September 03, 2018 01:00 AM

Tradewatch for Q2 2018

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, 2018. Source: Elkins/McSherry, a State Street company.

All trading

Global brokers

Rank

Broker

Difference

Macquarie Securities

-37.38

Robert W. Baird

-30.69

State Street Global Mkts.

-20.38

Royal Bank Scotland

-12.99

Russell Imp. Svcs.

-12.41

BTIG

-7.1

Guzman

-5.57

Penserra Securities

-4.39

Citigroup Global Mkts.

-3.53

Redburn Partners

-2.55

U.S. brokers

Rank

Broker

Difference

Macquarie Securities

-37.38

Robert W. Baird

-30.69

Guggenheim Partners

-29.55

Jones & Associates

-21.8

ISI Group

-20.96

State Street Global Mkts.

-20.38

Royal Bank Scotland

-12.99

Russell Imp. Svcs.

-12.41

BTIG

-7.1

Guzman

-5.57

Trades by order size

Large orders: 50,000+ shares

Rank

Broker

Difference

Barclays Bank

-59.99

Agency Trading Group

-46.64

J.P. Morgan

-27.31

BTIG

-18.12

Jeffries

-11.62

Gar Wood Securities

-9.57

WallachBeth Capital

-8.93

BB&T Investment Svcs.

-8.75

NGAM Advisors

-6.05

BofA Merrill Lynch

-5.44

Medium orders: 10,000 - 50,000 shares

Rank

Broker

Difference

Agency Trading Group

-24.37

Gar Wood Securities

-18.11

Goldman Sachs

-11.65

NGAM Advisors

-9.4

BB&T Investment Svcs,

-6.55

Russell Imp. Svcs.

-3.07

Sanford C. Bernstein

-2.77

BofA Merrill Lynch

-2.74

Guzman

-2.09

J.P. Morgan

0.07

Small orders: 10,000 shares

or less

Rank

Broker

Difference

Gar Wood Securities

-16.42

Bats

-15.3

Agency Trading Group

-12.62

NGAM Advisors

-12.26

Barclays Bank

-9.23

Burnham

-8.62

Wells Fargo Prime Svcs.

-8.51

Goldman Sachs

-7.63

Guzman

-7.36

Bank of New York

-6.79

Trades by liquidity

0% - 20% of daily volume

Rank

Broker

Difference

Agency Trading Group

-24.1

Gar Wood Securities

-13.59

Barclays Bank

-11.59

NGAM Advisors

-8.98

Credit Suisse

-8.01

CAPIS

-6.84

BTIG

-5.94

EDGX

-5.85

BB&T Investment Svcs.

-4.5

Russell Imp. Svcs.

-4.26

20% - 50% of daily volume

Rank

Broker

Difference

Goldman Sachs

-15.12

Gar Wood Securities

-13.78

NGAM Advisors

-12.15

Guzman

-11.81

J.P. Morgan

-9.38

BTIG

-6.48

NYSE Arca

-5.98

Weeden

-3

BofA Merrill Lynch

-2.27

Wells Fargo Prime Svcs.

0.2

50%+ of daily volume

Rank

Broker

Difference

J.P. Morgan

-45.35

Weeden

-28.46

Gar Wood Securities

-16.51

Wells Fargo Prime Svcs.

-15.74

NGAM Advisors

-14.61

Guzman

-12.76

Credit Suisse

-11.02

BTIG

-9.44

Goldman Sachs

-9.14

BofA Merrill Lynch

-3.86

Trades by market cap

Giant cap

Rank

Broker

Difference

Bank Of New York

-14.48

Russell Imp. Svcs.

-11.92

Agency Trading Group

-11.02

NGAM Advisors

-10.24

J.P. Morgan

-9.68

Gar Wood Securities

-7.01

BB&T Investment Svcs.

-4.87

Goldman Sachs

-3.76

Morgan Stanley

-3.18

Barclays Bank

-1.42

Large cap

Rank

Broker

Difference

Agency Trading Group

-25.22

Gar Wood Securities

-16.03

Weeden

-14.98

NGAM Advisors

-12.55

Guzman

-9.05

BB&T Investment Svcs.

-5.09

BTIG

-4.05

Sanford C. Bernstein

-2.7

Credit Suisse

-2.28

Russell Imp. Svcs.

-0.41

Midcap

Rank

Broker

Difference

Agency Trading Group

-33.2

Gar Wood Securities

-17.27

Guzman

-16.3

BofA Merrill Lynch

-14.7

Sanford C. Bernstein

-10.53

BTIG

-9.38

Russell Imp. Svcs.

-2.12

J.P. Morgan

-2.01

Goldman Sachs

-1.46

Credit Suisse

2.15

Small cap

Rank

Broker

Difference

Cowen

-52.13

Guzman

-40.68

Agency Trading Group

-38.46

Gar Wood Securities

-36.99

BTIG

-17.08

BofA Merrill Lynch

-16.91

J.P. Morgan

-12.36

Weeden

-10.97

Russell Imp. Svcs.

-3.33

Wells Fargo Prime Svcs.

-2.08

Microcap

Rank

Broker

Difference

Gar Wood Securities

-171.54

BTIG

-111.04

Agency Trading Group

-104.68

Guzman

-102.49

J.P. Morgan

-98.62

Jane Street Capital

-12.85

BofA Merrill Lynch

-3.41

Russell Imp. Svcs.

-2.5

Wells Fargo Prime Svcs.

74.07

Credit Suisse

294.12

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, 2018. Source: Investment Technology Group.

U.S. trading costs: Commissions and implementation shortfall