To use Dynamic Implementation Shortfall (Dynamic IS), clients select from a list of parameters, including cash imbalance, sector neutrality, time horizon and speed of execution, and the algorithm reacts in real-time to benchmark, spread levels, volatility and liquidity to execute the portfolio over single or multiple days.
Tony Huck, managing director at ITG, said: Portfolio managers are faced with the challenge of maintaining balance in their portfolio while avoiding risk. ITG’s Dynamic IS algorithm helps clients reduce the volatility of an unexecuted list in real time by adjusting parameters to meet their investment strategy.
