San Jose Police and Fire. Trade Cost Summary - Global Equity Trading Period End December 31, 2012

Transcription

1 Trade Cost Summary - Global Equity Trading Period End December 31,

2 Executive Summary Of Results OVERVIEW: Elkins/McSherry ran a Global Equity Trade Cost Analysis Report for The City of San Jose - Police & Fire. The report was based two Managers and one Equity Transition Manager; RUSSELL EMERGING MKTS, RS INVEST, EQUITY TRANSITION ACC. Their overall results, with an analysis, are listed below. RESULTS: Overall, The City of San Jose - Police & Fire results were positive against a Full Day benchmark. EQUITY TRANSITION ACC, RS INVEST, RUSSELL EMERGING MKTS had positive results all beating the Elkins/McSherry commission universe and the Elkins universe. CONCLUSION: Overall, The City of San Jose - Police & Fire had low execution costs and Best Execution was achieved. 2

3 EXECUTIVE SUMMARY Elkins/McSherry has been providing trading cost analysis to institutional investors since 1991, serving many of the worlds largest investment managers, pension funds, banks, and broker dealers. Using this vast experience combined with an un-matched collection of global equity market and data, Elkins/McSherry has produced a Trading Cost Analysis on behalf of San Jose Police and Fire. This study evaluates global equity executions from October 1, 2012 to December 31, The analysis included trading of 98,802,836 shares representing $1.03 billion in principal across 39 countries. Methodology : The Elkins/McSherry analysis measures trading efficiency by quantifying the cost of brokerage commission, fees, and execution quality versus an Full Day benchmark for each of the securities traded. These data have been separated to summarize results, by Buy/Sell, s, Market Impact, Short Term Alpha, Market Cap, Country, Trade Difficulty, and Highest and Lowest Cost Trades. These results are quantified in USD and Basis Points (BP) as well as being displayed graphically to highlight the outcomes. Results : BENCHMARK PERFORMANCE Fees Full Day Your commission cost was bp or +$411,238 (10.54 bp better than the Elkins/McSherry ) Your fee cost was bp or +274,157 (+0.11 bp worse than the Elkins/McSherry ) Your market impact savings was 0.82 bp or 5.55 bp better than the Elkins/McSherry Your overall trading cost of bp was bp better than the Elkins/McSherry. San Jose Police And Fire trading was higher than the Elkins/McSherry in 18 countries and lower than the Elkins/McSherry in 21 countries. 3 of your brokers had trading cost higher than summary universe of countries (principal weighted) in which they traded. 14 of your brokers had lower trading cost. Rank: 61 The E-Score analysis begins by measuring the daily standard deviation for that stock in order to assess the level of volatility. Then, the client s trade execution is measured in terms of the number of standard deviations from the. Finally, the distance in units of standard deviation from the for allof the clients trades are averaged and compared to the universe of Elkins/McSherry E-Score clients. This gives the client a fair, detailed assessment of how well the trades were executed, with a percentile daily ranking. 3

4 EXECUTIVE SUMMARY TOTAL PORTFOLIO COST PERFORMANCE COMMISSION Fees MARKET IMPACT Total Cost Total Cost/Savings Vs. Side Your Avg. Bundled All Trading Fees Full Day Full Day +Fees Full Day Rank (bp) (bp) (bp) (bp) (bp) (bp) (bp) (bp) (bp) (%) Buy Sell Total TRADING COMPONENTS Buys Sells Trade Principal 369,099, ,519,450 Shares 19,145,632 79,657,204 Unique Names 3,398 1,086 Liquidity (% POV) Avg. Order Size 5,260 67,621 Avg. Order Completion Time (min) 639 1,027 Total Number of Trades 3,640 1,178 4

5 EXECUTIVE SUMMARY Country Principal Total Principal Traded COUNTRY PERFORMANCE COMMISSION FEES MARKET IMPACT Bundled Fees Fees Full Day Full Day Total Cost Diff. From ($ Millions) (%) (bp) (bp) (bp) (bp) (bp) (bp) (bp) Rank HIGHEST COST COUNTRIES - Total Cost Difference POLAND <1 0.08% AUSTRIA <1 0.10% IRELAND - SELLS % KOREA - SELLS % GREECE <1 0.07% BELGIUM % NETHERLANDS % FINLAND % GERMANY % FRANCE - SELLS %

6 EXECUTIVE SUMMARY Country Principal Total Principal Traded COUNTRY PERFORMANCE COMMISSION FEES MARKET IMPACT Bundled Fees Fees Full Day Full Day Total Cost Diff. From ($ Millions) (%) (bp) (bp) (bp) (bp) (bp) (bp) (bp) Rank LOWEST COST COUNTRIES - Total Cost Difference HONG KONG % COLOMBIA <1 0.08% INDONESIA % PORTUGAL % ISRAEL % MEXICO <1 0.06% U.K. - SELLS % SINGAPORE % SPAIN % U.S % JAPAN % MALAYSIA % NEW ZEALAND <1 0.03% DENMARK % CANADA % ITALY % TURKEY % BRAZIL % IRELAND - BUYS <1 0.06% PHILIPPINES <1 0.07% AUSTRALIA % U.K. - BUYS % SWITZERLAND %

7 EXECUTIVE SUMMARY Country Principal Total Principal Traded COUNTRY PERFORMANCE COMMISSION FEES MARKET IMPACT Bundled Fees Fees Full Day Full Day Total Cost Diff. From ($ Millions) (%) (bp) (bp) (bp) (bp) (bp) (bp) (bp) Rank LOWEST COST COUNTRIES - Total Cost Difference FRANCE - BUYS % SOUTH AFRICA - SELLS % THAILAND % SWEDEN % NORWAY % CHILE %

8 TRADE CYCLE DETAIL MANAGER PERFORMANCE (FULL DAY ) COMMISSION MARKET IMPACT TOTAL COST/ SAVINGS +Fees+Full Day Vs. TREND Manager Principal Traded Total Orders Traded % Principal Avg. Principal Bundled Full Day Full Day + Fees+Full Day Vs rd 20122nd 20121st ($ Millions) ($) Rank (bp) (bp) (bp) (bp) (bp) (bp) (bp) (bp) EQUITY TRANSITION ACC 751 4, % 157, RUSSELL EMERGING MKTS % 67,658, RS INVEST % 78, Manager above made up % of principal traded. NOTES 8

9 TRADE CONTRIBUTIONS Cost\Savings Performance Category Principal USD # of Trades Avg. Market Impact (bp) Percentage of all Cost/Savings 10 High Cost Trades 159,940, % Cost Trades 637,215,224 2, % Saving Trades 388,403,376 2, % 10 Low Cost Trades 25,978, % 9

10 TRADE LEVEL DETAILS 10 High Cost Trades (Full Day ) Side Country Security Trade Date Principal ($) Cost (%) Full Day (bp) Manager Exbroker Sell KOR SAMSUNG EL ,433, % TRAN MACQU Sell NTH AKZO NOBEL ,995, % TRAN INSTI Sell FRA CARREFOUR ,788, % TRAN INSTI Buy US ISHARES MS ,885, % RUSSE MERRI Sell AST COMMONWEAL ,821, % TRAN INSTI Sell JAP FAST RETAI ,828, % TRAN INSTI Buy US ISHARES MS ,889, % RUSSE ITG Sell AST AUST AND N ,302, % TRAN INSTI Sell SWI NOVARTIS A ,198, % TRAN INSTI Sell NTH UNILEVER N ,797, % TRAN INSTI 10 Low Cost Trades (Full Day ) Side Country Security Trade Date Principal ($) Savings (%) Full Day (bp) Manager Exbroker Sell JAP SOFTBANK C ,205, % TRAN INSTI Sell HKG PETROCHINA ,952, % TRAN INSTI Sell US EXXON MOBI ,742, % TRAN MERRI Sell SPA INDITEX ,311, % TRAN INSTI Sell JAP SEVEN + I ,092, % TRAN INSTI Sell FRA STMICROELE ,938, % TRAN INSTI Sell HKG CHINA PETR ,809, % TRAN INSTI Sell UK WOLSELEY P ,446, % TRAN INSTI Sell HKG CHINA OVER ,376, % TRAN INSTI Sell US GENERAL EL ,103, % TRAN ITG 10

11 Trade Cost Summary - U.S. Equity Trading Period End December 31,

12 Executive Summary Of Results OVERVIEW: Elkins/McSherry ran a US Equity Trade Cost Analysis Report for The City of San Jose - Police & Fire. The report was based on two Managers; RS INVEST SM CAP VAL, RHUMBLINE RUSSELL Their overall results, with an analysis, are listed below. RESULTS: Overall, The City of San Jose - Police & Fire results were positive against a Full Day benchmark. RS INVEST SM CAP VAL had positive result with an 85% ranking in the 90% versus the Elkins universe. RHUMBLINE RUSSELL 3000, lost to the Elkins/McSherry universe and ranked in the 6%. Further, RHUMBLINE RUSSELL 3000 was your only manager that had a commission average lower than the Elkins universe. CONCLUSION: Overall, The City of San Jose - Police & Fire had low execution costs and Best Execution was achieved because RS INVEST SM CAP VAL made up the over 95% of the trading volume. San Jose Police & Fire 09/01/ /30/2012 (U.S. Equity) 2

13 EXECUTIVE SUMMARY Elkins/McSherry has been providing trading cost analysis to institutional investors since 1991, serving many of the worlds largest investment managers, pension funds, banks, and broker dealers. Using this vast experience combined with an un-matched collection of global equity market and data, Elkins/McSherry has produced a Trading Cost Analysis on behalf of San Jose Police and Fire. This study evaluates U.S. equity executions from October 1, 2012 to December 31, The analysis included trading of 1,681,145 shares representing $33.20 million in principal. Methodology : The Elkins/McSherry analysis measures trading efficiency by quantifying the cost of brokerage commission and execution quality versus a Full Day benchmark for each of the securities traded. These data have been aggregated to summarize results by Buy/Sell, s, Market Impact, Short Term Alpha, Market Cap, Trade Difficulty and Trade Detail. These results are quantified in USD as well as being displayed graphically to highlight the outcomes. Results : BENCHMARK PERFORMANCE Your commission cost was cps ( bp) or +$42,426 (+0.32 cps (+1.64 bp) worse than the Elkins/McSherry All Trading ) Full Day Your market impact savings was 0.52 cps (2.65 bp) or 1.72 cps (8.72 bp) better than the Elkins/McSherry Your overall trading cost of cps ( bp) was 1.40 cps (7.08 bp) better than the Elkins/McSherry Full Day Rank: 85% Total Cost Rank: 80% E-Score Rank: 81 Using the Elkins/McSherry E-Score, the day s overall trading range is taken into consideration to more accurately assess trade quality (cps) ELKINS/MCSHERRY UNIVERSE VALUES Bundled All Trading Execution Only Program The E-Score analysis begins by measuring the daily standard deviation for that stock in order to assess the level of volatility. Then, the client s trade execution is measured in terms of the number of standard deviations from the. Finally, the distance in units of standard deviation from the for all of the clients trades are averaged and compared to the universe of Elkins/McSherry E-Score clients. This gives the client a fair, detailed assessment of how well the trades were executed, with a percentile daily ranking. Market Impact (cps) Full Day Median % % (U.S. Equity) 3

14 EXECUTIVE SUMMARY Side Your Avg. TOTAL PORTFOLIO COST PERFORMANCE COMMISSION MARKET IMPACT Total Cost Total Cost/Savings Vs. All Trading Bundled Full Day Full Day + Full Day (cps) (cps) (cps) (cps) (cps) (cps) (cps) (Rank) Buys Sells Total TRADING COMPONENTS Buys Sells Trade Principal 15,425,692 17,774,394 Shares 760, ,509 Unique Names Liquidity (% ADV) Avg. Execution Size 1,955 2,330 Avg. Order Completion Time (min) Total Number of Trades (U.S. Equity) 4

15 TRADE CYCLE DETAIL Manager Performance (Full Day ) COMMISSION MARKET IMPACT TOTAL COST/SAVINGS RANK TREND - Full Day Manager Principal Traded (USD/Mil) Shares Per Order Total Shares (Rank) Your Avg. (cps) All Trading (cps) Full Day (cps) Rank Full Day +Full Day Vs RD (%) 20122ND (%) 20121ST (%) RS INVEST SM CAP VAL 33 2,165 1,680, % RHUMBLINE RUSSELL 3000 < , % ELKINS/MCSHERRY UNIVERSE VALUES NOTES (cps) Market Impact (cps) Bundled All Trading Execution Only Program Full Day (U.S. Equity) 5

16 TRADE CONTRIBUTIONS Cost\Savings Performance Category Principal USD # of Trades Avg. Market Impact (cps) Percentage of all Cost/Savings 10 High Cost Trades 1,890, % Cost Trades 16,418, % Saving Trades 16,781, % 10 Low Cost Trades 1,331, % (U.S. Equity) 6

17 TRADE LEVEL DETAILS Side Security Trade Date Shares Cost (%) 10 High Cost Trades (Full Day ) Full Day (cps) Manager Buy LPLA 2012/11/13 4, RS INVEST ITG Broker Buy AOL 2012/11/09 4, RS INVEST AQUA SECUR Buy CPN 2012/10/18 7, RS INVEST PIPER JAFF Sell GME 2012/11/19 7, RS INVEST ITG Buy VCLK 2012/10/18 4, RS INVEST PULSE TRAD Sell CMP 2012/11/27 3, RS INVEST PIPER JAFF Buy TUP 2012/11/09 3, RS INVEST PIPER JAFF Sell GME 2012/11/27 8, RS INVEST PIPER JAFF Sell CPN 2012/11/26 16, RS INVEST PIPER JAFF Sell ACXM 2012/11/27 10, RS INVEST PIPER JAFF Side Security Trade Date Shares Savings (%) 10 Low Cost Trades (Full Day ) Full Day (cps) Manager Broker Buy MDRX 2012/12/20 29, RS INVEST CITIGROUP Sell GME 2012/11/15 6, RS INVEST ITG Sell HAR 2012/11/02 4, RS INVEST ITG Sell GME 2012/11/15 2, RS INVEST STERNE, AG Sell STR 2012/11/09 6, RS INVEST PIPER JAFF Sell HNT 2012/11/05 4, RS INVEST ITG Sell EHTH 2012/11/27 5, RS INVEST PIPER JAFF Sell AVY 2012/11/09 5, RS INVEST PIPER JAFF Sell GME 2012/11/15 3, RS INVEST INSTINET Sell GME 2012/11/15 1, RS INVEST ISLAND TRA (U.S. Equity) 7