ITG Opt

Highlights
  • Portfolio construction, rebalancing, and optimization
  • Tax-code modeling and risk management
  • Long/short & multi-currency portfolio support
  • Extensive back-testing environment
  • Open data architecture and flexible API access
  • Robust optimization
Markets Served
  • Asia Pacific
  • Canada
  • Europe
  • United States

A flexible portfolio optimization platform, ITG Opt® helps portfolio managers develop new portfolio construction strategies and solve complex optimization problems. ITG Opt allows you to accurately model tax liability, transaction costs, and long/short objectives, while adhering to diverse portfolio-specific constraints. With a built-in back-testing environment, open data architecture, and a user-friendly API, ITG Opt can help you more easily construct, rebalance, and back-test optimal portfolios.

Key Benefits
  • Handles real-world investment issues—Real-world issues associated with portfolio management are easy to incorporate, such as market-neutral or multi-country strategies, transaction cost control, inventory management, fund cloning, and taxation.
  • Meets diverse objectives—In addition to managing risk, tracking benchmarks, adjusting portfolio tilt to improve returns, and helping to shield accounts from taxable expenses, ITG Opt manages execution costs with the help of ITG’s Agency Cost Estimator model.
  • Models trading costs—With turn-key support for both linear and non-linear transaction cost modeling, ITG’s Cost Curves can help you model the costs of your trading strategy during the portfolio construction process so there are no unexpected trading costs.
  • Provides accurate tax-code modeling—Many optimizers provide only rough estimates, however ITG Opt has the ability to constrain gross and net capital gains and losses in each holding period.
  • Constructs long/short portfolios—ITG Opt expertly handles dollar-neutral, long-biased, short-biased, and variable leverage. Set position and trade size constraints, as well as exposure to such characteristic and risk factors as sector, growth/value, and beta for the long side, short side, and net portfolio.
  • Reduces the effects of estimation error—By incorporating uncertainty measures and/or non-linear transaction cost estimates into the objective function, overreaction to noisy return estimates can be decreased, leading to more robust and stable portfolios.

U.S. Patent No. 7,337,137