When solving complex portfolio construction problems, are you taking a leap in the right direction—or a leap of faith? With ITG, you can construct, rebalance, and test optimal portfolios to manage costs, reduce tax liability, and minimize risk. And because our market-leading decision support tools are grounded in real-world execution data, you can be sure you're making the most informed choices in the industry.
ITG Portfolio Analytics Products
Swing Pricing is an increasingly popular anti-dilution device used by fund managers to preserve performance and protect existing fund investors from bearing the dealing costs associated with capital activity (usually defined as the net value of subscriptions and redemptions for a single fund on any trading day). Calculating an equitable Swing Pricing factor, however, is far from easy.
ITG has created a unique online service to easily and efficiently calculate an estimated swing price based on a set of obvious and hidden variables. Our comprehensive approach offers the ability to compare swing pricing factors using different variables (commissions, spread costs, price impact estimates, fund size, daily net flow, and more) for greater accuracy.
In addition, ITG extends its data services to provide asset managers with the underlying swing pricing components required for the calculation of a swing price factor, including time weighted spread and price impact on a weekly spread for more than 60,000 securities.
- Easy-to-use interface. In contrast to cumbersome hand calculations the new ITG Portfolio Swing Pricing Service helps automate and streamline the process. It also allows users to compare the dilution cost based on different assumptions. Simply enter your parameters and receive an estimated Swing Price factor in less than a second.
- More rigorous analytics. Calculating trading costs and delivering cutting edge portfolio analytics are among ITG’s strongest assets, making us a reliable resource for fund managers wishing to introduce swing pricing to investors. Our advanced anti-dilution tools calculate obvious and hidden dealing costs and compare dilution costs across various swing pricing factors. Using the best of ITG’s analytics and technology, plus high-touch service, we make swing pricing work for you.
Accurately modeling real-world investment issues is difficult and time consuming. We can help managers of active, passive, hedge fund, and taxable separate account portfolios efficiently and accurately model tax liability, transaction costs, and long/short objectives while adhering to portfolio-specific constraints.
- Implement investment ideas. Flexibly construct portfolios with varying objectives. Incorporate implementation costs, including transaction costs and taxes.
- Employ sophisticated techniques. Model the tax code accurately, conduct multiple portfolio optimizations to account for market impact costs, manage a variable set of portfolio strategies, and reduce the effects of alpha estimation error, all in an effort to realize better performance.
- Benefit from data and back-testing. Access a variety of proprietary and third-party sourced market data, and risk and cost models, including ITG Portfolio Risk Models and ITG Portfolio Cost Curves.
Designed to assist portfolio managers and traders in measuring and analyzing risk throughout the investment process. Available across regions in differing frequencies, these models provide unique insight into the nature of risk, including risk decomposition, performance analytics, and a variety of risk metrics.
- Capture meaningful data. Obtain precise exposure estimates; our models are projected in a time-series framework on a stock-by-stock basis.
- Simplify portfolio evaluation. See multiple levels of risk, including market, sector, industry, growth, and size factors.
- Rely on coverage. Back-test strategies against up to seven years of historical data; ITG covers a universe of over 60,000 securities globally, including equities and exchange-traded funds.
Generated using ITG’s proprietary Agency Cost Estimator, this data set includes trade cost estimates for over 30,000 global stocks. Portfolio managers can factor expected transaction costs into the portfolio construction and rebalancing process. Traders can compare the costs of executing different trading strategies over time.
- Dig deeper into costs. Conduct more meaningful analysis into the cost of rebalancing a portfolio and identifying cost-effective security substitutes. When combined with an optimizer, you can also back-test multiple strategies in a cost-effective manner and optimize trade-offs among alpha, taxes, risk, and transaction costs.
- Go global. Subscribe to weekly cost estimates from around the globe.
- Integrate with ease. Use your preferred quantitative investment platform to conduct extensive back-testing.
We are a trusted leader in fair value pricing and have a U.S. patent (U.S. Pat. No. 7,533,048) for valuing foreign-based securities in a mutual fund. Our service helps managers meet investor and regulator obligations to fairly price funds as well as reduce the occurrence and costs of market timing.
- Establish fair prices. Adjustment coefficients for more than 73,000 securities across 71 markets globally, including several North and South American markets when they are on holiday.
- Maintain consistency. Fairly price multiple asset classes throughout your portfolio with coverage for international equities and equity index futures.
- Reduce market timing. Minimize market-timer profit potential; use more appropriate pricing based on after-hours trading trends.
- Meet regulatory obligations. Determine prices that are as reflective of the market as possible for foreign holdings. Auditable trail within your pricing process. SSAE16 certified annually.