RTS 28

Overview

Theorema Advisors UK LLP is required to publish our top 5 execution venues in terms of trading volumes and number of trades per financial instrument class on an annual basis.

This report relates to the year ended 31st December 2019.

For each financial instrument class, we will provide the following information:

The execution venue name and LEI.

Information on the total volume.

The number of trades as a percentage of all client orders traded on that execution venue.

Confirmation if Theorema has executed an average of less than one trade per business day over the year in that instrument class.

RTS 28 also requires the reporting of whether executions were passive, aggressive or directed. Given that we do not trade directly on the order books of exchanges, we do not believe our orders meet the definitions of passive or aggressive and therefore it's not possible for us to report this information.

Class of Instrument Equity - All
Client Type Professional Clients
Tick size liquidity bands 1 and 2 (from 0 to 79 trades per day)
Notification if < 1 average trade per business day in the previous year Y
Top five execution venues ranked in terms of trading volumes (descending order) Venue LEI Proportion of volume traded as a percentage of total in that class Proportion of orders executed as a percentage of total in that class
MORGAN STANLEY & CO INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 74% 73%
JP MORGAN SECURITIES PLC K6Q0W1PS1L1O4IQL9C32 26% 27%
Tick size liquidity bands 3 and 4 (from 80 to 1999 trades per day)
Notification if < 1 average trade per business day in the previous year Y
Top five execution venues ranked in terms of trading volumes (descending order) Venue LEI Proportion of volume traded as a percentage of total in that class Proportion of orders executed as a percentage of total in that class
MORGAN STANLEY & CO INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 81% 85%
JP MORGAN SECURITIES PLC K6Q0W1PS1L1O4IQL9C32 19% 15%
Tick size liquidity bands 5 and 6 (from 2000 trades per day)
Notification if < 1 average trade per business day in the previous year Y
Top five execution venues ranked in terms of trading volumes (descending order) Venue LEI Proportion of volume traded as a percentage of total in that class Proportion of orders executed as a percentage of total in that class
MORGAN STANLEY & CO INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 53% 59%
JP MORGAN SECURITIES PLC K6Q0W1PS1L1O4IQL9C32 47% 41%
RTS 28 REQUIREMENTS   FIRM ANALYSIS
An explanation of the relative importance the firm gave to the execution factors of price, costs, speed, likelihood of execution or any other consideration including qualitative factors when assessing the quality of execution The importance Theorema gives to the various execution factors will depend on the context of the order. In general, given that the majority of our order sizes are relatively small compared with market volumes, the overall price, including implicit costs, tends to be the most important execution factor. However, when trading to a specific point in time speed becomes more important. For a few of our smaller market cap stocks, we would take into consideration the likelihood of execution.
A description of any close links, conflicts of interests, and common ownership with respect to any execution venues used to execute orders Theorema does not have any close links or conflicts of interest with any venues used. Nor does the firm have any ownership stakes in any of the venues used.
A description of any specific arrangements with any execution venues regarding payments made or received, discounts, rebates or non-monetary benefits received Theorema does not have any arrangements with any execution venues in terms of payments made or received, discounts, rebates or non-monetary benefits.
An explanation of the factors that led to a change in the list of execution venues listed in the firm’s execution policy, if such a change occurred During this reporting period, there has been no change to the list of execution venues listed in Theorema's execution policy.
An explanation of whether other criteria were given precedence over immediate price and cost when executing retail client orders and how these other criteria were instrumental in delivering the best possible result in terms of the total consideration to the client This is not applicable to us since Theorema does not have any retail clients.
An explanation of how the investment firm has used any data or tools relating to the quality of execution, including any data published under RTS 27 Our post-trade monitoring is carried out with the help of a third-party data provider to review the quality of execution. This involves collating benchmark information from a range of sources to compare against the execution price achieved.
Where applicable, an explanation of how the investment firm has used output of a consolidated tape provider Theorema doesn’t use consolidated tape providers.
Class of Instrument Equity Derivatives - Swaps and other equity derivatives
Client Type Professional Clients
Notification if < 1 average trade per business day in the previous year N
Top five execution venues ranked in terms of trading volumes (descending order) Venue LEI Proportion of volume traded as a percentage of total in that class Proportion of orders executed as a percentage of total in that class
MORGAN STANLEY & CO INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 57.67% 50.07%
JP MORGAN SECURITIES PLC K6Q0W1PS1L1O4IQL9C32 41.73% 49.91%
Merrill Lynch International GGDZP1UYGU9STUHRDP48 0.58% 0.01%
Bankhaus Lampe KG 529900ODBMTZXAN1B073 0.01% 0.00%
  RTS 28 REQUIREMENTS   FIRM ANALYSIS
An explanation of the relative importance the firm gave to the execution factors of price, costs, speed, likelihood of execution or any other consideration including qualitative factors when assessing the quality of execution The importance Theorema gives to the various execution factors will depend on the context of the order. In general, given that the majority of our order sizes are relatively small compared with market volumes, the overall price, including implicit costs, tends to be the most important execution factor. However, when trading to a specific point in time speed becomes more important. For a few of our smaller market cap stocks, we would take into consideration the likelihood of execution.
A description of any close links, conflicts of interests, and common ownership with respect to any execution venues used to execute orders Theorema does not have any close links or conflicts of interest with any venues used. Nor does the firm have any ownership stakes in any of the venues used.
A description of any specific arrangements with any execution venues regarding payments made or received, discounts, rebates or non-monetary benefits received Theorema does not have any arrangements with any execution venues in terms of payments made or received, discounts, rebates or non-monetary benefits.
An explanation of the factors that led to a change in the list of execution venues listed in the firm’s execution policy, if such a change occurred During this reporting period, there has been no change to the list of execution venues listed in Theorema's execution policy.
An explanation of whether other criteria were given precedence over immediate price and cost when executing retail client orders and how these other criteria were instrumental in delivering the best possible result in terms of the total consideration to the client This is not applicable to us since Theorema does not have any retail clients.
An explanation of how the investment firm has used any data or tools relating to the quality of execution, including any data published under RTS 27 Our post-trade monitoring is carried out with the help of a third-party data provider to review the quality of execution. This involves collating benchmark information from a range of sources to compare against the execution price achieved.
Where applicable, an explanation of how the investment firm has used output of a consolidated tape provider Theorema doesn’t use consolidated tape providers.
Class of Instrument Equity Derivatives - Futures and options
Client Type Professional Clients
Notification if < 1 average trade per business day in the previous year Y
Top five execution venues ranked in terms of trading volumes (descending order) Venue LEI Proportion of volume traded as a percentage of total in that class Proportion of orders executed as a percentage of total in that class
MORGAN STANLEY & CO INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 100.00% 100.00%
  RTS 28 REQUIREMENTS   FIRM ANALYSIS
An explanation of the relative importance the firm gave to the execution factors of price, costs, speed, likelihood of execution or any other consideration including qualitative factors when assessing the quality of execution The importance Theorema gives to the various execution factors will depend on the context of the order. In general, given that the majority of our order sizes are relatively small compared with market volumes, the overall price, including implicit costs, tends to be the most important execution factor. However, when trading to a specific point in time speed becomes more important.
A description of any close links, conflicts of interests, and common ownership with respect to any execution venues used to execute orders Theorema does not have any close links or conflicts of interest with any venues used. Nor does the firm have any ownership stakes in any of the venues used.
A description of any specific arrangements with any execution venues regarding payments made or received, discounts, rebates or non-monetary benefits received Theorema does not have any arrangements with any execution venues in terms of payments made or received, discounts, rebates or non-monetary benefits.
An explanation of the factors that led to a change in the list of execution venues listed in the firm’s execution policy, if such a change occurred During this reporting period, there has been no change to the list of execution venues listed in Theorema's execution policy.
An explanation of whether other criteria were given precedence over immediate price and cost when executing retail client orders and how these other criteria were instrumental in delivering the best possible result in terms of the total consideration to the client This is not applicable to us since Theorema does not have any retail clients.
An explanation of how the investment firm has used any data or tools relating to the quality of execution, including any data published under RTS 27 Our post-trade monitoring is carried out with the help of a third-party data provider to review the quality of execution. This involves collating benchmark information from a range of sources to compare against the execution price achieved. Also, it is worth noting that we only traded very liquid futures and options during 2019 so the likelihood of not receiving a fair market fill is minimal.
Where applicable, an explanation of how the investment firm has used output of a consolidated tape provider Theorema doesn’t use consolidated tape providers.
Class of Instrument Debt Instruments - All
Client Type Professional Clients
Notification if < 1 average trade per business day in the previous year Y
Top five execution venues ranked in terms of trading volumes (descending order) Venue LEI Proportion of volume traded as a percentage of total in that class Proportion of orders executed as a percentage of total in that class
Merrill Lynch International GGDZP1UYGU9STUHRDP48 100.00% 100.00%
  RTS 28 REQUIREMENTS   FIRM ANALYSIS
An explanation of the relative importance the firm gave to the execution factors of price, costs, speed, likelihood of execution or any other consideration including qualitative factors when assessing the quality of execution We only trade a handful of Government Bonds a year and these are traded solely for cash management purposes due to a combination of us needing to adhere to the strict UCITs rules relating to the limits regarding single issuers, and secondly our desire to avoid depositing the funds at banks in this negative interest rate environment in Europe. Therefore, the most important consideration for us is to invest the funds in what we consider to be the safest Goverment Issues. Given the relatively large size of the orders, when it comes to some of the more illiquid Government Issues, the likelihood of execution would be the most important factor. 
A description of any close links, conflicts of interests, and common ownership with respect to any execution venues used to execute orders Theorema does not have any close links or conflicts of interest with any venues used. Nor does the firm have any ownership stakes in any of the venues used.
A description of any specific arrangements with any execution venues regarding payments made or received, discounts, rebates or non-monetary benefits received Theorema does not have any arrangements with any execution venues in terms of payments made or received, discounts, rebates or non-monetary benefits.
An explanation of the factors that led to a change in the list of execution venues listed in the firm’s execution policy, if such a change occurred During this reporting period, there has been no change to the list of execution venues listed in Theorema's execution policy.
An explanation of whether other criteria were given precedence over immediate price and cost when executing retail client orders and how these other criteria were instrumental in delivering the best possible result in terms of the total consideration to the client This is not applicable to us since Theorema does not have any retail clients.
An explanation of how the investment firm has used any data or tools relating to the quality of execution, including any data published under RTS 27 Our post-trade monitoring is carried out with the help of a third-party data provider to review the quality of execution. This involves collating benchmark information from a range of sources to compare against the execution price achieved. We also monitor the broker RTS 27 reports.
Where applicable, an explanation of how the investment firm has used output of a consolidated tape provider Theorema doesn’t use consolidated tape providers.

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Our Structure

Theorema Advisors UK LLP, based in the UK, currently manages the Plurima Theorema European Equity Long-Short Fund on behalf of Theorema Advisors Ltd.

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Our Philosophy

We endeavour to generate a high level of alpha, irrespective of the market environment, whilst maintaining a low level of volatility and continue to have a strong emphasis on capital preservation.

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Our Team

Theorema has a highly experienced team, led by Giovanni Govi, Founder and Chief Investment Officer. The team also includes two portfolio managers, three analysts, one trader, a risk manager, a CEO, a COO and two support staff.

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