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ITG Launches European Algorithm for Trading Portfolios in Volatile Markets

Investment Technology Group (NYSE:ITG), a leading agency broker and financial technology firm, today announced the addition of Dynamic Implementation Shortfall (Dynamic IS) to the ITG Algorithms™ suite of trading tools in Europe. This list-based algorithm is designed for portfolio and quantitative traders whose main objective is to minimise implementation shortfall* and manage risk while optimising their entire portfolio, especially in volatile conditions.

Dynamic IS trades opportunistically, allowing traders to control, in real time, risk exposure, cash balance, sector neutrality, time horizon and speed of execution. Dynamic IS adjusts to real-time liquidity and market conditions and trades in both lit and dark venues.

Commenting, Rob Boardman, Head of Electronic Trading at ITG in Europe, said:

“Portfolio managers are under increasing pressure to maintain balance in their portfolio while avoiding risk. ITG’s Dynamic IS algorithm helps clients reduce the volatility in an unexecuted list in real-time by adjusting parameters to meet their investment strategy. In today’s marketplace, managing risk has never been more important.”

Dynamic IS was introduced in the US in 2007 and has been specifically developed for US and European equities. Traders can access Dynamic IS via ITG’s execution management system Triton® and other third party platforms.

*Implementation shortfall is the difference between the price of the stock at the time the decision to trade was made and the price it was at when the trade was actually executed, as well as the opportunity cost of any unexecuted orders.