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September 20, 2011

Trans Atlantic Algo

By John D'Antona Jr.

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.

The algorithm now allows a trader to trade a portfolio of names from the Americas and Europe while maintaining regional risk controls.

"If it's 3 a.m. New York time and a client enters a wave of orders that has Americas and European stocks, we optimize the orders prior to trading, so the algorithm trades any European names that do not contribute to the risk balance of the Americas components," said Andrew Silverman, managing director and co-head of Morgan Stanley Electronic Trading. "Any European names that do will only trade during overlapping hours. That process is entirely automated."

MS PORT reduced buyside execution costs, thereby improving execution performance, Silverman added. It lets the buyside trader specify multiple portfolio-level instructions using 70 different user-adjusted risk metrics, such as correlations between assets, volatility and projected market impact.

MS PORT can be used when trading equities, futures and exchange-traded funds and connects to multiple trading venues across the global markets. It can be accessed via the firm's Passport execution management system, third-party vendors or directly with Morgan's electronic or portfolio desks.

 

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