FX Algo Performance during the Covid Crisis

In our latest research article, which is an update to one of our previous publications which analysed performance of different algo styles in a variety of market regimes, we specifically focus on algo performance in Q1 this year.

This period obviously incorporates the period of extreme volatility arising from the pandemic, and we compare performance to that experienced in more normal market conditions in Q4 last year. Interestingly, we find that the Get Done algo style when measured versus Arrival Price as a performance metric generally improved in Q1 compared to Q4 for EURUSD. However, Opportunistic algos appear to have underperformed compared to Q4, when measured versus the Interval TWAP benchmark.

We also find that the performance differences across regimes have increased in Q1, reiterating the need to make informed decisions when selecting algos to achieve best execution. In times of more volatile market conditions, the cliché of selecting the right tool for the job in hand is even more accentuated.

Please email contact@bestx.co.uk if you are a BestX client and would like to receive a copy of the paper.