Portfolio Analytics

Maintain Balance, even in turbulent times

When solving complex portfolio construction problems, it’s easy to waste time searching for data and running “what if” scenarios. With ITG, you can quickly 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 informed choices.

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Portfolio Fair Value Service

We’ll help you establish fair and consistent prices across multiple asset classes throughout your portfolio. Using accurate adjustment coefficients for more than 85,000 securities across more than 78 markets, our fair value services help funds reduce the risk of opportunistic market timing. Our analysis accounts for after-hour market activity to produce factors that minimize stale prices.

Use this service to fairly price international equities and equity index futures, protecting the interests of fund shareholders while meeting regulatory obligations. Create an auditable trail within your pricing process. ITG is a trusted leader in fair value pricing. We are SSAE16 certified annually and hold a U.S. patent (U.S. Pat. No. 7,533,048) for valuing foreign securities in a mutual fund.

Available for: Derivatives, Equities

Available in: Canada, EuropeUnited States

Swing Pricing Services

ITG Analytics has created the first online service of its kind 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, fund size, daily net flow, and more) for greater accuracy.

We extend these 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 equities across the U.S., Canada, and Europe.

Easy-to-use interface

In contrast to cumbersome manual calculations, ITG’s new Swing Pricing Service automates and streamlines the process. It also allows you to compare dilution costs based on different assumptions. Simply enter your parameters and receive an estimated Swing Price factor in less than a second.

Available for: Equities

Available in: Asia Pacific, Canada, EuropeUnited States

Portfolio Optimization System

Now you can produce an optimal portfolio, integrate numerous portfolio statistics, and generate a trade list that can be sent directly to the trading destination of your choice.

Our accurate modeling of real-world investment problems can help you research and develop funds based on a variety of strategies and styles. Quantitative, fundamental, active, passive, hedge fund, and taxable separate account portfolios can be efficiently set up to track various constraints, in addition to traditional portfolio optimization goals, such as risk and return.

• Manage a variable set of portfolio strategies

• Perform back testing

• Implement sophisticated investment ideas

• Report tax impacts accurately

• Conduct multiple portfolio optimizations to account for market impact costs

• Reduce the effects of alpha estimation error

Available for: Derivatives, Equities

Available in: Asia Pacific, Canada, EuropeUnited States

From the Blog

September 01, 2016

A Side-by-Side Comparison Between ITG’s Size-Adjusted Spread Cost Estimates and the “True” Realized Costs of Institutional Investors

ITG’s size-adjusted spread (SaS) cost estimates provide guidance on the anticipated costs associated with instantaneous spot trade executions, measured relative to the prevailing mid-quote rate at the trade time. The underlying data for our model contains dealer quotes from 6 global banks and 5 major ECNs. By varying the manner in which we consolidate the limit order book across trading venues / liquidity providers, we are able to reflect different trading styles and credit tiers as well as varying degrees of sophistication of market participants. The use of the empirical limit order book enables us to construct cost estimates for instantaneous trading at various consolidation levels, deal sizes, as well as at various times of the day.

Onur Albayrak

Researcher, Financial Engineering

Milan Borkovec

Managing Director, Head of Financial Engineering

RECENT AWARDS

  • 2015 – Best TCA Provider

    Waters Rankings

  • 2014 – #1 Outstanding TCA Provider

    The Trade Hall of Fame Awards, Europe

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