Investment Technology Group (NYSE: ITG), a leading agency broker and financial technology firm, today announced the release of a new algorithm designed to beat the Participation Weighted Price (PWP) benchmark.
The PWP benchmark determines the volume weighted-average price of a stock from order start time with a given volume participation rate. PWP complements the traditional VWAP and IS (Implementation Shortfall) benchmarks to offer a better picture of trader performance. Unlike IS benchmarks, PWP takes into account the market conditions during the order execution horizon. Like the other algorithms in ITG's algorithmic suite, the PWP algorithm also offers clients detailed performance reports and robust PWP analytics capabilities.
"PWP is an intuitive and transparent benchmark, which offers a great way to demonstrate the value-add by traders. Many large buy side firms have already adopted this benchmark to evaluate their traders and execution performance" said Hitesh Mittal, ITG's head of Liquidity Management. "Our PWP offering does not simply react to the stock's trading volume; it takes advantage of the opportunistic trading framework of our algorithmic suite, with the overarching goal of enhancing trade performance and beating the PWP benchmark."
The PWP algorithm is available via ITG's award-winning execution management system, Triton, ITG Channel and via most major third-party EMS platforms. It is an enhancement to ITG's existing algorithmic offerings, including POSIT Marketplace, Dynamic Implementation Shortfall, Dark List, Active and Raider.