ITG Unveils New Portfolio Algo.
Traders, September, 2007 by Ramage, James
Agency brokerage Investment Technology Group thinks an algorithm should be able to consider more than just single-stock events or a benchmark when helping portfolio traders. The agency brokerage's new Dynamic Implementation Shortfall algorithm, or Dynamic IS, lets an asset manager select for sector, time or speed-based parameters.
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It then acts immediately on liquidity, spread or volatility information to execute the portfolio over one or more days. In doing so, it tries to think of everything as it works to maintain balance with a manager's industry and sector exposures, minimize ...
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