INTERACTIVE

Tradewatch for Aug. 24, 2015

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 are as of June 30, 2015. Source: Elkins/McSherry, a State Street company.
All trading
Global brokers
RankBrokerDifference
1 Liquidnet -42.46
2 Morgan Stanley (MS) -32.71
3 BTIG -31.07
4 Kepler Cheuvreux -29.27
5 Agency Trading Group -28.84
6 Weeden -26.42
7 Deutsche Bank -23.55
8 WallachBeth Capital -21.63
9 J.P. Morgan -17.08
10 UBS -15.69
U.S. brokers
RankBrokerDifference
1 Pavilion Global Markets -43.25
2 UBS -23.19
3 Russell Impl. Svcs. -10.92
4 Liquidnet -3.21
5 WallachBeth Capital -2.82
6 Gar Wood Securities -2.18
7 Weeden -1.54
8 Wells Fargo Prime Svcs. -1.51
9 Jefferies -1.43
10 Harris Associates -1.14
 
Trades by order size
Large orders: 50,000+ shares
 
RankBrokerDifference
1 Russell Impl. Svcs. -41.97
2 UBS -35.64
3 Weeden -5.21
4 Gar Wood Securities -4.19
5 WallachBeth Capital -3.24
6 Liquidnet -2.31
7 Jefferies -1.06
8 CAPIS 0.59
9 FBN Securities 3.62
10 Guzman 4.08
Medium orders: 10,000 - 50,000 shares
RankBrokerDifference
1 Harris Associates -9.47
2 UBS -8.16
3 Agency Trading Group -5.94
4 Jefferies -5.71
5 Wells Fargo Prime Svcs. -5.22
6 Liquidnet -2.75
7 Morgan Stanley 2.27
8 Weeden 2.49
9 William Blair 3.07
10 Gar Wood Securities 3.74
Small orders: 10,000 shares
or less
RankBrokerDifference
1 UBS -29.6
2 Harris Associates -12.37
3 Agency Trading Group -6.81
4 Morgan Stanley -5.1
5 Liquidnet -5
6 Gar Wood Securities -2.83
7 Wells Fargo Prime Svcs. -2.47
8 Weeden -1.99
9 Guzman 1.64
10 Themis Trading 1.77
 
Trades by liquidity
0% - 20% of daily volume
RankBrokerDifference
1 Pavilion Global Markets -43.25
2 UBS -24.87
3 Jefferies -10.14
4 Jones & Associates -7.84
5 Russell Impl. Svcs. -4.56
6 Weeden -2.31
7 Gar Wood Securities -1.97
8 Harris Associates -1.91
9 Wells Fargo Prime Svcs. -1.5
10 Agency Trading Group -0.69
20% - 50% of daily volume
RankBrokerDifference
1 UBS -44.09
2 Liquidnet -26.14
3 Instinet -6.45
4 BNY ConvergEx -2.84
5 CAPIS -2.4
6 Susquehanna Financial -2.01
7 Gar Wood Securities -1.99
8 Harris Associates 0.45
9 Williams Capital 0.62
10 Agency Trading Group 0.74
50%+ of daily volume
RankBrokerDifference
1 J.P. Morgan -15.19
2 Guzman -5.64
3 Gar Wood Securities -3.76
4 Wells Fargo Prime Svcs. -3.71
5 Jane Street Capital -3.47
6 CAPIS -3.35
7 WallachBeth Capital -2.81
8 Weeden -2.77
9 Liquidnet -2.7
10 BTIG 0.3
 
Trades by market cap
Giant cap
RankBrokerDifference
1 Pavilion Global Mkts. -46.31
2 UBS -33.84
3 Russell Impl. Svcs. -33.35
4 Jones & Associates -33.12
5 Jefferies -13.22
6 WallachBeth Capital -11.39
7 CAPIS -7.47
8 BMO Capital Markets -7.45
9 Weeden -6.58
10 Wells Fargo -6.14
Large cap
RankBrokerDifference
1 Jefferies -43.29
2 UBS -31.72
3 Weeden -29.6
4 Agency Trading Group -28.81
5 Russell Impl. Svcs. -28.38
6 Gar Wood Securities -27.38
7 Wells Fargo Prime Svcs. -27.26
8 Morgan Stanley -25.97
9 Guzman -24.33
10 Harris Associates -23.04
Midcap
RankBrokerDifference
1 CAPIS -19.15
2 Harris Associates -18.74
3 Jefferies -12.84
4 Sanford C. Bernstein -9.9
5 Agency Trading Group -9.74
6 Gar Wood Securities -6.14
7 UBS -3.62
8 Weeden -3.07
9 Wells Fargo Prime Svcs. -0.27
10 BTIG 1.96
 
Small cap
RankBrokerDifference
1 Guzman -17.21
2 UBS -10.64
3 WallachBeth Capital -6.5
4 Gar Wood Securities -6.44
5 Susquehanna Financial -6.32
6 ITG -4.56
7 Agency Trading Group -3.76
8 Harris Associates -0.64
9 Williams Capital 0.01
10 BTIG 4.47
Microcap
RankBrokerDifference
1 Cowen -36.59
2 Russell Impl. Svcs. -32.4
3 Gar Wood Securities -16.33
4 Goldman Sachs -15.55
5 WallachBeth Capital -12.87
6 J.P. Morgan -8.74
7 Susquehanna Financial -5.37
8 Agency Trading Group -4.89
9 Instinet -3.59
10 Guzman -0.62
 
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 June 30, 2015. Source: Investment Technology Group.
U.S. trading costs: Commissions and implementation shortfall
 
Average spread and annualized volatility of S&P 500 constituents
*2Q 2015 peer data are preliminary.