Small Cap Liquidity in 2013

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1 Small Cap Liquidity in 2013 A Year Over Year Comparative Analysis Weeden Program Trading Group January 2014 Disclosure: This publication is prepared by Weeden & Co.'s trading department, and not its research department. This publication is for information purposes only and is based on information and data from sources considered to be reliable, but it is not guaranteed as to accuracy and does not purport to be complete and are subject to change without notice. This publication is neither intended nor should be considered as an offer or the solicitation of an offer to sell or buy any security or other financial product. Nothing contained herein is intended to be, nor shall it be construed as, investment advice. Information contained herein provides insufficient information upon which to base an investment decision. Any comments or statements made herein do not necessarily reflect those of Weeden & Co. LP or its affiliates Weeden & Co. LP. 1

2 Abstract & Introduction US Equity Volumes Level Out in Down ~2% YOY Fig. 1 6,494 6,362 The Components of Liquidity 7,920 8,651 8,523 Broad U.S. equity volumes began to stabilize in 2013, declining only 2% year over year. This was a far cry from the sharp declines we have seen over the past few years, where volumes were down 7% in 2011 and 18% in This study builds on our piece last year, where we concluded that these sharp decreases did not adversely affect small cap liquidity. Small cap average daily volume fell much less than the overall market and small cap block trades averaged both larger sizes and quantities. Despite recent improvements relative to larger stocks, concerns over the impact decimalization has had on small cap liquidity over the past years has led to another issue that we mentioned in our note last year government regulation aimed at increasing liquidity in small cap names. To date the original proposal to increase small cap liquidity outlined in the 2011 Jobs Act, which set out to create minimum tick sizes, has not been implemented and doesn t appear anywhere close to becoming law. Although overall U.S. liquidity has begun to level out, its characteristics continue to evolve, with more turnover coming in the last hour of the day. This is especially true for small cap names, which continue to trade an increasing and disproportionate amount of their daily volume on the close. This shift has been beneficial for groups that traditionally trade %MOC Up YOY - Small Caps Trade More on Close exclusively on the close (i.e. indexers) 8% and has made the close essential for 7% SP5 SP6 others looking to trade large chunks of 6% ADV without impacting price. In this updated study we will look at many of the same factors of liquidity such as block trades, spreads, and where/when volume is trading. 5% 4% 3% 2% 1% 0% Fig. 2 2

3 Monthly ADV (MM) Trading Small Caps in 2013 In this study, we use the S&P 600 as our universe for small cap stocks, and start by comparing their volumes to overall U.S. equity market volumes. Small Cap volumes did not experience a decline in 2013 like large caps, whose volumes fell almost 15%. Average daily volume was actually up nearly 2% for the small cap stocks in our universe, year over year. o Fig. 3 shows how strong the fourth quarter was for volumes when compared to 2012 (Up 16% relative to the same time last year) 300 Small Cap ADV by Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Fig. 3 The resurgence of block trading that we briefly talked about in our last note has continued with both small cap block frequency and size increasing year over year. December and November were particularly strong months for block trading relative to the same time period in Avg. Blocks Per Day Avg. Block Size Year Year Dec 2012 Dec 2013 Nov Nov Fig ,000 26,000 24,000 22,000 3

4 Along with changes in block trading, another important measure of liquidity spreads also changed more than in recent years. Last year we saw an almost perfect 1:1 relationship between S&P 600 spreads in 2012 and This year, spreads increased for almost 2/3rds of the S&P 600, with the median spread for the universe 6% higher than in Unsurprisingly, we continued to see prohibitively high small cap spreads in some names. In 2013 almost 10% of the S&P 600 had an average spread greater than or equal to 50Bps, close to double 2012 statistics. Median Spread for S&P 600 by Year Fig. 5 Capturing Small Liquidity An increase in overall volume coupled with more block trades at bigger sizes point to a healthier small cap market place, at least in terms of liquidity. In the next section we ll take a look at how best to take advantage of small cap liquidity, especially in these changing conditions. Market on Open, Market on Close Last time we updated Fig. 6, small cap MOC size was growing at a rate of almost ½ a basis point per day since the end of the 2Q Although this growth rate slowed somewhat in 2013, the amount of small cap volume that trades on the close continues to increase at an impressive rate. In 2013 the average percent of daily volume on the close was 7.7%, compared to 7.4% in If we look back even further it was 2.0% in All of this points to how imperative it is to participate on the close when trading small cap names. In contrast, the percent of daily volume on the open hasn t budged from ~1.5% since % 30% 25% 20% 15% 10% 5% 0% Small Cap MOC Volume Continues to Increase Fig. 6 4

5 Large caps trade in a much more liquid market, but only trade about 5% of their daily volume on the close. If traders use a VWAP schedule constructed with a large cap universe, they are inadvertently underweighting the close and last hour of the day when trading small cap names. 25% 20% 15% 10% 5% 0% Avg. % of Volume During Last Hour SP6 SP5 Fig. 7 3:15 3:30 3:45 4:00 One notable trend that we expanded on last year was the difference between large and small cap stocks in the last hour of trading. Historically, small cap names have traded much more of their volume in the last hour of the day relative to large caps. While this is still true it appears that the gap between large and small cap narrowed when compared to In 2013, S&P 600 stocks traded roughly 35% of their daily volume in the last hour of the day, while S&P 500 stocks traded only 30% (both including the close). Venue Breakdown Knowing when volume trades is only part of the battle. We also wanted to take a look at where volume is trading and how it may differ from what we see with the broader market. Indeed, there were a couple of things that surprised us regarding which venues saw the bulk of small cap volume: In our 2013 Fact Book we constructed a full-year venue break down, which displayed the % of average daily volume attributable to each venue that reports to the tape. We saw that off exchange volume (Finra ADF) made up 36% of average daily volume, with NYSE and Nasdaq combining for only 27% Though illiquidity may make one think he/she should be sourcing liquidity in dark venues, the average S&P 600 security trades 44% of its volume on Nasdaq, and less than 30% off the exchanges (Fig. 8) 3.05% Boston NYSE Mkt Avg. % of Daily Volume by Destination 4.7% 7.8% 9.2% 9.3% BATS Direct Edge Fig. 8 Arca 30% 31% FINRA ADF 5 44% NYSE Nasdaq

6 Other than off exchange volume, we see small cap stocks trade a smaller percentage of their ADV on Direct Edge, BATS, and Arca relative to larger stocks. o That being said, two regional exchanges capture a large percentage of S&P 600 ADV than they do for large cap stocks: 1. Nasdaq Boston (An inverted venue) 2. NYSE MKT (Formerly Amex) NOTE: Four S&P 600 stock are listed on NYSE MKT, likely skewing this number. No S&P 500 or 400 stocks are listed on NYSE MKT Contacts Matthew Ciccone Director of Quantitative Strategy Weeden Program Trading Group Judd Schwab Quantitative Desk Analyst Weeden Program Trading Group All Market Data is from Bloomberg or NYSE TAQ Disclosure: This publication is prepared by Weeden & Co.'s trading department, and not its research department. This publication is for information purposes only and is based on information and data from sources considered to be reliable, but it is not guaranteed as to accuracy and does not purport to be complete and are subject to change without notice. This publication is neither intended nor should be considered as an offer or the solicitation of an offer to sell or buy any security or other financial product. Nothing contained herein is intended to be, nor shall it be construed as, investment advice. Information contained herein provides insufficient information upon which to base an investment decision. Any comments or statements made herein do not necessarily reflect those of Weeden & Co. LP or its affiliates Weeden & Co. LP. 6

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