Sanford C. Bernstein
Strategies
Algo strategies offered by the broker include
Shadow (dark liquidity), Ninja (active liquidity aggregation), Price Capture
(implementation shortfall), VWAP, Ice Ninja (active liquidity aggregation with
intelligent posting), Intraday Strike, In Line, TMX (time slice), Participate,
Would or Work, Passive, Smart DMA, Smart MOC, Peg, Pairs (statistical
arbitrage, merger arbitrage, ratio and spread trading), and Cash Fall
(portfolio level implementation).
Key functionality
Bernstein takes an unbiased approach to proactively
sourcing liquidity with the focus on institutional client performance. Clients
can tailor algo parameters to meet their investment requirements. Parameters
include the ability to link multiple single-stock strategies for cash
balancing, apply limits relative to another security or index and detailed ‘I
would’ functionality.
Support
Bernstein seeks to tailor its strategies to match
clients’ benchmark objectives. Aggression levels and venue selection are
profiled on a per client basis. Bernstein’s team of quantitative analysts offer
a quick turnaround for design and implementation of custom strategies or
changes in algorithmic behaviour to match client needs.
Detailed multi-day post-trade analytics assist Bernstein
in advising on trade aggression, strategy selection and parameter usage.
Bernstein’s global electronic trading group, execution consulting and portfolio
trading strategy teams provide expert opinion and analysis.
Access
Bernstein algorithms are available via all major
order and execution management systems.
Routing
Bernstein algorithms access more than 150 execution
venues across 35 markets. The firm takes a quantitative approach to assessing
venue quality and order types and evaluates new sources of liquidity as they
become available. Routing logic is specific to the strategy chosen, level of
aggression and venue characteristics.
Future plans
Bernstein plans to offer more emerging markets
algos and improve its ability to proactively navigate across multiple trading
venues, filtering out less desirable trading counterparties.