Transaction Cost Analysis directory
| Company | Description of TCA Services | Where do the services get transaction data? | How frequently is data collected? | How is the data analyzed? | What criteria are used to measure broker execution? | What benchmarks are offered? | Are pre-trade estimates and intra-trade analysis available? | Is data real-time for pre-trade estimates and intra-trade analysis? | Is data for post-trade analysis real-time, end of day or following day? | Can post-trade analysis be provided based on client-specified timeframes? | Does the analysis deal with qualitative data such as manager instructions and/or linkage to portfolio management group? | How is the analysis delivered? | Is your TCA service available beyond equities? If so, what asset classes? | How is this service different from its competitors? | Additional Enhancements? |
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| Abel Noser Corp Trade Zoom Peter Weiler 646-432-4000 pweiler@abelnoser.com www.abelnoser.com | Abel Noser TCA services is a leading global solution focusing on the needs of the Institutional Money management, brokerage, Plan Sponsor and Investment consultant communities since 1985. | Trades data is received directly from client OMS'S.Trades data is then married with market data from leading data vendors and in some cases directly from exchanges. | Data is collected as frequently as next day with real-time data collection expected in q4, 2008. | Trades data is compared to market data segments around the globe..Data is analyzed for consistent historical patterns and outlier trades, which enable our trade consultants to make actionable recommendations. | Brokers are measured vs both strike price and volume test metrics.Morover, brokers are designated certain unique benchmarks to capture trade difficulty. | Benchmarks are fully customizable, clients have the ability to create benchmarks based upon criteria such as Country/region, capitalization,style, price-trend,% of ADV & side of Trade. | Pre trade estimates are available based upon theoretical, universe and client specific methodologies using a date defined range from the user. | Real-time web-based pre-trade estimates are expected in q4,2008 .Currently this offering derives pre-trade estimates from data analyzed up until one day prior to trade date. | Real-time post-trade is expected in q4,2008 with the introduction of our web-based product.Currently post -trade analysis is offered as frequently as the following day. | Clients are able to view post-trade analysis using any user defined date range | Yes, Trade Zoom supports the use of special tags and/or client mappings which allow for a greater degree of drilling down on unique data sets. | via Internet, Server based behind client firewall. | Yes, Abel Noser has a domestic Fixed Income product within Trade Zoom.Additionally, high level Executive summary reports are provided for compliance, Portfolio management & trading professionals. | The service is a fully transparent solution which makes no assumptions and provides the user with the abilty to drill down to the fine detail of a trade including a ''picture '' of what occurred while an order is live on the trading desk. | Enhancements include real-time reporting, web-based delivery,enhanced benchmarking capabilities and future product offerings to help clients reduce trading costs. |
| Ancerno Trade Zoom Allison Keane 646-884-6456 akeane@ancerno.com http://www.ancerno.com | Ancerno offers global equity & U.S. fixed income TCA tools that enable clients to estimate their pre-trade costs and evaluate their post-trade performance using several widely accepted methodologies. | Clients provide their trade data through a variety of electronic protocols. Ancerno subscribes to several leading market data providers. | Ancerno supports data collection in real time as well as next day, monthly, quarterly and annually. Custom frequencies are also available. | Trade Zoom allows users to filter, summarize data and create custom views. The Stock Lenz feature enables users to view a graphic depiction of the trade and market. | Trade Zoom offers a variety of measures including strike price and VWAP in customizable views. Ancerno provides some of the most comprehensive benchmark statistics available. | A wide variety of benchmarks are available through Trade Zoom. Custom benchmarks are also available. | Yes. | Targeting Q1 2009 for web-based pre-trade. | All of the above. Post trade is available real time, T+1, quarterly, yearly and at custom intervals. | Yes. Ancerno offers custom timeframes. | Yes. | via Internet, download, | Fixed Income is also available. | With over twenty years experience in transaction cost analysis, Ancerno offers flexible, broker-neutral TCA solutions through a network of providers to over 500 clients trading in more than 57 countries. | |
| Barclays Capital Inc. TradeGaugeTM Barclays Capital Electronic Trading Sales 212-526-1130 ElectronicSales@barclayscapital.com http://www.barx.com/equities/ | TradeGaugeTM is a global execution performance analysis system for equity trades. The application provides a comprehensive post-trade analysis feature set that allows users to upload order data from any source, interactively review performance versus a range of price benchmarks, and generate detailed reports. Orders can be filtered using a rich set of criteria, aggregated according to a variety of categories, or viewed at a detailed level for drill-down analysis. TradeGaugeTM is a browser-based web application. | Transaction data used to generate execution performance analysis is based on order flow data combined with the historical trades and quotes data. The source for the order flow data is either order data stored in our internal flow databases or custom order flow data uploaded to the application for the multi-broker comparative analysis. | Data is retrieved and analyzed on a daily basis through end-of-day batch processes. Trades uploaded directly into the application can be analyzed in real-time. | Data is analyzed with respect to multiple benchmarks aggregated over several pre- or user-defined aggregation categories, e.g., liquidity consumption or market capitalization. Application supports extensive filtering. | Criteria are strategy and customer specific. General categories include slippage analysis with respect to various price or volume benchmarks, child order execution quality, and execution venue breakdown reports. Performance is also assessed in the context of the flows' alpha characteristics and supplemental statistics such as trade duration and strategy parameters. | Slippages can be measured relative to a number of pre-defined benchmarks such as VWAP, Arrival Price, Open, Close, Low, High, Quote, Previous Close, Full Day VWAP, Arrival Last, Interval End Price, Interval + X End Price, Market Impact Adjusted, Participation Rate, or custom specified benchamarks. | Pre-trade estimates are available for single stock or portfolio based analysis. | Pre-trade analysis is based on a combination of historical and real-time data. | Batch post trade analysis is availble end of day. Trades uploaded directly into the application can be analyzed in real-time. | Post trade reporting is provided for user-specified benchmarks, time frames, and formats. | Qualitative data such as selection of strategy parameters is captured in daily post trade reports via appropriate aggregation and benchmark selection. Longer term strategy usage and performance reports provide analysis in the broader context of investment objectives. | via Internet, over EMS/OMS, download | Limited post trade capabilites are also available for options. | TradeGauge is complemented by a suite of pre-trade analytics that include sophisticated market impact models, global risk models, portfolio optimization and trade scheduling capabilities for single stocks and baskets. Other major product differentiations are: Custom capability in benchmark definitions, performance aggregation categories, and report format which can be configured by trader within the same organization; Allows anonymous multi-broker analysis via automatic loading of user-supplied execution data (trades executed by other brokers). | TradeGauge is frequently being enhanced to better service our clients. |
| Bloomberg Bloomberg TCA Jeff Alexander 212-617-2126 jalexander19@bloomberg.net www.bloomberg.com | Bloomberg TCA is an easy to use, but powerful system that aligns portfolio manager and trader objectives, resulting in useful analysis and actionable insights. It is incorporated into your Bloomberg terminal and requires no additional software or passwords. | Transaction data is received either via orders executed through the Bloomberg EMS system or via files submitted from clients. | Bloomberg collects data daily, weekly, or monthly | The data is analyzed nightly using a full suite of benchmarks and Bloomberg's market standard data. Reports are ready when the client logs into the Bloomberg terminal in the morning. | Full suite of benchmarks that measure before, during, and after trade on a absolute basis and relative to the market. | 50+ benchmarks that cover what happens before, during, and after the order or route. Factors like volatility, momentum, underlying index, market capitalization, and time of day also are available to clients. | Yes, pre-trade analysis allows you to identify optimal venues and strategies given historical experience. EMS provides users with the ability to select any benchmark and to adjust strategy based as the order is worked. | Yes, full integration of Bloomberg market data. | Following day. Real time analysis and end of day analysis is provided via the EMS platform. | Client can choose any timeframe. | Yes, the data is a core part of the analysis if clients provide the data. | over EMS/OMS, Bloomberg Terminal | We do not offer other asset classes at this time. | Service is based on experience working with traders, porfolio managers, and CIOs. resulting in meaningful benchmarks that CIOs and portolio managers accept. Full integration with Bloomberg system allows users to link results to core Bloomberg functionality - one touch trade research. System is unconflicted and broker neutral. | Contact us for details. |
| Credit Suisse
Advanced Execution Services ExPRT - Execution Performance Reporting Technology Gaurav Mundra Head of Transaction Cost Analysis Advanced Execution Services 212-325-4096 gaurav.mundra@credit-suisse.com | ExPRT is a Global Transaction Cost Product catering to the entire client base of Credit Suisse across equities, options, futures and FX. ExPRT revolutionizes TCA by providing a sophisticated framework in our quest to demonstrate "Best Execution." Implementation Shortfall is split into its components of Trend, Impact and Trading Alpha computed over every 10 minutes time interval over the life of the execution. Stock price reversion helps offer clients color of how to control their footprint in the market. | Execution Performance is broken out by Trading Algorithm, Trader and numerous buckets that can make the analysis most useful to the buy-side. A client can now gauge when they should enter the market, how aggressively they should execute the trade, what strategy should be adopted and what foot prints if any are left in the market upon completion of trade. It also quantifies what fraction of the client flow that was crossed via Credit Suisse's CrossFinder and what the price appreciation was incorporated into performance. Further it shows the client what percent of their flow was crossed via CrossFinder+. | Quality of execution is gauged by what fraction of Implementation Shortfall is Trend Cost. - or exposure to street volume in the stock traded. The key to minimizing slippage is minimizing the combination of Trend and Impact. The framework identifies trends in the client's historical trading performance to offer directional trading advice for future executions. It forms the basis of better utilization or and creation of new AES algorithms. | Credit Suisse's pre-trade analytic platform allows traders and portfolio managers to gauge what their slippage would be. This enables the buy-side to ascertain what their trading strategy should be for various names and positions in their portfolio. | Download | Credit Suisse ExPRT is pioneering the space of TCA for multi-asset classes. Clients of AES FX, AES Futures, and AES Options receive ExPRT TCA Analysis. | The service is a combination of an intelligent and well-differentiated TCA framework and AES's sales team that can lend thought leadership and deliver AES trading solutions to our client base leveraging the ExPRT TCA analysis. | ||||||||
| Deutsche Bank Execution Consulting Services Thomas Chippas 212-250-3988 thomas.chippas@db.com http://autobahn.db.com | Multiple service offering which include: •Daily, monthly, quarterly reports on a global basis. •High-touch bespoke consultative reports which analysis tick level data and highlight trends in trading activity. | Executed trades are captured on a child level from our order management systems globally. Market data sources include but are not limited to: the consolidated tape, Barra, Bloomberg and Reuters. | Real-time on every trading day. | An algorithm is used to match execution data to time of sales and prevailing market data at time of execution. A low latency, high performance visual analytics is deployed to analyze the consolidated database. | Neutral and consistent benchmarks and tick metrics are used to measure performance. | Traditional benchmarks such as: Previous Day Close, Open, High, Low, Arrival Price, VWAP, Last, Close are available. Enhanced tick metrics to measure impact post-execution, T+5, T+10, T+15 minutes after the trade, the hierarchy of the tick-distribution, spread crossing, volatility adjusted data, and depth of book metrics are available. | Pre-trade estimates are currently available. Intra-trade estimates expected to be available in 2009. | Yes. | Real-time. | Yes. | All instructions entered at the time of trade are captured in the database. These include: limit prices, aggressiveness parameters and the analysis of our portfolio trading algorithm. | via Internet, download, Client visits | TCA is also available for Fixed Income. | Customization of reports based on client request, analysis of tick level data and our consultative approach to TCA. | |
| Elkins/McSherry, LLC Global Equity & Fixed Income Trading Cost Analysis James F. Bryson 917-790-4606 jbryson@elkinsmcsherry.com www.elkinsmcsherry.com | Elkins/Mcsherry offers a U.S. Equity, Global Equity, U.S Fixed Income and Global Fixed Income cost analysis. The Elkins/McSherry trade execution reports provide a comprehensive analysis of total portfolio transaction costs; commissions, fees and market impact in 47 countries. The portfolio execution costs are scored relative to institutional universes that are maintained and continually updated in the Elkins/McSherry database. | The data is retrieved from multiple market data sources and downloaded into the Elkins/McSherry Database every night. | Elkins/McSherry can provide clients with reports on a Real-Time, Daily, Weekly, Monthly, Quarterly, Annual or Semi-Annual basis. | Data is measured by any category upon request -client, fund, manager, trader, broker etc..- A Drill down tool allows a customer to exam their cost down to the trade level. Elkins/McSherry uses this trading data to assess institutional averages for commissions, fees and market impact costs that are calculated quarterly in 47 countries. | Elkins/McSherry can use multiple benchmarks to measure broker execution. Typically, broker executions are compared to -but not limited to- an interval VWAP and Arrival price benchmark. Elkins/McSherry also has specific universes by size, market capitalization, market sector, and country. | VWAP, Time VWAP, Participation Weighted VWAP, Strike Price/Arrival Price, Implementation Shortfall, Previous Nights Close, Open Price, Close Price or any other benchmark by request. | N/A | N/A | Yes, Elkins/McSherry has a real-time analysis. | Yes, all reporting is customizable. | Yes, upon request. | via Internet, over EMS/OMS, download, | U.S. Fixed Income and Global Fixed Income. | With over 17 years in the Trading Cost Analysis business, Elkins/McSherry, provides the deepest and most customizable universes of data the industry has to offer. Further, Elkins/McSherry is the largest non broker TCA provider in the industry and has staff located in the U.S., Europe, and China. | |
| FlexTrade Systems, Inc. FlexTQM Sales 516-627-8992, ext. 2 sales@flextrade.com www.flextrade.com | FlexTQM is a comprehensive transaction cost analysis system used by leading buy and sell-side institutions. FlexTQM integrates pre-trade analysis and cost-estimation with real-time and historical transaction cost analysis. | FlexTQM comes with 80+ out of the box benchmarks that measure transactions costs. As you continue to use the system, you build a historical database of trade and cost data. Using multi-day functionality you can easily grab a month (or any other amount) of data for easy historical analysis | FlexTQM hosts real-time data updated every second with no restrictions. The user can view both historical and updated data on the screen. | All of FlexTQM’s graphs and reports support drill down functionality getting you as granular as you choose. With an intuitive GUI it is easy to quickly identify costly areas. Use this real time feedback to adjust strategies or discuss with traders and brokers. FlexTQM boasts both pre and post trade analysis. | FlexTQM can view by total cost incurred by each broker strategy whereby you can see which strategy is best and perform a cost comparison. This provides the user with core information on best execution. | FlexTQM’s proprietary tick database provides dozens of measures relevant to equity activity. It will display the sources of your trading costs in real time and historically, from standards such as impact, opportunity cost and implementation shortfall to in-demand tick-based figures such as “windowed” weighted average prices and cost attributions. | Yes. | Pre-trade estimates are not real time. Intra-day analysis is real-time. | Real-time. | Yes. | Yes. | via Internet, over EMS/OMS | While FlexTrade is a multi-asset technology solutions provider, FlexTQM is configured to handle only equities at this time. | FlexTQM is broker-neutral system and hosts 80+ out of the box benchmarks. As a user you can pick any time series, benchmark broker algos, add customized benchmarks or compare brokers strategies against each other. | N/A |
| Global Trading Analytics, LLC (GTA) Global Trading Analytics David Hintz 201-309-3060 dhintz@gtanalytics.com www.gtanalytics.com | Global Trading Analytics (GTA) is a web-based trading cost analysis consulting firm providing custom, customer specific TCA in several global markets including; Equities, Foreign Exchange and Fixed Income. GTA has developed proprietary methodologies that measure trading costs within the correct context. This approach provides clients with accurate, transparent results which enable them to manage their implicit trading costs with ease. In addition, the web-based reporting structure allows customers to access their results like never before with complete drill-down functionality. | Directly from clients, or through their custodians. | Daily, Weekly, Monthly, Quarterly & Annually. | Because of GTA's unique approach, each customer's analysis is a custom analysis. | GTA's individualized approach provides a unique and specialized framework for each customer's analysis. | All | Yes | Historical from T-1. This approach allows the trader to combine recent historical data with their own real-time perspective to achieve maximum trading efficiency. | Historical Tick-Data | Yes | Yes | via Internet | In addition to US & Global Equities, GTA analyzes Foreign Exchange and U.S. & Global Fixed Income. GTA will also be launching a Commodities TCA. | Custom analytics approach, methodology, service, asset classes analyzed. At GTA each customer is treated as a unique entity. GTA does not take a generic approach. | User-friendly, yet sophisticated web-based reporting. A real strenght that adds value. |
| Goldman Sachs Goldman Sachs Electronic Trading gset-news@gs.com www.gs.com/electronictrading | Goldman Sachs' suite of analytics provides the tools needed to trade more efficiently, improves performance and reduce transaction costs. Pre-, intra- and post-trade analytics, as well as a team of execution consultants, will help clients optimize their trading. | Goldman Sachs gets its transaction data from anonymized franchise and proprietary trading flow. | Daily. | Proprietary models. | Both industry standards as well as proprietary measures of execution quality. | Industry standard benchmarks, such as implementation shortfall and trade-life VWAP, as well as a wide variety of benchmarks customized to specific client needs. | Through the REDIPlus Execution Management System, clients trading single stocks or portoflios can benefit from a range of pre- and intra-trade analytics. Our Guide Tool provides algorithm-specific pre-trade; our analystics workbench provides portfolio cost analysis; and web-based portfolio analytic tools provide cost and risk optimization for single stock trading. Intra-trade, performance analytics and GSmartView alerts via email or IM provide real-time information. | Both historical and real-time pre-trade estimates are available for intra-trade analysis. | In our Portfolio Trading platform, real-time analysis is available directly in the application and in report formats. | Our execution quality analysis can be done over historical periods, as specified by the client | Electronically embedded order instructions are included in the analysis. | via Internet, over EMS/OMS, download | Electronically embedded order instructions are included in the analysis. | Our analytics are fully integrated with our trading platform and continues to be a major focus of our product development efforts. | Our latest Portfolio Trading product release combines enhanced trading workflow with embeddedstate-of-the-art, ultra-fast analytics. In addition, our coming releases will include additional ETF and Futures analytics alongside new trading tools. |
| innerExchange inExCast Nicolas Cheronet 44 20 3326 9030 contact@innerex.com http://www.innerex.com/inexcast.html | inExCast provides comprehensive transaction cost analysis services for the buy-side organisations and Execution Cost Management services for the sell-side organisations. Customers monitor in real-time their cost levels while building up user defined reports on any period and periodics. inExCast can generate e-Invoices delivered in multiple forms to customers. | Data is received via multiple sources - the order management system, real-time market data from the relevant pools of liquidity and reconciliation feeds from the clearers/custodians. | Real-time | inExCast provides a very flexible tool to analyse all the data that can be broken down in every steps in the value chain of the transaction process, including taxes. | Multiple brokers can be measured in consolidated views, usually against benchmarks and/or market data. | A wide variety of benchmarks are available that can be proprietary or sourced from third parties. | inExCast data can be used for smart routing orders in order to reach best transaction execution and estimates these costs pre-trade. | Real-time | Real-time. Fully reconciled data is dependent upon the clearers/custodians celerity. | The reporting facility is fully customisable, and is usually provided in real-time. | Qualitative data is stored and can be processed in reports via appropriate aggregation and benchmark selection. | via Internet, over EMS/OMS, download. | It covers multiple asset classes, multiple currencies and multiple countries tax schemes. | inExCast is the result of buy side and sell side organisations valuable experiences and combines an intelligent and componentised framework that is very flexible, therefore offering ease of integration and extremely powerful reporting facilities at the fingertips of its users. | |
| Instinet Instinet Insight PT (Post Trade) Andrew Winner 310-535-1520 andrew.winner@instinet.com www.instinet.com | Instinet InSight PT provides a rich analytical interface with the ability to attribute costs by key categories - including sector, market cap, side, destination, liquidity, algorithm, region and broker. The web-based platform is fully integrated with Instinet's EMS platforms. InSight PT is a globally oriented product with support for 55 countries across the Americas, Europe, and Asia. | For Instinet Newport users, InSight PT reads transaction data directly from our internal databases. Non-Newport users can import transaction data via our file import capability. | Internal data is collected in real-time and is available for analysis any time during the day. Data can also be imported anytime during the day. | Transaction data can be grouped and aggregated across many different categories including, side, sector, market cap, liquidity, algorithm, region, broker, time-of-day, order duration, etc. Information can be presented in both tabular and graphical forms and downloaded in PDF, Excel or ASCII formats. Transactions can be compared against five user configurable benchmarks. Benchmark can be constructed from numerous daily and tick based benchmarks including point-to-point VWAP. Benchmarks can be further adjusted by cost impact estimates, fx fluctuations, and market movements. InSight PT provides a dynamic interface for filtering, sorting, grouping, and sub-grouping of data. | Arrival price and spread capture. | InSight PT supports a robust set of configurable benchmarks. Daily-based values such as High, Low, Open, Close and VWAP, in addition to tick-based values such as quotes, trades, and point-to-point (arbitrary range) VWAPs are all supported. All of these data elements can be selected based upon the order start/end times, trade/slice start/end times, when the broker or algo received the order, or when a slice was sent out to a liquidity source. Additionally, time stamps can me adjusted forward or backwards by days, minutes or seconds or to the nearest 15 or 30 minute bucket, market open, or market close. VWAPs can be computed from prints within an orders limit price and client executions can be excluded from the VWAP calculation. Finally, order limit prices can be used as benchmark values. Benchmark can be further adjusted by market impact estimates, fx fluctuations, and/or general market/index movements. | Yes, Instinet offers pre-, post- and real-time trade analysis. | Yes. | InSight PT supports analysis in real-time. | Yes. InSight PT supports arbitrary time frames up to two years back. | Yes. On top of the standard supported attributes; account, trader, etc., users can define up to 25 custom attributes. | via Internet, over EMS/OMS, download | Currently Instinet InSight PT is available only for cash equities transactions. | Instinet Insight PT has a number of competitive differentiators, including: For Instinet's EMS and FIX users, access to transaction data is quick and seamless. The granularity is deep providing actual liquidity source information and spread capture values. This data can be augmented with imported transaction data; InSight PT provides a simple, dynamic, and fast interface; Highly interactive reports allow users to change their layouts and manipulate the data via filtering, sorting, and grouping; Access to both aggregated and detailed transaction data; Report scheduling allows users to automate their report generation; Advanced PDF and Excel report formatting; Charting; Sharing of reports and various templates across users. | We are continually enhancing our product and listen to our clients' feedback to determine the direction of our product. |
| Investment Technology Group, Inc. (ITG) ITG TCA™ (Post-Trade), ITG Alpha CaptureSM [formerly Plexus™] (Post-Trade), ITG Logic® (Pre-Trade) 800.858.4907 info@itg.com www.itg.com | ITG TCA™ performs global transaction cost analysis on trade executions. ITG Alpha CaptureSM measures cost at every point in the investment process. ITG Logic® is a pre-trade analysis tool that helps manage risk and reduce trading costs. | ITG extracts data from your trade order management system and adheres to rigorous specifications throughout the process. Pre-trade transaction cost estimations source data from file imports or manual entry. | ITG TCA™ post-trade is a daily service. ITG Alpha CaptureSM is updated monthly or quarterly. ITG Logic® pre-trade analysis can be integrated into trade order management blotters for real-time data or accessed with any other periodicity. | ITG TCA™ and ITG Alpha CaptureSM measures the investment process, relating order difficulty to market conditions in the context of peer comparisons and decision returns. ITG Logic® utilizes an econometric model tuned quarterly. | Implementation shortfall, delay costs, volume weighted average price, volume participation metrics and PAEG/L. ITG’s ACE model costs are used to handicap results. | A variety of market prices, quotes and averages, including Participation Weighted Price (PWP) for 60 markets using all ticks and sizes. | Pre-trade estimates are available. ITG Logic®, incorporating ITG’s Agency Cost Estimator (ACE), is embedded in ITG TCA™ and in EMS and OMS blotters. Intra-day cost monitoring is available. | Market data is available on a 20 minute delay through ITG TCA™ and ITG Alpha CaptureSM. ITG Logic® and other trading tools deliver information real-time. | Post-trade analysis can be delivered for all of the above. | Yes and customized in content. | ITG TCA™ and ITG Alpha CaptureSM utilize a Unified Data Model that incorporates a variety of situational information such as PM and Broker instructions, news, strategies, organizational hierarchies, fund and account views. | via Internet, over EMS/OMS, download, on-site consulting | Next day or real time, global market coverage, global client service, unlimited transaction volumes, proprietary analytics and metrics, personal consulting and analytic support, largest peer group database, most widely accepted, and continuous innovation. | New analytical frameworks and analyses. Peer analyses; other asset classes | |
| J.P. Morgan | Full suite of pre and post trade analysis available via the web and/or Excel based model. | Based on proprietary market impact models, our analysis is driven off of actual market conditions, realized prices, strategy (algo) and a proprietary market impact model. Contact for further description of the models. | Post trade is collected daily. Market impact is updated daily and monthly. ADV, volatility, intra-day volatility profiles are all updated daily. Risk model is updated daily, correlations updated weekly. | J.P. Morgan analyzes data by first distinguishing between cost and performance. Cost is measured from customers benchmark price. Performance in evaluated using pre-trade estimates, acutal market conditions, J.P. Morgan relative market performance (RPM) as well as various industry benchmarks. | See previous. In addition, analysis is always done on overall performace from the perspective of the funds' overall investment objective. | RPM, VWAP, IS, Arrival, pre-trade, various industry benchmarks. | We offer both pre-trade estimates as well as intra-trade analysis through TAO. Real time post trade analysis and complete TCA feedback loop is incorporated into all of our algo offerings. | Yes, all analysis is based on and incorporates real time market conditions. | J.P. Morgan offers all time frames. We incorporate actual real time data through TCA, post trade at end of the day and the following day through various available benchmarks. | At thist time, JPM offers post trade analysis based on client's exact trading intervals but time cannot be specified. | JPM performs post trade analysis geared towards the client's overall investment objective. Different criteria is used depending on the client's trading style. | via Internet, download, Excel | Through our propreitary market impact model as well as the real time TCA feedback look we are able to differentiate the product offering. | ||
| Mizuho Securities Execution Performance Report Spyridon Mentzas +81-3-5208-3314 spyridon.mentzas@mizuho-sc.com | Mizuho Securities offers execution analysis through our post trade performance report. The report includes the performance of the days orders versus VWAP, previous close, and open, amongst other benchmarks. The detailed report also measures alpha, trend cost, opportunity cost, as well as proprietary market impact cost for each individual security. Pre trade tools to optimize portfolios and execution strategies are currently in development. | Transaction data is received via the order management system, and real-time market data directly from the exchange. | Data is collected real-time, every trading day. | Proprietary execution analysis models. | N/A. | A variety of benchmarks are available and are fully customizable. Our analysis includes performance of the days order versus VWAP, previous close, and open, amongst other cost indicators. | Pre-trade analytic tools are currently in development. | Real-time data will be available for pre-trade analysis. Currently in development. | Real-time data will be available for post-trade analysis. | Yes. Clients are able to view post-trade analysis for any user defined timeframe. | Yes. All instructions are captured onto our database, and are used to compile the execution report. | TCA for futures currently in development. | Mizuho Securities Post Trade Analysis Report offers customizable, intuitive and user-friendly execution analysis. A comprehensive detailed view and a summarized view are available. | Pre trade tools to optimize portfolios and execution strategies are currently in development. We are continually looking to further enhance our analytic products. | |
| Morgan Stanley MS Analytics Morgan Stanley Electronic Trading 212-761-MSET (8653) mset-na@morganstanley.com www.morganstanley.com/mset | Morgan Stanley provides comprehensive transaction cost analysis services via the MS Analytics platform. Customers can receive daily, weekly, monthly, quarterly, or user defined reports on their executions sent to a particular Morgan Stanley trading desk, or across all desks. We also offer customized market impact analysis, such as analysis of performance across different algorithms, or analysis across different broker executions (customer provided). Finally, we offer a web site that allows users to upload executions and perform customized analysis. | Internal sources for both Morgan Stanley execution data and market data. Externally, customers can upload non-Morgan Stanley execution data into our TCA web site for analysis. | Real-time | Shortfall relative to the trader’s benchmarks and post-trade returns (price reversion) 10 minutes, 30 minutes and 60 minutes after execution. In addition, returns are compared to market returns during and after the execution horizon. | Shortfall relative to benchmarks as well as price reversion or momentum post execution completion | Arrival Price (Implementation shortfall), Interval VWAP, Close, Previous Close, Open, Full Day VWAP, Last Price at start of execution. | Yes | Yes | All of the above | Yes | Yes | via Internet, download, Automated email delivery | Equity and fixed income futures, as well as ETFs. | From an analytics perspective, the key differentiator is our post trade returns. Post trade returns measure price movements in 10 minute increments after execution completion. This data provides insight on whether the stock traded reverted after the trade was completed. From a qualitative perspective, Morgan Stanley salespeople are well versed in TCA, and can combine our TCA product with advisory services that assist customers in optimizing their trading strategy. | In Fall of 2008, our TCA product will show breakdowns on where customers are getting filled by execution destination. For example, our European reports will show % executed in the primary market vs. executions in Chi-X and Turquoise |
| Portware Integrated part of Portware Enterprise Sales 212-425-5233 sales@portware.com www.portware.com | Portware aggregates numerous broker and third-party pre-TCA feeds, presenting them in a single trading environment. This allows traders to efficiently analyze, compare and act on pre-trade cost estimates from a variety of sources simultaneously. Users can perform detailed, post-trade analyses against any absolute or calculated benchmark within Portware itself, or generate execution reports that can be automatically submitted to third-party TCA providers and brokers. | Portware has integrated with numerous third-party and broker TCA feeds, giving clients maximum flexibility when choosing their analytics providers. | For pre-/post-trade TCA, data about a client’s pending/completed orders is “pushed” to external TCA providers at the client’s convenience. Analytical data is then automatically retrieved from these providers and displayed in the Portware blotter. | Data is analyzed according to the models used by our integrated TCA partners. | Clients using Portware can benchmark their executions against any criteria. These can include standard benchmarks (arrival price, VWAP, intraday VWAP, prior close, open, etc.) or any other data point that is either calculated in Portware or pulled in from a third party application or data feed. | Portware offers a variety of standard benchmarks out off the box, including VWAP, intraday VWAP, last, mid, close, open, arrival price, etc. Users can create their own benchmarks by importing calculated values or data points, and can also pull in benchmarks from any third-party application or data provider. | Yes, Portware Enterprise offers fully integrated pre-trade analysis, as well as real-time analysis of trades at any point in the trade lifecycle. | Yes, all data is real-time. | Post trade analyses can be performed either in real-time as fills come in, at the end of the day, or the following day, according to client preference. | Yes, Portware can analyze orders based on any criteria (such as time of day, account, execution destinations, market capitalization, etc). | Post-trade analyses can examine data at any level of granularity, and can incorporate non-quantitative trade information (including linkage to a portfolio management group, specific account, etc.) | over EMS/OMS, download | Pre- and post trade analytics are available for any asset classes that are supported by our TCA partners and by Portware Enterprise (equities, futures, options and FX). | Using multiple independent TCA services/platforms or single-broker front ends introduces “swivel chair” problems and a host of workflow inefficiencies. Portware users can view and act on TCA from multiple different providers in a single screen, driving efficiencies and allowing traders to automate processes that previously were managed using several different applications. In addition, users can store and analyze their own trading related data in Portware and combine these analyzes with third party TCA feeds to get a comprehensive view of their execution quality. | |
| Pragma Securities Trade Engine TCA David Margulies 203-862-4564 dmargulies@weedenco.com www.pragmafs.com | Pragma@Weeden provides a full TCA package thay includes pre, post and real-time transaction cost analysis. | Direct market data feeds, TAQ database and other relevant databases. | Real time and daily data collection. | The data is scrubbed for errors, databased and proprietary software is used to analyze the data. | N/A | Implementation Shortfall and VWAP. | Yes. A full pre-trade analysis can be run with different scenarios. In addition, real-time analysis is available while executions are occuring. | Yes. We use real-time data for all analysis. | Post-trade data is analyzed using real-time data. | Yes. You can run the analysis on any time frame including multi-day executions. | Not at this time. | via Internet, download, Trade Engine - Execution Platform | Currently it is available only for equities. | We use our own impact models based on a large dataset of trades. We do not use any "off-the-shelf" models. All models are developed in-house. | |
| Quantitative Services Group LLC T-Cost Pro Jacqueline Jones 630-637-8088 x 219 jjones@qsg.com www.qsg.com | QSG® provides patent-pending tick-based transaction cost analysis on a T+1 basis. The TCA is ‘tick-based’ in the sense that every execution within an order is mapped back to the tape, allowing us to analyze a trader’s individual impact or ‘footprint’ on a stock price. In other words, we are empirically measuring the impact an individual trader, strategy, or algo has on a stock. As a result of this analysis, QSG has defined new metrics that lead to new insights for PMs and Traders to improve the efficiency of their investment process. Additionally, we offer the traditional benchmarking TCA that compares client’s averaged execution prices to just about every benchmark in the industry. We’ve built a research platform called T-Cost Pro™ that allows the user to easily organize this information in ways that provide a one-stop access to insights into their trading behavior. | Comstock and Reuters. | Daily | Every night, each client’s daily executions are mapped to the ticker tape and analyzed. By matching each execution to the tape we are able to attribute the client’s Execution Differential (implementation shortfall) into two components: (i) the Liquidity Charge, which measures the impact the client has had on the stock price, and (ii) the Timing Consequence, which is the price drift resulting from competing order flow. In this way we are able to gain empirical insight into how well the trader, strategy, or algo achieved Best Execution. Clients’ average execution prices for every order are also compared to nearly every popular benchmark in the industry. | QSG’s T-Cost Pro research platform allows the user to measure trends in broker execution by any of the traditional benchmarks offered as well as QSG’s proprietary metrics (described above). QSG also supplies numerous liquidity management, spread management and execution quality metrics on which brokers can be sorted. | Some of the benchmarks offered are Previous Nights Close, Trade Day Open, Arrival Price, Market @ First Trade, Market @ Last Trade, Bid/Ask MidPoint @ Close, Trade Day Close, Interval VWAP, 1st Market Close VWAP, Full Day VWAP, High, Low, Bid Price and Ask Price. We also provide custom benchmarks for clients who are interested in expanding on their benchmark analysis. | QSG supports another research platform called Pre-Trade Analyst® that leverages QSG’s tick-based analytics to make cost estimates for single names and trade lists. QSG is also developing a platform for pre- and post-trade intra-day analysis though not currently offered commercially. | This product is currently in development but is not available at press time. | Currently analysis is T+1. Our real-time analytics product is currently in development. | Yes. | Yes | via Internet, over EMS/OMS, download | Currently, no. | QSG maintains uniqueness in the industry with its highly granular tick-based analytics. Instead of making theoretical assumptions about market impact and opportunity cost, QSG empirically measures these sub-categories of transaction costs, allowing traders and PMs to more-effectively understand trends in costs with respect to brokers, destinations, exchanges, and algorithms. QSG also offers its clients the expertise of dedicated trading analysts to ensure all our services remain relevant and efficient. | QSG offers international TCA as well. Another enhancement QSG provides is daily/weekly/monthly reporting capabilities that can be customized and set for auto-delivery at the user level. |
| Rosenblatt Securities Inc. (RSI) Rosenblatt Integrated Transaction Analytics (RITA) Scott Burrill, CFA or Joe Gawronski 212-943-5225 sburrill@rblt.com or jgawronski@rblt.com www.rblt.com | Working as a value-added advisor, we not only assess trading performance, but also help desks produce urgency estimates, classify orders properly and develop decision trees in order to more closely link trading to the investment process and alpha capture. | Real-time exchange data from Bloomberg feed to generate analytics. | The data is collected real-time and historically. | Data is aggregated, calculated and reported via email and intranet in a user-friendly generic report generated with visualization software with drill-down detail which can be customized depending upon client's requirements. | Execution performance is compared relative to proprietary pre-trade market impact estimates and multiple benchmarks such as arrival price, close, prior close, VWAP and interval VWAP, and execution efficiency. | Arrival , Open, High, Low, Close, VWAP, Interval VWAP, and Client-Specified. | Yes. | Yes, real-time for pre-trade and post-trade | Available real-time, end-of-day and the following day. | Yes, any client-specified timeframe including multi-day. | Yes, that is a core distinctive. | Email and FTP | Not at this time. | Our sweet spot is not collecting data for compliance/marketing purposes, but rather the interpretation of that data. Our tools were developed by a buy-side practitioner and provide actionable insights for trading strategy/tactics. They also uniquely integrate trading into the investment process, a connection missing from many other tools that are trading desk myopic. | Next generation models in development and pre-trade will be made available via Bloomberg. Suite of tools will be made available via the internet as web-based application. |
| StreamBase Systems, Inc. StreamBase StreamBase Sales +1 781-761-0800 sales@streambase.com www.streambase.com | StreamBase’s Event Processing Platform enables the rapid implementation of trade execution strategies, and the StreamBase processing platform enables real-time TCA to help pinpoint exactly where and when costs occur in open orders and completed transactions. | ||||||||||||||
| Tethys Technology, Inc. Total TCA Sales (212)509-5625 Sales@TethysTech.com www.TethysTech.com | Total TCA comes in two versions. For the users of our front-end Execta Total TCA comes with the service where pre-trade, post-trade and real-time analysis is available directly on the blotter. An algo choice module and comparison module help traders decide between various algorithms. As a separate product, Tethys offers TCA Server where clients can call upon our quantitative models to populate customized reports. | Transactional data comes directly from our EMS or alternatively can be loaded or called from any external database. | Data is collected and analyzed in real-time with dynamic updates to modeling. | Execta EMS as a platform for opportunity detection and automated execution allows the user to automate trade decision based upon feedback from trade analysis. As market conditions change the system can adapt in real-time to account for anomalies in the market. | Both proprietary and broker algorithm performance is measured using various benchmarks. As client builds a database of performance measures he can use our comparison module to help him decide on execution venue by analyzing performance of similar trades. A comparison of risk adjusted pre-trade estimate and actual performance is also available. | VWAP day, traded VWAP, Arrival, open, close, high, low, last and custom. | Yes | Yes | All | Custom, Yes. | Yes | via Internet, over EMS/OMS, API | Yes, Post-Trade analysis is available across equities, options, futures and FX. Pre-trade is for equities only. | By combining execution across asset classes with quantitative analytics Execta users have the unique ability to adapt trades in real-time to their specifications. The algo choice & comparison module is a truly broker neutral solution that delivers unbiased trade analysis. Both single security and list pre-trade and post-trade TCA is offered The system actually helps traders select algorithms that are best suited to the orders in question. Real-time updates allow traders to detect underperforming trading destinations. | TCA server is being rolled out where clients can call upon our database without using the Execta front-end. |
| Thomson Reuters Global TCA 312-236-4500 tta.sales@thomsonreuters.com http://www.thomsonreuters.com/products_services/financial/Global_TCA | Global TCA provides an independent, cost effective, post-trade Transaction Cost Analysis service in global equities & listed futures & options. Our broad set of benchmarks are calculated using cross market data, allowing users to establish their performance against a single defined execution venue or across venues chosen by the client. | Transaction data at parent order, child order and, where appropriate, individual fills are extracted from the client's OMS/EMS systems. We have developed a number of standard adaptors to support extracts from a wide range of these systems. Comparative benchmarks are calculated using Thomson Reuters' unrivalled historic TIC data. | The standard service is offered on a T+1 basis with clients' data uploaded daily, weekly, monthly or even quarterly if preferred. A real time alternative is also available as a premium service. | Multiple benchmarks are calculated against each order and execution, where required, and stored against each record. Clients are able to select the venues from whose data the benchmarks should be calculated. | The full suite of benchmarks are available. Orders and/or trades can be aggregated to show performance against multiple inputs including broker. | Industry standard benchmarks, including multiple variants of implementation shortfall, HLOC, Multiple VWAPs including Period, Day & Consumption VWAPs. All benchmarks are calculated based on the clients' choice of source venues for the data. | End of day for our standard service and real time for our premium service. | Yes | Qualitative data can be included in the upload to the system. Performance statistics can be analyzed and summarized by attributes such as manager instructions, portfolio management group and more. | The reporting tool is provided in a web based application. This is very flexible and supports multiple filter criteria to allow different reports to be run against the data. Standard reports can be scheduled to be generated and delivered to an individual's email account or an FTP account. | Coverage includes equities and options with additional asset classes to be added. | With access to Thomson Reuters’ world class market data, Global TCA compares transactions against trade and pricing data from an extensive set of global execution venues. Outside of the US, Global TCA derives its own consolidated pricing and trade data based upon sources selected by the customer. We support a broad range of industry standard and custom TCA benchmarks, and we are fully transparent about our methods of calculation. The service is independent of brokers, execution venues and trading systems and is fully automated, from customer data sourcing through analysis and report generation & distribution. Our data processing is optimized to handle the largest data sets and at varying frequencies. | |||
| UBS Investment Bank UBS Fusion Matt Scoble (NY) Ross Hutcheon (SF) (NY) 212-713-9605 (SF) 415-352-5606 http://fusion.ubs.com | UBS Fusion is our comprehensive, real-time trading analytics platform that includes transaction cost analysis, a suite of in-market tools such as trading Alerts, UBS PIN liquidity snapshots and a wide array of downloadable reports and analysis tools. Our real-time analytics continously update while the orders are live, allowing clients to monitor how orders are performing across all venues - including the Exchanges, alternative markets and dark pools - so in their EMS they may adjust their strategy and parameters as needed. Our fast, user-friendly web interface lets clients log into our analytics platform and easily interact with, filter and drill down into the data to evaluate their order. | UBS Fusion's transaction cost analytics deliver real-time and historial transaction data on clients' UBS orders. | All of our data anaylsis is done in real-time - up to the second. Clients may also elect to receive end-of-day or other summary reports. | Using UBS's proprietary technology, we track order execution data by venue with great transparency, and analyze clients' live orders and executions against appropriate benchmarks. We continuously capture and retain this data to provide clients with up-to-the-second analytics or highly granular historial post trade evaluation, filtered in the way a client prefers. | Not applicable. UBS Fusion analyzes order flow traded electronically with UBS. | VWAP, Arrival Price and Reversion (prices after trading is finished). | Yes. UBS Fusion provides pre-trade estimates for single stock as well as portfolio trading, and real-time, intra-trade analysis. | Yes. UBS Fusion is built with best-of-breed technology, using real-time feeds of orders, trades and market data so there is no latency. As a result, all U.S. clients have access to continuous, real-time analytics for their orders. | They may be all of the above. We provide Post-Trade TCA in real-time. So clients don't have to wait until the end of the day, the second the order executes, UBS Fusion analyzes it and the report is available. Clients can also receive Post-Trade reports at the end of the day, the following day or any other timeframe they chose. | Yes. Clients can quickly and easily customize the timeframe for Post-Trade reports to their exact specfications. | Not at this time. | via Internet, over EMS/OMS, download, UBS Pinpoint | UBS Fusion supports Equities at the current time. | UBS Fusion is a real-time, transparent trading analytics platform that adds optimal value to trading decisions because it gives clients a clear understanding of how various trading destinations are performing while orders are still active, enabling them to adjust their orders in the pursuit of better execution. Being totally integrated into the client's daily workflow enhances their ability to react and reduce slippage up to the second. | The UBS Fusion platform is continuously refined and evolved in response to our clients' feedback and we are rolling out UBS Fusion to other regions around the world. |
