Abel/Noser Tailors Algos for PMs
Traders Magazine, May 2010
Abel/Noser is offering the buyside customized algorithms that are based on a portfolio manager's historical interaction with the market.
The algorithms are created by examining costs derived from post-trade analysis, which shows tendencies in a manager's stock selection process and what happens to stocks he selects, once the order is handed to the trading desk.
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Abel/Noser launched this program with J.P. Morgan Asset Management last year and has been using transaction-cost analysis data to formulate trading strategies that build on a manager's history. "There are no one-size-fits-all algos, so we came up with this tailored approach for clients who want it," said Peter Weiler, executive vice president of global sales at Abel/Noser.
Building an algorithm takes from three to four weeks--from data collection to installation, Weiler said. Between five and 10 clients are already using the algos, and others have also shown interest, he said.
As a manager's trading process evolves, the algorithm can be recalibrated to incorporate the new data Abel/Noser has captured through its trade-cost analysis.
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