Tradewatch for Nov. 30, 2015
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November 30, 2015 12:00 AM

Tradewatch for Nov. 30, 2015

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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 are as of Sept. 30, 2015. Source: Elkins/McSherry, a State Street company.
    All trading

    Global brokers
    RankBrokerDifference
    1

    Barclays

    -41.57
    2

    BB&T Investment Svcs.

    -40.68
    3

    WallachBeth Capital

    -39.28
    4

    Robert W. Baird

    -35.83
    5

    William Blair

    -24.78
    6

    Bloomberg Tradebook

    -22.49
    7

    Instinet

    -20.3
    8

    Russell Impl. Svcs.

    -18.7
    9

    Pavilion Global Markets

    -16.18
    10

    Royal Bank of Canada

    -9.43

    U.S. brokers
    RankBrokerDifference
    1

    State Street Global Mkts.

    -48.68
    2

    Agency Trading Group

    -26.66
    3

    J.P. Morgan

    -15.37
    4

    BB&T Investment Svcs.

    -14.08
    5

    Knight Securities

    -13.8
    6

    Fidelity

    -10.58
    7

    UBS

    -10.18
    8

    Gar Wood Securities

    -8.96
    9

    WallachBeth Capital

    -7.67
    10

    Goldman Sachs

    -3.97
     
    Trades by order size

    Large orders: 50,000+ shares

     

    RankBrokerDifference
    1

    Agency Trading Group

    -51.34
    2

    Fidelity

    -38.71
    3

    Bank of New York

    -36.85
    4

    BB&T Investment Svcs.

    -35.76
    5

    Goldman Sachs

    -34.88
    6

    Weeden

    -29.77
    7

    Instinet

    -17.3
    8

    Gar Wood Securities

    -14.21
    9

    Key Bank

    -3.32
    10

    BoA - Merrill Lynch

    -2.33

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

    BTIG

    -40.43
    2

    Goldman Sachs

    -35.6
    3

    Agency Trading Group

    -34.68
    4

    BoA - Merrill Lynch

    -32.75
    5

    UBS

    -32.11
    6

    Credit Suisse

    -28.45
    7

    ITG

    -24.31
    8

    BB&T Investment Svcs.

    -13.2
    9

    Gar Wood Securities

    -8.04
    10

    Deutsche Bank

    -5.44

    Small orders: 10,000 shares

    or less

    RankBrokerDifference
    1

    J.P. Morgan

    -19.23
    2

    UBS

    -14.86
    3

    Knight Securities

    -13.01
    4

    ITG

    -12.5
    5

    Gar Wood Securities

    -8.07
    6

    Goldman Sachs

    -7.97
    7

    Credit Suisse

    -7.66
    8

    Guzman

    -6.59
    9

    Wells Fargo Prime Svcs.

    -4.77
    10

    Weeden

    -4.76
     
    Trades by liquidity

    0% - 20% of daily volume
    RankBrokerDifference
    1

    State Street Global Mkts.

    -53.09
    2

    Agency Trading Group

    -29.25
    3

    BB&T Investment Svcs.

    -21.97
    4

    J.P. Morgan

    -18
    5

    Knight Securities

    -14.88
    6

    Fidelity

    -12.92
    7

    Gar Wood Securities

    -9.5
    8

    Goldman Sachs

    -6.68
    9

    ITG

    -3.85
    10

    Instinet

    -2.16

    20% - 50% of daily volume
    RankBrokerDifference
    1

    Credit Suisse

    -22.32
    2

    Goldman Sachs

    -18.4
    3

    BTIG

    -11.77
    4

    NGAM Advisors

    -11.4
    5

    Gar Wood Securities

    -10.89
    6

    BoA - Merrill Lynch

    -9.25
    7

    Weeden

    -7.6
    8

    Bank of New York

    -7.5
    9

    Morgan Stanley

    -0.5
    10

    J.P. Morgan

    -0.25

    50%+ of daily volume
    RankBrokerDifference
    1

    Agency Trading Group

    -39.5
    2

    State Street Global Mkts.

    -38.48
    3

    ITG

    -34.42
    4

    Raymond James

    -33.14
    5

    Weeden

    -31.4
    6

    Knight Securities

    -22.48
    7

    BB&T Investment Svcs.

    -21.88
    8

    Nomura

    -19.75
    9

    Cantor Fitzgerald

    -18.77
    10

    Gar Wood Securities

    -16.85
     
    Trades by market cap

    Giant cap
    RankBrokerDifference
    1

    Needham

    -31.66
    2

    ITG

    -18.89
    3

    NGAM Advisors

    -7.85
    4

    Goldman Sachs

    -7.46
    5

    Bank of New York

    -6.66
    6

    UBS

    -6.16
    7

    Agency Trading Group

    -6.09
    8

    Jones & Associates

    -5.34
    9

    Gar Wood Securities

    -5.33
    10

    Instinet

    -4.01

    Large cap
    RankBrokerDifference
    1

    BTIG

    -22.3
    2

    Agency Trading Group

    -22.02
    3

    J.P. Morgan

    -11.8
    4

    BB&T Investment Svcs.

    -10.35
    5

    Gar Wood Securities

    -6.69
    6

    UBS

    -6.56
    7

    ITG

    -5.79
    8

    Jefferies

    -1.39
    9

    Goldman Sachs

    -1.01
    10

    Robert W. Baird

    0.67

    Midcap
    RankBrokerDifference
    1

    J.P. Morgan

    -22.13
    2

    BTIG

    -17.75
    3

    Gar Wood Securities

    -15.5
    4

    Credit Suisse

    -13.63
    5

    BB&T Investment Svcs.

    -10.02
    6

    Weeden

    -8.53
    7

    UBS

    -6.38
    8

    Bank of New York

    -5.67
    9

    Goldman Sachs

    -4.69
    10

    Jefferies

    -4.51
     

    Small cap
    RankBrokerDifference
    1

    Agency Trading Group

    -57.53
    2

    Credit Suisse

    -51.76
    3

    Knight Securities

    -32.45
    4

    NGAM Advisors

    -19.27
    5

    ITG

    -19.21
    6

    Cantor Fitzgerald

    -16.49
    7

    BB&T Investment Svcs.

    -15.2
    8

    Gar Wood Securities

    -12.56
    9

    Goldman Sachs

    -9.82
    10

    BTIG

    -6.17

    Microcap
    RankBrokerDifference
    1

    Weeden

    -109.08
    2

    Credit Suisse

    -101.01
    3

    Fidelity

    -82.94
    4

    Knight Securities

    -79.12
    5

    Morgan Stanley

    -78.72
    6

    Goldman Sachs

    -66.14
    7

    J.P. Morgan

    -26.23
    8

    Gar Wood Securities

    -25.79
    9

    CAPIS

    -24.56
    10

    BoA - Merrill Lynch

    -19.49
     
    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, 2015. Source: Investment Technology Group.

    U.S. trading costs: Commissions and implementation shortfall

     
    Average spread and annualized volatility of S&P 500 constituents

    *3Q 2015 peer data are preliminary.

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