| 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 March 29, 2013. Source: Elkins/McSherry, a State Street company. |
| ALL TRADING |
| Global brokers | |
| 1 | Redburn Partners | -42.59 | | 2 | Banco Santander | -36.22 | | 3 | Sociéte Générale | -29.47 | | 4 | BNP Paribas Secs. | -26.52 | | 5 | Liquidnet | -22.25 | | 6 | Sanford C. Bernstein | -18.59 | | 7 | Barclays Capital | -16.53 | | 8 | Pavilion | -14.47 | | 9 | BTIG | -13.69 | | 10 | UBS | -8.75 |
| | | U.S. brokers | |
| 1 | Barclays Capital | -29.58 | | 2 | Telsey | -26.8 | | 3 | Instinet | -15.65 | | 4 | WallachBeth Capital | -13.96 | | 5 | Bloomberg Tradebook | -9.42 | | 6 | Liquidnet | -8.09 | | 7 | Knight | -7.57 | | 8 | Fox River | -4.9 | | 9 | Weeden & Co. | -2.63 | | 10 | Russell Impl. Svcs. | -2.62 |
|
| |
| TRADES BY ORDER SIZE |
| Large orders: 50,000+ shares | |
| 1 | Macquarie Securities | -37.65 | | 2 | Barclays Capital | -29.51 | | 3 | Liquidnet | -16.35 | | 4 | Instinet | -15.64 | | 5 | Wells Fargo Secs. | -14.51 | | 6 | WallachBeth Capital | -14.19 | | 7 | Goldman Sachs | -13.79 | | 8 | Knight | -9.95 | | 9 | RBC Capital Markets | -7.27 | | 10 | Russell Impl. Svcs. | -6.16 |
| | | Medium orders: 10,000 - 50,000 shares | |
| 1 | Telsey | -22.06 | | 2 | Barclays Capital | -21.78 | | 3 | Instinet | -18.71 | | 4 | Bloomberg Tradebook | -12.09 | | 5 | Sanford C. Bernstein | -6.68 | | 6 | Merlin | -3.44 | | 7 | CAPIS | -2.83 | | 8 | Morgan Stanley | -2.38 | | 9 | Guzman & Co. | -1.97 | | 10 | Fox River | -1.76 |
| | | Small orders: 10,000 shares or less | |
| 1 | Telsey | -18.29 | | 2 | Bloomberg Tradebook | -12.33 | | 3 | Guzman & Co. | -11.81 | | 4 | Weeden & Co. | -10.64 | | 5 | Instinet | -9.89 | | 6 | Merlin | -8.82 | | 7 | CAPIS | -8.51 | | 8 | Oppenheimer & Co. | -8.42 | | 9 | Fidelity Investments | -8.4 | | 10 | Baillie Gifford | -7.68 |
|
| |
| TRADES BY LIQUIDITY |
| 0% - 20% of daily volume | |
| 1 | Barclays Capital | -37.82 | | 2 | Telsey | -26.92 | | 3 | Instinet | -14.68 | | 4 | Bloomberg Tradebook | -10.74 | | 5 | Liquidnet | -7.19 | | 6 | Wells Fargo Secs. | -6.27 | | 7 | Fox River | -4.58 | | 8 | RBC Capital Markets | -3.61 | | 9 | Russell Impl. Svcs. | -2.33 | | 10 | Merlin | -2.18 |
| | | 20% - 50% of daily volume | |
| 1 | Telsey | -29.15 | | 2 | Liquidnet | -19.75 | | 3 | Russell Impl. Svcs. | -7.16 | | 4 | Pavilion | -6.27 | | 5 | BTIG | -5.97 | | 6 | Barclays Bank | -5.88 | | 7 | Goldman Sachs | -5.28 | | 8 | Jefferies & Co. | -5.2 | | 9 | Fox River | -4.96 | | 10 | CAPIS | -4.8 |
| | | 50%+ of daily volume | |
| 1 | Cantor Fitzgerald | -43.52 | | 2 | Instinet | -42.26 | | 3 | Royal Bank Scotland | -32.87 | | 4 | Goldman Sachs | -32.17 | | 5 | ITG | -30.94 | | 6 | Bank of America - Merrill | -26.26 | | 7 | J.P. Morgan | -14.13 | | 8 | Knight | -12.89 | | 9 | Susquehanna Financial | -10.86 | | 10 | Citigroup | -9.67 |
|
| |
| TRADES BY MARKET CAP |
| Giant cap | |
| 1 | Knight Securities | -16.22 | | 2 | Telsey | -14.66 | | 3 | BMO Capital Mkts. | -12.78 | | 4 | Oppenheimer & Co. | -9.49 | | 5 | Macquarie Secs. | -8.36 | | 6 | WallachBeth Capital | -7.53 | | 7 | Instinet | -4.4 | | 8 | Griswold Co. | -2.1 | | 9 | Barclays Bank | -1.25 | | 10 | CAPIS | 1.43 |
| | | Large cap | |
| 1 | Weeden & Co. | -39.09 | | 2 | Instinet | -33.96 | | 3 | Goldman Sachs | -32.19 | | 4 | BNP Paribas Secs. | -20.15 | | 5 | Bloomberg Tradebook | -18.38 | | 6 | Susquehanna Fin’l | -17.99 | | 7 | Knight | -16.55 | | 8 | Sanford C. Bernstein | -12.56 | | 9 | Russell Impl. Svcs. | -6.88 | | 10 | Morgan Stanley | -5.01 |
| | | Midcap | |
| 1 | Sanford C. Bernstein | -39.41 | | 2 | Liquidnet | -32.69 | | 3 | Wells Fargo Secs. | -30.68 | | 4 | Susquehanna Fin’l | -27.19 | | 5 | BNY ConvergEx | -24.27 | | 6 | Morgan Stanley | -17.18 | | 7 | Knight Securities | -8.56 | | 8 | Cantor Fitzgerald | -7.78 | | 9 | Bloomberg Tradebook | -6.18 | | 10 | Fox River | -3.79 |
|
| Small cap | |
| 1 | ISI Group | -38.51 | | 2 | Telsey | -30.09 | | 3 | Weeden & Co. | -11.43 | | 4 | Bloomberg Tradebook | -10.99 | | 5 | Knight Securities | -9.18 | | 6 | Fox River | -3.92 | | 7 | Jones Trading | -3.64 | | 8 | Susquehanna Fin’l | -1.64 | | 9 | Merlin | -1.4 | | 10 | Bank Of New York | -1.26 |
| | | Microcap | |
| 1 | Telsey | -29.89 | | 2 | Fidelity Investments | -24.33 | | 3 | Citigroup | -21.92 | | 4 | Liquidnet | -21.46 | | 5 | Weeden & Co. | -21.26 | | 6 | Bank Of New York | -19.29 | | 7 | Bloomberg Tradebook | -14.55 | | 8 | WallachBeth Capital | -13.24 | | 9 | Susquehanna Fin’l | -10.44 | | 10 | Merlin | -8.83 |
|
| |
| 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 29, 2013. Source: Investment Technology Group. |
| U.S. trading costs: Commissions and implementation shortfall |
|
| |
| Average spread and annualized volatility of S&P 500 constituents |
|
*1Q 2013 peer data are preliminary. |
