5 | BMO Capital Markets | -36.18 | | 6 | Banco Santander | -29.3 | | 7 | Numis Securities | -26.6 | | 8 | Credit Agricole | -23.78 | | 9 | BNP Paribas Secs. | -23.41 | | 10 | Liquidnet | -20.66 |
| | | U.S. brokers | |
| 1 | Nomura Securities | -35.49 | | 2 | Barclays Capital | -33.05 | | 3 | Telsey Advisory Group | -31.12 | | 4 | Instinet | -19.43 | | 5 | Susquehanna Financial | -17.22 | | 6 | Knight Capital Group | -12.71 | | 7 | Bloomberg Tradebook | -12.52 | | 8 | Lazard Capital | -10.74 | | 9 | Fox River | -9.66 | | 10 | Goldman Sachs | -8.8 |
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| TRADES BY ORDER SIZE |
| Large orders: 50,000+ shares | |
| 1 | Nomura Securities | -63.77 | | 2 | Stifel Nicolaus | -41.42 | | 3 | Telsey Advisory Group | -35.79 | | 4 | Barclays Capital | -32.47 | | 5 | Susquehanna Financial | -32.26 | | 6 | Goldman Sachs | -24.55 | | 7 | Instinet | -21.62 | | 8 | Knight Capital Group | -20.38 | | 9 | Bank of New York | -13.75 | | 10 | Liquidnet | -13.02 |
| | | Medium orders: 10,000 - 50,000 shares | |
| 1 | Barclays Capital | -26.01 | | 2 | Instinet | -15.15 | | 3 | Bloomberg Tradebook | -14.49 | | 4 | Knight Capital Group | -12.21 | | 5 | Lazard Capital | -10.4 | | 6 | Merlin Securities | -8.42 | | 7 | Fox River | -7.67 | | 8 | Guzman & Co. | -6.52 | | 9 | Nomura Securities | -6.47 | | 10 | Weeden & Co. | -5.77 |
| | | Small orders: 10,000 shares or less | |
| 1 | Telsey Advisory Group | -22.03 | | 2 | Nomura Securities | -20.81 | | 3 | Instinet | -19.6 | | 4 | Guzman & Co. | -17.35 | | 5 | Bloomberg Tradebook | -17.07 | | 6 | Lazard Capital | -12.64 | | 7 | Merlin Securities | -12.49 | | 8 | Fox River | -12.2 | | 9 | Baillie Gifford | -11.71 | | 10 | Weeden & Co. | -11.39 |
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| TRADES BY LIQUIDITY |
| 0% - 20% of daily volume | |
| 1 | Barclays Capital | -41.87 | | 2 | Nomura Securities | -39.59 | | 3 | Telsey Advisory Group | -31.6 | | 4 | Instinet | -19.03 | | 5 | Bloomberg Tradebook | -13.03 | | 6 | Bank of New York | -10.19 | | 7 | Jones Trading | -10.1 | | 8 | Fox River | -9.71 | | 9 | Goldman Sachs | -9.45 | | 10 | Lazard Capital | -9.04 |
| | | 20% - 50% of daily volume | |
| 1 | Liquidnet | -28.06 | | 2 | Lazard Capital | -11.92 | | 3 | Susquehanna Financial | -10.5 | | 4 | Barclays Bank | -10.16 | | 5 | Bloomberg Tradebook | -9.46 | | 6 | Fox River | -7.04 | | 7 | Merlin Securities | -6.47 | | 8 | Macquarie Securities | -5.77 | | 9 | Jefferies & Co. | -5.63 | | 10 | Deutsche Bank | -4.27 |
| | | 50%+ of daily volume | |
| 1 | Russell Impl. Svcs. | -66.35 | | 2 | RBC Capital Markets | -42.07 | | 3 | Royal Bank Scotland | -41.32 | | 4 | ITG | -35.44 | | 5 | Instinet | -34.56 | | 6 | BNP Paribas Secs. | -33.72 | | 7 | Credit Suisse | -31.3 | | 8 | Cantor Fitzgerald | -30.63 | | 9 | Goldman Sachs | -25.2 | | 10 | Raymond James | -23.95 |
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| TRADES BY MARKET CAP |
| Giant cap | |
| 1 | Barclays Capital | -52.74 | | 2 | Stifel Nicolaus | -21.14 | | 3 | William Blair | -15.31 | | 4 | Telsey Adv. Group | -14.64 | | 5 | Oppenheimer & Co. | -9.98 | | 6 | Instinet | -8.23 | | 7 | Macquarie Securities | -2.3 | | 8 | BMO Capital Mkts. | -2.16 | | 9 | Lazard Capital | -1.72 | | 10 | Knight Capital Group | -1.43 |
| | | Large cap | |
| 1 | Instinet | -32.4 | | 2 | Goldman Sachs | -19.98 | | 3 | Bloomberg Tradebook | -13.64 | | 4 | Weeden & Co. | -12.17 | | 5 | UBS | -7.44 | | 6 | Susquehanna Fin’l | -6.07 | | 7 | Lazard Capital | -4.55 | | 8 | Jones Trading | -4.41 | | 9 | Knight Capital Group | -4.26 | | 10 | Russell Impl. Svcs. | -4.21 |
| | | Midcap | |
| 1 | Sanford Bernstein | -45.64 | | 2 | Liquidnet | -41.39 | | 3 | Telsey Adv. Group | -34.69 | | 4 | Bank of New York | -16.84 | | 5 | Nomura Securities | -15.67 | | 6 | Susquehanna Fin’l | -13.41 | | 7 | Cantor Fitzgerald | -7.32 | | 8 | Bloomberg Tradebook | -7.19 | | 9 | Goldman Sachs | -6.85 | | 10 | Morgan Stanley | -5.43 |
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| Small cap | |
| 1 | Knight Capital Group | -38.19 | | 2 | Credit Suisse | -17.77 | | 3 | Jefferies & Co. | -12.89 | | 4 | Bloomberg Tradebook | -10.95 | | 5 | Barclays Bank | -8.59 | | 6 | Merlin Securities | -2.81 | | 7 | Lazard Capital | -2.12 | | 8 | Fox River | -1.63 | | 9 | Goldman Sachs | -1.23 | | 10 | Liquidnet | 4.59 |
| | | Microcap | |
| 1 | Goldman Sachs | -43.44 | | 2 | Telsey Adv. Group | -23.58 | | 3 | Oppenheimer & Co. | -14.65 | | 4 | Bank of New York | -5.81 | | 5 | Bloomberg Tradebook | -5.17 | | 6 | WallachBeth Capital | -1 | | 7 | Fidelity Capital Mkts. | -0.56 | | 8 | Lazard Capital | 0.74 | | 9 | Jefferies & Co. | 0.78 | | 10 | Fox River | 4.95 |
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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 Dec. 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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*4Q 2012 peer data are preliminary. |
