ITG Unveils New Portfolio Algo

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. 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 trading costs and generally manage risk.

"We're looking at the portfolio as it goes through the trading day, and how that strategy (for it) will change based on market conditions," says Tony Huck, managing director at ITG. By comparison, most static list-based implementation shortfall algos follow a predetermined trading schedule based on historic volatility and liquidity estimates. ...