Phil mackintosh (tabb nov 2012)final

559 views

Published on

0 Comments
1 Like
Statistics
Notes
  • Be the first to comment

No Downloads
Views
Total views
559
On SlideShare
0
From Embeds
0
Number of Embeds
30
Actions
Shares
0
Downloads
9
Comments
0
Likes
1
Embeds 0
No embeds

No notes for slide

Phil mackintosh (tabb nov 2012)final

  1. 1. Is the Market Broken?Presented at the TABB US Equity Trading Forum Novem ber 13, 2012 Phil Mackintosh Global Head | Trading Strategy Credit Suisse Nov-12 Slide 1
  2. 2. The Market is Broken… TRADING STRATEGY CREDIT SUISSE SECURITIES (USA) LLC Slide 2
  3. 3. 2 Biggest Problem s for Institutional Traders HFT Liquidity These results reflect responses from a survey sent to all readers of a Credit Suisse Trading Strategy Report on volumes. They reflect a sample of institutional investor views. Full survey results are available here: Volumes in Crisis? What do You Think TRADING STRATEGY CREDIT SUISSE SECURITIES (USA) LLC Slide 3
  4. 4. Liquidity is a Problem Top-line volum es still double 2004 levels Real Money Trading at Decade Lows Source: Credit Suisse Trading Strategy TRADING STRATEGY CREDIT SUISSE SECURITIES (USA) LLC Slide 4
  5. 5. HFT: Does Speed Kill? Source: Credit Suisse Trading Strategy TRADING STRATEGY CREDIT SUISSE SECURITIES (USA) LLC Slide 5
  6. 6. The End of Specialists… Number of times S&P stocks gap by 1% within 1 minute VIX Index: 20-25 5000 4500 Decimalization 4000 Total number of occurences 3500 3000 2500 2000 1500 1000 500 0 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Source: Credit Suisse Trading Strategy TRADING STRATEGY CREDIT SUISSE SECURITIES (USA) LLC Slide 6
  7. 7. HFT: Order Type and Venue Arb Source: Credit Suisse Trading Strategy TRADING STRATEGY CREDIT SUISSE SECURITIES (USA) LLC Slide 7
  8. 8. HFT: Benefits ETFs ETF Tracking $2.5bn MidCap Sell Source: Credit Suisse Trading Strategy TRADING STRATEGY CREDIT SUISSE SECURITIES (USA) LLC Slide 8
  9. 9. ETFs: Benefit USA ETP Listings (Sep 12) Asia, ETP Assets (US$, Sep 12) $112.3Asia, 524 Europe, $347.1 US, 1465 Europe, US, 2101 $1,301.0 America x-US, 48 America x- US, 297 Source: Credit Suisse Trading Strategy TRADING STRATEGY CREDIT SUISSE SECURITIES (USA) LLC Slide 9
  10. 10. We Should Bring Back Fractions?Bring back Fractions! 1,000,000 AAPL 1/16th for an 100,000 average small cap stock 10,000 42bps Mkt Cap (Millions, log) 1,000 100 1/16th for an 10 average stock 18bps 1 1bps 10bps 100bps Spread (log) All Stocks 10 Largest Companies 10 Smallest Companies Source: Credit Suisse Trading Strategy TRADING STRATEGY CREDIT SUISSE SECURITIES (USA) LLC Slide 10
  11. 11. Costs: Is This as Good as we Can Get? Source: Credit Suisse Trading Strategy TRADING STRATEGY CREDIT SUISSE SECURITIES (USA) LLC Slide 11
  12. 12. Contact UsMarket Com m entary Disclaim erPlease follow the attached hyperlink to an important disclosure: http://www.credit-suisse.com/legal_terms/market_commentary_disclaimer.shtmlStructured securities, derivatives and options are complex instruments that are not suitable for every investor, may involve a high degree of risk, and may be appropriate investments only forsophisticated investors who are capable of understanding and assuming the risks involved. Supporting documentation for any claims, comparisons, recommendations, statistics or othertechnical data will be supplied upon request. Any trade information is preliminary and not intended as an official transaction confirmation. Use the following links to read the Options ClearingCorporations disclosure document: http://www.cboe.com/LearnCenter/pdf/characteristicsandrisks.pdfBecause of the importance of tax considerations to many option transactions, the investor considering options should consult with his/her tax advisor as to how taxes affect the outcome ofcontemplated options transactions.This material has been prepared by individual traders or sales personnel of Credit Suisse and its affiliates (CS) and not by the CS research department. It is not investment research or aresearch recommendation, as it does not constitute substantive research or analysis. It is provided for informational purposes, is intended for your use only and does not constitute an invitation oroffer to subscribe for or purchase any of the products or services mentioned. The information provided is not intended to provide a sufficient basis on which to make an investment decision. It isintended only to provide observations and views of individual traders or sales personnel, which may be different from, or inconsistent with, the observations and views of CS research departmentanalysts, other CS traders or sales personnel, or the proprietary positions of CS. Observations and views expressed herein may be changed by the trader or sales personnel at any time withoutnotice. Trade report information is preliminary and subject to our formal written confirmation.CS may, from time to time, participate or invest in transactions with issuers of securities that participate in the markets referred to herein, perform services for or solicit business from suchissuers, and/or have a position or effect transactions in the securities or derivatives thereof. The most recent CS research on any company mentioned is athttp://www.csfb.com/researchandanalytics.Backtested, hypothetical or simulated performance results have inherent limitations. Simulated results are achieved by the retroactive application of a backtested model itself designed with thebenefit of hindsight. The backtesting of performance differs from the actual account performance because the investment strategy may be adjusted at any time, for any reason and can continue tobe changed until desired or better performance results are achieved. Alternative modeling techniques or assumptions might produce significantly different results and prove to be moreappropriate. Past hypothetical backtest results are neither an indicator nor a guarantee of future returns. Actual results will vary from the analysis.Past performance should not be taken as an indication or guarantee of future performance, and no representation or warranty, expressed or implied is made regarding future performance. Theinformation set forth above has been obtained from or based upon sources believed by the trader or sales personnel to be reliable, but each of the trader or sales personnel and CS does notrepresent or warrant its accuracy or completeness and is not responsible for losses or damages arising out of errors, omissions or changes in market factors. This material does not purport tocontain all of the information that an interested party may desire and, in fact, provides only a limited view of a particular market. www.credit-suisse.com / edge TRADING STRATEGY CREDIT SUISSE SECURITIES (USA) LLC Slide 12

×