See related article, Elkins/McSherry - Global Transaction Costs Decline Despite High Frequency Trading.
| Top investment managers, benchmarked against volume-weighted average price | ||
| Rank 1 | Investment manager 2 (No. of countries firm traded in) | Difference vs. E/M universe (basis points) |
| 1 | Pzena Investment Mgmt | –15.29 |
| 2 | Arrowstreet Capital | –8.13 |
| 3 | Jennison Associates | –6.58 |
| 4 | BlackRock | –6.58 |
| 5 | Leuthold Weeden Capital Mgmt | –5.06 |
| 6 | Numeric Investors | –4.74 |
| 7 | AllianceBernstein | –4.38 |
| 8 | Deutsche Asset Mgmt | –3.77 |
| 9 | Jacobs Levy Equity Mgmt | –3.43 |
| 10 | Hotchkis and Wiley Capital Mgmt | –2.53 |
| 11 | Loomis, Sayles & Co. | –0.89 |
| 12 | W.P. Stewart & Co. | –0.63 |
| 13 | Piedmont Investment Advisors | –0.45 |
| 14 | Manning & Napier Advisors | 1.82 |
| 15 | New Amsterdam Partners | 3.65 |
2 Includes managers with greater than $1.5 billion in principal traded.
Source: Elkins/McSherry.
| Top brokerage firms, benchmarked against volume-weighted average price | ||
| Rank 1 | Brokerage Firm 3 (No. of countries firm traded in) | Difference vs. E/M universe (basis points) |
| 1 | Fox River Execution Technology | –13.19 |
| 2 | Liquidnet (30) | –12.10 |
| 3 | Agency Trading Group | –11.98 |
| 43 | Investment Technology Group | –10.60 |
| 53 | Weeden & Co. | –10.60 |
| 6 | BTIG | –8.86 |
| 7 | Source Trading | –8.65 |
| 8 | Credit Suisse | –8.21 |
| 9 | Goldman, Sachs & Co. | –8.15 |
| 10 | Citigroup | –7.26 |
| 11 | Bloomberg Tradebook | –6.92 |
| 12 | Merlin Securities | –6.49 |
| 13 | Morgan Stanley | –5.87 |
| 14 | UBS | –5.59 |
| 15 | Guzman & Co. | –5.48 |
2 Includes brokers with greater than $7.5 billion in principal traded.
3 Rank is based on results before rounding.
Source: Elkins/McSherry.
| Top brokerage firms, benchmarked against arrival price | ||
| Rank 1 | Brokerage Firm 2 (No. of countries firm traded in) | Difference vs. E/M universe (basis points) |
| 1 | Fox River Execution Technology | –33.84 |
| 2 | Brockhouse & Cooper | –24.45 |
| 3 | Nomura Securities International | –19.08 |
| 4 | Deutsche Bank | –14.30 |
| 5 | Bloomberg Tradebook | –14.20 |
| 6 | Knight Capital Group | –14.10 |
| 7 | Agency Trading Group | –14.09 |
| 8 | Weeden & Co. | –13.93 |
| 9 | Source Trading | –13.12 |
| 10 | Guzman & Co. | –8.73 |
| 11 | Merlin Securities | –8.48 |
| 12 | Jefferies & Co. | –2.04 |
| 13 | BTIG | –1.84 |
| 14 | J.P. Morgan | –1.15 |
| 15 | Liquidnet | –0.94 |
2 Includes brokers with greater than $7.5 billion in principal traded.
Source: Elkins/McSherry.
See related article, Elkins/McSherry - Global Transaction Costs Decline Despite High Frequency Trading.
