ConvergEx’s global portfolio and exchange-traded fund (ETF) execution desk provides execution in 100+ markets around the world, 24 hours a day. Capabilities include analytics that feature unique performance monitoring, measuring and reporting. APEX, the firm’s portfolio optimiser, uses metrics to identify optimal trading rates in real-time as market conditions evolve. Using proprietary technologies, APEX uses a forward modelling methodology to minimise market impact and portfolio risk at a selected level of risk aversion.
ConvergEx’s proprietary ETF pricing model, an integral part of the firm’s analytics, estimates ETF transaction costs by closely examining a multitude of variables that impact liquidity at the level of the underlying securities. The pricing model calculates the INAV of equity and fixed income ETFs, providing a closer approximation of the true value of the ETF’s constituents.
Spectrum, ConvergEx’s portfolio algorithm, enables program traders to leverage dark pools while still being able to maintain reasonable cash and sector balances. It sources liquidity from a large and diverse array of domestic dark execution venues. Using proprietary order placement strategy, Spectrum participates in multiple dark/ hidden destinations maximising access to liquidity and price improvement while optimising portfolio execution.
Institutional clients utilise the program trading desk for all kinds of portfolio adjustments.
Pre- and post-trade analytics
PerformEx is ConvergEx’s set of trade cost forecasting, performance monitoring and measurement tools.
Pre-trade reports include various trading styles: volume-weighted average price, time-weighted average price, implementation shortfall, market on close, percentage of volume, pairs trading and customised strategies. Risk is analysed by country, sector, market capitalisation, currency exposure and liquidity profile.
Post-trade analytics offer in-depth analysis of execution performance against a variety of benchmarks. Customisable reports are available for executions done on a single day as well as those spread over multiple days and can highlight trends in performance and detail both style and venues of execution globally.