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  2. INTERACTIVE
March 03, 2014 12:00 AM

Tradewatch for March 3, 2014

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    BROKER RANKINGS
    Ranked by difference in cost/savings against the Elkins/McSherry Arrival Price universe, based on the top 50 brokers in each category by U.S. dollar volume. Rolling four-quarter data as of Dec. 31, 2013. Source: Elkins/McSherry, a State Street company.
    All trading

    Global brokers
    RankBrokerDifference
    1

    Morgan Stanley

    -18.78
    2

    Credit Lyonnais

    -14.39
    3

    Instinet

    -11.44
    4

    Sanford C. Bernstein

    -10.41
    5

    Russell Imp. Services

    -8.45
    6

    CSFB

    -8.25
    7

    UBS

    -7.06
    8

    BoA - Merrill Lynch

    -6
    9

    J.P. Morgan

    -4.2
    10

    Barclays

    -4.06

    U.S. brokers
    RankBrokerDifference
    1

    Wells Fargo Prime Svcs.

    -18.74
    2

    Stifel Nicolaus

    -18.4
    3

    BTIG

    -18.36
    4

    Oppenheimer

    -16.2
    5

    State Street Bank

    -13.04
    6

    William Blair

    -7.87
    7

    HSBC

    -5.59
    8

    Morgan Stanley

    -5.1
    9

    Bloomberg Tradebook

    -4.25
    10

    Deutsche Bank

    -4.2
     
    Trades by order size

    Large orders: 50,000+ shares

     

    RankBrokerDifference
    1

    Wells Fargo Prime Svcs.

    -32.07
    2

    BTIG

    -22.1
    3

    Keefe Bruyette & Woods

    -20.59
    4

    Sanders Morris Harris

    -16.39
    5

    HSBC

    -11.86
    6

    William Blair

    -11.14
    7

    Knight Capital Group

    -8.22
    8

    Jones Trading

    -7.91
    9

    Deutsche Bank

    -6.41
    10

    Citigroup

    -5.18

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

    State Street Bank

    -18.22
    2

    Instinet

    -11.2
    3

    BTIG

    -11.1
    4

    Bloomberg Tradebook

    -7.28
    5

    William Blair

    -7.11
    6

    Morgan Stanley

    -6.36
    7

    Wells Fargo Prime Svcs.

    -5.67
    8

    Sanford C. Bernstein

    -3.42
    9

    Deutsche Bank

    -2.62
    10

    WallachBeth Capital

    -1.62

    Small orders: 10,000 shares

    or less

    RankBrokerDifference
    1

    Morgan Stanley

    -14.58
    2

    Liquidnet

    -13.12
    3

    Stifel Nicolaus

    -12.51
    4

    Robert W. Baird

    -9.95
    5

    William Blair

    -7.16
    6

    Bloomberg Tradebook

    -6.8
    7

    Russell Imp. Services

    -3.66
    8

    UBS

    -2.79
    9

    Sanford C. Bernstein

    -1.93
    10

    BoA - Merrill Lynch

    -1.83
     
    Trades by liquidity

    0% - 20% of daily volume
    RankBrokerDifference
    1

    Wells Fargo Prime Svcs.

    -20.6
    2

    Oppenheimer

    -19.64
    3

    Stifel Nicolaus

    -19.52
    4

    BTIG

    -18.11
    5

    Garwood Securities

    -11.73
    6

    State Street Bank

    -10.07
    7

    Sanders Morris Harris

    -9.57
    8

    William Blair

    -7.87
    9

    HSBC

    -6.28
    10

    Bloomberg Tradebook

    -3.89

    20% - 50% of daily volume
    RankBrokerDifference
    1

    Liquidnet

    -25.25
    2

    BTIG

    -22.93
    3

    Cantor Fitzgerald

    -21.87
    4

    Sterne Agee

    -17.47
    5

    Wells Fargo Prime Svcs.

    -10.48
    6

    WallachBeth Capital

    -9.03
    7

    BoA - Merrill Lynch

    -8.61
    8

    Bloomberg Tradebook

    -7.87
    9

    Bank of New York

    -5.46
    10

    ITG

    -3.68

    50%+ of daily volume
    RankBrokerDifference
    1

    Stifel Nicolaus

    -34.7
    2

    Janney Montgomery

    -28.88
    3

    J.P. Morgan

    -27.82
    4

    BTIG

    -26.57
    5

    Susquehanna

    -24.53
    6

    Liquidnet

    -15.62
    7

    CSFB

    -11.25
    8

    BoA - Merrill Lynch

    -9.66
    9

    Fidelity

    -8.82
    10

    Goldman Sachs

    -6.72
     
    Trades by market cap

    Giant cap
    RankBrokerDifference
    1

    BTIG

    -30.68
    2

    Weeden

    -30.32
    3

    William Blair

    -21.37
    4

    Sanders Morris Harris

    -18.14
    5

    HSBC

    -12.69
    6

    Jefferies

    -2.11
    7

    Knight Capital Grp.

    -1.83
    8

    Russell Imp. Svcs.

    -1.32
    9

    Morgan Stanley

    -1.03
    10

    Jones Trading

    -0.99

    Large cap
    RankBrokerDifference
    1

    Wells Fargo Prime Svcs.

    -33.56
    2

    Garwood Securities

    -28.81
    3

    Cantor Fitzgerald

    -21.42
    4

    Instinet

    -20.55
    5

    BTIG

    -17.32
    6

    State Street Bank

    -15.67
    7

    Morgan Stanley

    -9.31
    8

    Sanford C. Bernstein

    -5.34
    9

    Bloomberg Tradebook

    -5.25
    10

    Liquidnet

    -4.55

    Midcap
    RankBrokerDifference
    1

    Liquidnet

    -37.56
    2

    Russell Imp. Svcs.

    -26.3
    3

    ITG

    -26.06
    4

    J.P. Morgan

    -26.04
    5

    Morgan Stanley

    -20.73
    6

    BoA - Merrill Lynch

    -17.09
    7

    Themis

    -16.83
    8

    Jefferies

    -16.61
    9

    Instinet

    -14.43
    10

    CAPIS

    -11.87
     

    Small cap
    RankBrokerDifference
    1

    Citigroup

    -17.48
    2

    Morgan Stanley

    -17.07
    3

    Macquarie

    -13.39
    4

    Instinet

    -9.84
    5

    BNY Convergex

    -7.06
    6

    CAPIS

    -1.99
    7

    UBS

    -1.55
    8

    ITG

    1.78
    9

    J.P. Morgan

    3.14
    10

    Bloomberg Tradebook

    4.21

    Microcap
    RankBrokerDifference
    1

    Themis

    -31.17
    2

    Morgan Stanley

    -18.71
    3

    Bloomberg Tradebook

    -17.8
    4

    Cowen

    -14.78
    5

    Russell Imp. Svcs.

    -5.25
    6

    J.P. Morgan

    -1.76
    7

    ITG

    2.77
    8

    Knight Capital Grp.

    3.79
    9

    Barclays

    6.07
    10

    BoA - Merrill Lynch

    9.89
     
    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, 2013. Source: Investment Technology Group.

    U.S. trading costs: Commissions and implementation shortfall

     
    Average spread and annualized volatility of S&P 500 constituents

    *4Q 2013 peer data are preliminary.

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