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Question of the Week - September 6th 2016

How concentrated is order flow in three of the largest developed equity markets?

 

Chart 1: Percent of Total Value Traded for the Top 10 Equity Names in the US, UK and JP

 

Chart 2: Percent of Total Value Traded for the Top 10 Equity Names in the US, UK and JP from ITG’s Peer Group Universe

  • We previously looked at the market concentration in Brazil and saw that about 50% of total value traded is concentrated in ten names each quarter. We wanted to expand this study to three of the largest developed world equity markets to see if they had the same level of concentration.
  • The first chart shows the combined value of the top ten names traded in each country as a percent of total value. Between 11-13% of trading in the U.S. is concentrated in ten names each quarter. We see a stable trend across each country quarter over quarter.
  • The second chart shows the concentration of the same top tickers, but using ITG’s Peer Group as the source. A similar pattern largely exists although concentration is slightly lower in the U.S. and the U.K., demonstrating that institutional investors generally trade a more diverse set of names in these markets. The Peer Group is dominated by U.S. and European managers so it follows that the peer universe is composed of a more diverse set of securities in these regions.

ITG Peer Group Database contains order-level information from approximately 180 buy-side institutions. The top ten names in each country were defined based on the greatest amount of turnover each quarter in the market and trading activity for the same names were pulled from ITG’s peer universe.  On average there are 4,891 US; 1,135 UK; and 2,350 JP tickers in ITG’s peer universe each quarter.

 

Refer to ITG Peer Analytics for information on available Peer Related Analytics.

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