Morgan Stanley adds fixed income and futures to MS PORT
Morgan Stanley Electronic Trading has adapted the risk-balanced strategies of MS PORT, its multi-asset-class portfolio execution algorithm, for the fixed income and equity futures markets.
The new functionality will enable customers to manage market impact on a risk-weighted basket of futures contracts across multiple regions.
This enhancement is in addition to the recent optimisation of the tool to enable trading of US and European stocks within the same portfolio.
MS PORT is designed to allow trading of stocks in the Americas and Europe across a single portfolio, reducing the variance of execution costs, thereby improving execution performance. Users can specify multiple portfolio level instructions that include risk neutralisation and cash balancing. In total, over 70 different risk metrics can be adjusted, including correlations between assets, volatility and projected market impact.
MS PORT now supports equities, futures, fixed income and exchange-traded funds and connects to trading venues across major markets. It can be accessed via Morgan Stanley's Passport execution management system, a third-party vendor or directly with the support of the broker's electronic or portfolio trading teams. MS PORT can be integrated with MS Analytics, Morgan Stanley's multi-asset analytics platform.