Agency broker Bloomberg Tradebook has released a new equity portfolio trading algorithm which it claims is the first to help traders automate portfolio trades across all regions while remaining dollar neutral.
Known as Portfolio Algorithm, the new product connects to over 70 trading venues across 41 countries and allows institutional investors to trade baskets of stocks directly from their order or execution management system and stay neutral if required.
“As a buy-side trader, I have a need to stay cash neutral on global orders, and Tradebook's Portfolio Algorithm addresses this by working the orders within my set tolerance levels,” said Mark Hunter, equity trader, New Brunswick Investment Management, a Canada-based asset manager that handles public sector investment funds.
According to Ron Taur, head of algorithmic trading, Bloomberg Tradebook, the new algo puts portfolio trading control back in the hands of the buy-side.
“Using Portfolio Algorithm, buy-side traders will have complete control and transparency when they are trading baskets of stocks,” Taur told theTRADEnews.com. “They can make modifications while the algo is still in play, for example adjusting how much trading is done in the dark.”
Users may specify the level of aggression at which Portfolio Algorithm will seek liquidity and determine whether it seeks a VWAP or arrival price benchmark. Data and analytics from Bloomberg Professional information service are used to incorporate real-time currency rates to maintain dollar neutrality. Although Portfolio Algorithm aims to automate portfolio trading, Bloomberg Tradebook also offers access to a team of global execution consultants to assist buy-side clients when making modifications to the algorithm's parameters.
Historically, basket trades have been passed from the buy-side to sell-side program trading desks, which then split orders across multiple desks depending on the region or country being traded. Moreover, factors associated with trading across multiple time zones, such as exchange hours, stock behaviour and foreign exchange, have meant that maintaining cash neutrality during portfolio trades has typically required significant levels of manual intervention.