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Elkins/McSherry - Global Trading

Global transaction costs decline despite high frequency trading.

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 Capital Guardian Trust Co. (35) –16.43
2 Arrowstreet Capital (37) –14.79
3 Goldman Sachs Asset Mgmt (34) -13.74
4 Pzena Investment Mgmt (17) –13.28
5 ING Investment Mgmt (37) –11.95
6 AllianceBernstein (35) –11.42
7 GMO (32) –10.52
8 Acadian Asset Mgmt (34) –9.83
9 Batterymarch Financial Mgmt (37) –9.12
10 Baillie Gifford & Co. (32) –8.77
11 Loomis, Sayles & Co. (20) –6.79
12 Franklin Templeton Investments (35) –6.67
13 Pyramis Global Advisors (22) –4.94
14 Barclays Global Investors3 (23) –4.43
15 State Street Global Advisors (24) –3.42

1 Rank is for 12 months ended June 30.

2 Includes managers with greater than $2 billion in principal traded.

3 BlackRock acquired Barclays Global Investors in December 2009.

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 Bloomberg Tradebook (34)–26.44
2 Liquidnet (30)–23.01
3 Investment Technology Group (37)–19.44
4 Goldman, Sachs & Co. (41)–17.82
5 Credit Suisse (41)–17.76
6 UBS (42)–17.56
7 Citigroup (41)–17.06
8 Société Générale (32)–17.01
9 Brockhouse & Cooper (39)–16.85
10 Nomura Securities International (39)–16.77
11 Jefferies & Co. (23)–16.16
12 J.P. Morgan (34)–15.93
13 Barclays Capital (32)–14.52
14 Macquarie Group (29)–14.50
15 Morgan Stanley (44)–14.05

1 Rank is for 12 months ended June 30.

2 Includes brokers with greater than $10 billion in principal traded.

Source: Elkins/McSherry.

Top - firms, benchmarked against arrival price
Rank 1 Brokerage Firm 4

(No. of countries firm traded in)

Difference vs.

E/M universe

(basis points)

1 Bloomberg Tradebook (34)–40.69
2 Sanford C. Bernstein (33)–29.80
3 Brockhouse & Cooper (39)–27.23
4 BTIG (12)–26.57
5 Cantor Fitzgerald (19)–20.71
6 Société Générale (32)–16.95
7 Execution (18)–10.15
8 Investment Technology Group (37)–7.46
9 Conifer Securities (16)–7.30
10 Citigroup (41)–5.11
11 J.P. Morgan (34)–4.89
12 Cowen and Co. (25)–4.73
13 Liquidnet (30)–4.60
14 Goldman, Sachs & Co. (41)–4.48
15 Deutsche Bank (41)–3.45

1 Rank is for 12 months ended June 30.

2 Includes brokers with greater than $5 billion in principal traded.

Source: Elkins/McSherry.

See related article, Elkins/McSherry - Global Transaction Costs Decline Despite High Frequency Trading.