Elkins McSherry Top Executing Broker Report q2 2013

Tradewatch for June 10, 2013 BY PENSIONS & INVESTMENTS | JUNE 10, 2013

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

Rank Broker Difference1 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

Rank Broker Difference 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

Rank Broker Difference1 Macquarie Securities -37.65


3 Liquidnet -16.35

4 Instinet -15.64

5 Wells Fargo Secs. -14.51


7 Goldman Sachs -13.79

8 Knight -9.95

9 RBC Capital Markets -7.27


Medium orders: 10,000 - 50,000 shares

Rank Broker Difference 1 Telsey -22.06


3 Instinet -18.71



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



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

Rank Broker Difference1 Barclays Capital -37.82

2 Telsey -26.92

3 Instinet -14.68

20% - 50% of daily volume


2 Liquidnet -19.75


50%+ of daily volume

Rank Broker Difference1 Cantor Fitzgerald -43.52

2 Instinet -42.26

3 Royal Bank Scotland -32.87


5 Liquidnet -7.19


7 Fox River -4.58

8 RBC Capital Markets -3.61


10 Merlin -2.18

4 Pavilion -6.27

5 BTIG -5.97

6 Barclays Bank -5.88


8 Jefferies & Co. -5.2

9 Fox River -4.96

10 CAPIS -4.8


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

Rank Broker Difference1 Knight Securities -16.22

2 Telsey -14.66

3 BMO Capital Mkts. -12.78

4 Oppenheimer & Co. -9.49

5 Macquarie Secs. -8.36


7 Instinet -4.4

8 Griswold Co. -2.1

9 Barclays Bank -1.25

10 CAPIS 1.43

Large cap

Rank Broker Difference 1 Weeden & Co. -39.09

2 Instinet -33.96


4 BNP Paribas Secs. -20.15


6 Susquehanna Fin’l -17.99

7 Knight -16.55




Midcap

Rank Broker Difference1 Sanford C. Bernstein -39.41

2 Liquidnet -32.69



5 BNY ConvergEx -24.27


7 Knight Securities -8.56

8 Cantor Fitzgerald -7.78


10 Fox River -3.79

Small cap

Rank Broker Difference1 ISI Group -38.51

2 Telsey -30.09

3 Weeden & Co. -11.43


5 Knight Securities -9.18

6 Fox River -3.92

7 Jones Trading -3.64


9 Merlin -1.4

10 Bank Of New York -1.26

Microcap


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




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. COMMENTS REPRINTS

Filed under: Tradewatch

Elkins McSherry Top Executing Broker Report q2 2013

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