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  2. INTERACTIVE
June 13, 2016 01:00 AM

Tradewatch for June 13, 2016

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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 March 31, 2016. Source: Elkins/McSherry, a State Street company.
    All trading

    Global brokers
    RankBrokerDifference
    1

    State Street Global Markets

    -78.14
    2

    Deutsche Bank

    -70.12
    3

    Weeden

    -56.36
    4

    Pavilion Global Markets

    -56.22
    5

    CLSA

    -41.04
    6

    Morgan Stanley

    -39.64
    7

    ITG

    -35.22
    8

    Pershing

    -34.4
    9

    WallachBeth Capital

    -34.04
    10

    Russell Imp. Svcs.

    -20.29

    U.S. brokers
    RankBrokerDifference
    1

    Fidelity

    -50.07
    2

    Fox River

    -44.3
    3

    Agency Trading Group

    -38.68
    4

    BTIG

    -38.4
    5

    Knight

    -36.31
    6

    Raymond James

    -31.32
    7

    FBN Securities

    -29.59
    8

    Themis Trading

    -25.7
    9

    Jeffries

    -16.23
    10

    Wells Fargo Prime Svcs.

    -16
     
    Trades by order size

    Large orders: 50,000+ shares

     

    RankBrokerDifference
    1

    BTIG

    -66.49
    2

    ITG

    -54.92
    3

    Instinet

    -50.14
    4

    Wells Fargo Prime Svcs.

    -49.94
    5

    Goldman Sachs

    -47.21
    6

    Bank of New York

    -34.39
    7

    Agency Trading Group

    -32.76
    8

    Weeden

    -28.14
    9

    BB&T Investment Svcs.

    -28.08
    10

    Piper Jaffray

    -17.72

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

    ITG

    -32.22
    2

    Agency Trading Group

    -29.08
    3

    Sanford Bernstein

    -24.44
    4

    Goldman Sachs

    -19.69
    5

    Credit Suisse

    -19.34
    6

    Bank Of America

    -17.53
    7

    BB&T Investment Svcs.

    -14.21
    8

    GarWood Securities

    -7.88
    9

    NGAM Advisors

    -5.9
    10

    BTIG

    -3.22

    Small orders: 10,000 shares

    or less

    RankBrokerDifference
    1

    BB&T Investment Svcs.

    -28.39
    2

    Agency Trading Group

    -19.06
    3

    ITG

    -18.51
    4

    Goldman Sachs

    -12.66
    5

    NGAM Advisors

    -11.5
    6

    Guzman

    -11.32
    7

    BTIG

    -9.14
    8

    GarWood Securities

    -7.53
    9

    Weeden

    -4.89
    10

    Wells Fargo Prime Svcs.

    -3.57
     
    Trades by liquidity

    0% - 20% of daily volume
    RankBrokerDifference
    1

    Agency Trading Group

    -26.98
    2

    ITG

    -22.86
    3

    Sanford C. Bernstein

    -19.28
    4

    BB&T Investment Svcs.

    -17.21
    5

    Fox River

    -9.65
    6

    NGAM Advisors

    -6.82
    7

    Guzman

    -6.6
    8

    Jones & Associates

    -6.48
    9

    GarWood Securities

    -6.22
    10

    Goldman Sachs

    -2.56

    20% - 50% of daily volume
    RankBrokerDifference
    1

    Deutsche Bank

    -33.72
    2

    Weeden

    -30.71
    3

    Credit Suisse

    -28.9
    4

    BTIG

    -19.93
    5

    Goldman Sachs

    -18.03
    6

    NGAM Advisors

    -13.44
    7

    GarWood Securities

    -10.82
    8

    UBS

    -10.59
    9

    BB&T Investment Svcs.

    -9.62
    10

    Wells Fargo Prime Svcs.

    -8.33

    50%+ of daily volume
    RankBrokerDifference
    1

    Wells Fargo Prime Svcs.

    -69.37
    2

    Weeden

    -25.6
    3

    BTIG

    -24.83
    4

    J.P. Morgan

    -21.95
    5

    Goldman Sachs

    -18.4
    6

    Credit Suisse

    -18.35
    7

    NGAM Advisors

    -16.01
    8

    BB&T Investment Svcs.

    -15.26
    9

    GarWood Securities

    -12
    10

    BofA Merrill Lynch

    -6.59
     
    Trades by market cap

    Giant cap
    RankBrokerDifference
    1

    Jones & Associates

    -45.73
    2

    ITG

    -18.01
    3

    RBC Capital Markets

    -15.26
    4

    BB&T Investment Svcs.

    -12.9
    5

    Agency Trading Group

    -10.79
    6

    NGAM Advisors

    -9.75
    7

    Guzman

    -8.48
    8

    Bank of New York

    -7.79
    9

    Wells Fargo Prime Svcs.

    -5.97
    10

    Goldman Sachs

    -5.42

    Large cap
    RankBrokerDifference
    1

    ITG

    -19.68
    2

    Agency Trading Group

    -19.03
    3

    BB&T Investment Svcs.

    -17
    4

    BTIG

    -10.98
    5

    Barclays Bank

    -10.7
    6

    NGAM Advisors

    -8.87
    7

    GarWood Securities

    -8.44
    8

    Guzman

    -7.5
    9

    Weeden

    -7.31
    10

    RBC Capital Markets

    -4.58

    Midcap
    RankBrokerDifference
    1

    Agency Trading Group

    -48.35
    2

    BTIG

    -32.87
    3

    ITG

    -23.9
    4

    BB&T Investment Svcs.

    -17.13
    5

    GarWood Securities

    -16.62
    6

    NGAM Advisors

    -11.96
    7

    Credit Suisse

    -9.72
    8

    Goldman Sachs

    -8.04
    9

    J.P. Morgan

    -7.45
    10

    Weeden

    -6.49
     

    Small cap
    RankBrokerDifference
    1

    Wells Fargo Prime Svcs.

    -98.36
    2

    BTIG

    -90.73
    3

    Credit Suisse

    -87.59
    4

    Weeden

    -44.27
    5

    Agency Trading Group

    -40.47
    6

    Goldman Sachs

    -39.9
    7

    BofA Merrill Lynch

    -34.97
    8

    GarWood Securities

    -12.98
    9

    Guzman

    -11.89
    10

    William Blair

    -8.89

    Microcap
    RankBrokerDifference
    1

    Wells Fargo Prime Svcs.

    -112.65
    2

    BTIG

    -108.23
    3

    Credit Suisse

    -87.59
    4

    Weeden

    -44.27
    5

    Goldman Sachs

    -39.9
    6

    BofA Merrill Lynch

    -34.97
    7

    Agency Trading Group

    -20.36
    8

    GarWood Securities

    -12.98
    9

    Guzman

    -8.98
    10

    J.P. Morgan

    -6.88
     
    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 March 31, 2016. Source: Investment Technology Group.

    U.S. trading costs: Commissions and implementation shortfall

     
    Average spread and annualized volatility of S&P 500 constituents

    *1Q 2016 peer data are preliminary.

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