The Abel Noser Floor Broker Execution Quality report for the 4 month period ending March 2016 documented some significant results. They reflect the value that institutional floor brokers deliver to their institutional clients. Here are a few of the highlights.
Broker Interval VWAP
- Broker Interval VWAP compares the NYSE Floor Broker average execution price with the VWAP from the time the Broker received the order until the last fill of the order on trade day.
- From October 2015 to April 2016, the NYSE floor brokers outperformed the VWAP by +0.26 basis points (bps), which was 0.73bps lower than the Abel Noser Universe* median cost of -0.47 bps.
- NYSE floor brokers consistently outperformed the Abel Noser Universe for the past four months, resulting in cost savings of $14 million for clients.
Broker Placement Strike
- Broker Placement Strike compares the NYSE Floor Broker average execution price with the price where the stock was trading at the time the order was received by the Broker. The “strike price” is defined as the Volume Weighted Average Price (VWAP) of the first minute from time of placement.
- From October 2015 to April 2016, the NYSE executed to within -3.69 basis points (bps) of their broker placement strike, which is 1.05 bps lower than Abel Noser Universe.
- NYSE has outperformed the Abel Noser Universe for Broker Placement Strike in four consecutive months, resulting in a cost savings of $20 million dollars for clients of the NYSE during that four month time period.