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ITG Opt®
Most portfolio optimizers on the market solve part of the portfolio construction puzzle, but not all of it. That’s what makes ITG Opt different. Comprehensive in scope, ITG Opt gives you a flexible tool to confidently address every challenge you meet in the day-to-day running of your portfolio.
Whether you manage an active, passive, long/short or taxable separate account portfolio, ITG Opt helps you develop new portfolio construction strategies and solve complex optimization problems.
With ITG Opt, you receive these key benefits:
- Helps construct optimized portfolios – ITG Opt allows managers to construct portfolios with optimal risk and return tradeoffs while meeting all constraints. Transaction and tax costs are minimized.
- Meets objectives – With ITG Opt, users can construct portfolios that meet a wide range of objectives: managing risk, tracking a benchmark, adjusting portfolio tilt to improve returns, and shielding accounts from taxable expenses. It also manages execution costs with the help of ITG’s agency cost estimator (ITG ACE®) model.
- Provides accurate tax-code modeling – The optimizer includes HIFO, LIFO, or FIFO accounting methods, and has the ability to constrain gross and net capital gains and losses in each holding period. ITG Opt also offers wash code handling and loss harvesting.
- Expertly handles long-short settings – including dollar-neutral, long-biased, short-biased, and variable leverage. Position and trade-size constraints can be set for the long-side, short-side, and net portfolio values, as can exposure to characteristics such as sector, growth/value, and beta.
- Offers extensive back testing – including corporate actions and transaction costs. ITG Opt can conduct sensitivity analysis to assess trade-offs such as transaction costs versus alpha, and risk versus tax loss harvesting.
For more information e-mail us at info@itg.com or click here for regional contact information.