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Abel/Noser Sees Boost in Program Trading Ahead
Traders Magazine Online News, May 21, 2009
Abel/Noser expects a ramp-up throughout the rest of the year in program trading, and as a result, the firm has expanded its program desk with a key hire to develop new products.
The agency brokerage, which offers proprietary trading analytics, hired program trading veteran Fred Graboyes to overhaul its basket and algorithmic trading capabilities. Graboyes will spearhead Abel/Noser's effort to take advantage of data from its proprietary pre- and post-trade analytical products. The idea is to use that historical data for smarter trading in the development of its algorithmic and expanded program trading businesses.
Fred Graboyes
Graboyes, with 16 years of experience in program trading, last ran Newark, N.J.-based TradeTrek Securities. He started TradeTrek, which developed algorithms. Prior to that, he built BNY ESI's program trading and global transition management unit.
"Our program trading has been picking up," said Peter Weiler, executive vice president of sales and client services at Abel/Noser. "That's why we brought in Fred; we saw a lot of traction. And with the post-trade analysis, we came up with some good ideas for new algorithms that he's going to help us build."
At Abel/Noser, Graboyes' role is to incorporate the firm's plentiful pre-trade analytics into its program trading. Abel/Noser's plan is to use pre-trade analysis-notably historical data, rather than theoretical models-to better predict the future costs for program trades, Weiler added.
"We're taking real trading results," Weiler said. "And we're modeling those trading results."
The expansion of program trading at Abel/Noser is a reaction to market conditions. Over the past six months, there's been a freeze in asset allocation changes in the pension fund community, Weiler said. But that freeze has started thawing, and he has seen an uptick in trading and interest.
Abel/Noser does portfolio transitions for hundreds of pension fund clients. And with the current easing of the credit markets, Weiler believes pension funds will likely start adjusting their portfolios this summer or fall.
"Looking year-over-year," Weiler said, in reference to program trading volume, "we anticipate some hard growth."
Others are also seeing a rise in portfolio trading. A Wall Street source in transition management said there has been increased business in the past month, as pension funds have started to put money to work into equities.
Before, pension funds had been afraid to invest, the source said. Market uncertainty and historic volatility have been the primary culprits, he said. "There is still money sitting on the sidelines," he said. "It may be a lot less than it was six months ago, but pension funds still can't afford a cash drag. It has to be performing; [money] has to be put to work." He expects to continue to see increased demand for portfolio trading.
Regarding Abel/Noser's algorithmic trading effort, Graboyes will help the firm use the post-trade data it accumulates from clients to customize algorithms for specific strategies, Weiler said. When Abel/Noser uses post-trade data to study clients' strategies, it typically finds long-standing patterns. The firm wants to develop a system for building a profile from each pattern, Weiler said. Then it will match algos to those profiles.
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