Goldman Sachs launches Basket Algo

Goldman Sachs has released a new Basket Algo, which trades as a basket of currencies instead of as individual currency pairs and can handle an entire portfolio rebalance.

Goldman Sachs launches Basket Algo
Ralf Donner

Goldman Sachs has released a new Basket Algo, which trades as a basket of currencies instead of as individual currency pairs and can handle an entire portfolio rebalance. The new algo makes use of whatever netting opportunity exists between the various currencies, controlling the performance of the basket as a whole rather than as individual currency pairs and keeping all the different legs operating in sync with each other, says Ralf Donner, executive director and global head of FX client algo execution at Goldman Sachs.

“It is an attractive way to intelligently trade these different FX pairs simultaneously and has global application,” he adds. “Asia will be a strong focus because the netting opportunities are particularly strong with a basket of synthetic underliers, but there are also plenty of opportunities around the world for this kind of execution.”