Morgan Stanley has extended the functionality of MS PORT, its multi-asset-class portfolio execution algorithm, to allow trading of stocks in the Americas and Europe across a single portfolio.
“There are more clients looking to trade globally than there were two or three years ago and, as they look to optimise global returns, they need to optimise their basket flow.” said Andrew Silverman, managing director and co-head of Morgan Stanley Electronic Trading.
MS PORT is designed to reduce the variance of execution costs, thereby improving execution performance. It lets buy-side firms specify multiple portfolio level instructions, including risk neutralisation and cash balancing. Over 70 different risk metrics can be adjusted by the user, which include correlations between assets, volatility and projected market impact.
The latest development allows a trader to optimise and trade a portfolio of names from the Americas and Europe while maintaining regional risk controls.
“If it’s 03.00 New York time and a client enters a wave of orders that has Americas and European stocks, we optimise the orders prior to trading so the algorithm trades any European names that do not contribute to the risk balance of the Americas components. Any European names that do will only trade during overlapping hours. That process is entirely automated,” explains Silverman. “If you can optimise over a larger set of issues, you can reduce your market impact costs overall.”
MS PORT supports equities, futures 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.
In addition, MS PORT can also be integrated with MS Analytics, Morgan Stanley's multi-asset analytics platform.