Rosenblatt overs visual analysis, PM/trader linkage, and actionable recommendations that empower clients to meet best execution requirements and reduce trading costs.
A team of industry experts and practitioners bring together sophisticated analytical techniques, and practical active investment management experience to enable the trader to capture the value out of the portfolio manager's ideas.
Industry standard benchmarks are calculated, as well as advanced tick-based analytics, and proprietary charting, to assess the quality of the trading during the time and market environment traded. Practitioner review and commentary is added to aid in constructive dialogue. Finally, the Rosenblatt methodology can be extended for broker and algorithm scoring.
Output is published to the visual analysis system.
Asset classes and markets
Support all facets of global, equity transaction cost analytics.
Accepts transaction data for the life of a trade.
Currently includes previous close, open, implementation shortfall and arrival price for pre-trade analysis, while for post-trade analysis it also includes comparisons versus interval & full-day VWAP, remainder-of-day VWAP, price-weighted performance and closing price. Other benchmarks and analytics such as peer ranking and z-scores are provided, and customisable as well.
Breaks TCA down into same day pre- and post-trade, then secondary post-trade (two hours after market close to next day), and finally, historical TCA. Pre-trade TCA runs in real-time and is typically available within seconds after order load. Post-trade TCA is available upon order completion, as well as periodically as orders are filled.
The system, when delivered over a standard internet browser, is designed to be interactive providing an overview first, then the ability to zoom and filter by multiple dimensions. The resulting analytics recalculate on-the-fly.
Engages in consulting on business analysis, assisting clients with all aspects of the investment and trading process. This includes building custom reports, creating custom benchmarks, and making strategic and tactical recommendations.
Pre-trade reporting is designed to quickly provide the trader with an overview of the trade, as well as pretrade forecast.
The major functional enhancements planned include the release of next generation pre-trade models and improved predictive tools.