Bridging quantitative and fundamental investing, Omega Point’s Portfolio Intelligence is a quantitative, factor-based software that enables fundamental asset managers to focus on alpha, avoid factor drawdowns and discover what is really driving your P&L. Built by quants who have successfully managed multi-billion dollar portfolios using systematic strategies, Portfolio Intelligence integrates with your portfolio and automatically performs customized and scalable factor analysis.

Portfolio Intelligence utilizes machine-learning algorithms that empower fundamental-focused asset managers to uncover over-exposed risk and discover rebalancing opportunities that boost alpha. Integrating factor-exposure decisions into the portfolio construction and rebalancing process enables you to actively position investment portfolios to achieve specific risk and return objectives — and compete for AUM.

Table of Contents

What to Expect
--Discover
--Analyze
--Manage
--Report

First-time Set-up
--Account set-up
--Data set-up
--Upload set-up

Home
--Resources
---Universal Search
---Main Elements

Overview Screen
--Overview : Performance
---Main Elements

--Overview : Risk
---Main Elements

--Overview : Insights
---Main Elements

Instant Profiles
--Security Profile
---Main Elements

--Factor Profile
---Main Elements

Analyze Screen: Performance
--Analyze : Performance
--Extended History
---Main Elements

Analyze Screen: Risk
--Analyze : Risk
---Main Elements

Analyze Screen: Exposures
--Analyze : Exposures
---Main Elements

--Current Exposures
---Main Elements

Rebalance: Optimizer
--Optimizer
---Main Elements

Rebalance: Simulator
--Manual Rebalance & Risk Decomposition
---Main Elements

Market: Securities
--Securities
---Main Elements

Market: Factors
--Factors
---Main Elements

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What to Expect

Discover

Industry-leading factor model characterizes your portfolio’s risk and return across quantifiable signals that are strongly correlated with asset returns.

  • Discover how style, sector, and region factors have been driving portfolio performance
  • Compare exposures between your portfolio and industry benchmarks, instantly displaying 'active' metrics to any other security.

Analyze

Omega Point incorporates dozens of data sets in order to calculate factors across critical dimensions

  • Intuitive risk model visualizes factor trends over time, displaying your portfolio's risk levels during past market conditions
  • Drilldown to see how each position contributes to sensitivity to factor movements
  • Act with a clear understanding of risks and exposures as it relates to the portfolio

Manage

Determine factor trends and identify time periods when market dynamics, internal firm thematic shifts or portfolio turnover significantly altered your portfolio’s exposure.

  • Harvest gains and trim losses while managing quantitative risks
  • Set factor exposure targets and simulate trades in real-time
  • Ensure you are staying within your exposure targets prior to making big moves in your portfolio
  • Don’t be caught on the wrong side of a factor sell-off again.

Compare

Showcase your investment style with visual comparisons of key portfolio metrics using an in-depth comparison tool.

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First-time Set-up

Quickly set-up your account to gain access to quant-insights today!

Account set-up

New accounts can access our online platform to visualize and analyze your portfolio.

  1. In the initial phase of onboarding, you will receive a User ID email that will allow you to sign in to your account and change your password.
  2. If you ever have any issues logging in, you can click the “Forgot Password” button or email [email protected].

Data set-up

The first step is working with you or a designated fund admin to create a CSV of your portfolio holdings in a way that can be ingested into our system. This article describes the how to create a Portfolio CSV in Common Portfolio Format (CPF).

In the application, create a blank portfolio following the instructions in the Portfolio Operations article.

Upload set-up
Once your data is in CPF format, and you've created a blank portfolio, you can transfer your data into the Omega Point platform in one of three ways.

  1. Manually upload position data through the application.  Follow the Upload Positions to a Portfolio article to get started.
  2. Automatic file transfers can be handled through FTP. Learn how to do a FTP setup.
  3. For a programmatic approach through the API, another option is to send and upload portfolios via our API. Full details on how to connect and interact with our API can be found in the developer section of our product documentation.

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Home

The Omega Point home screen lets you access and organize various financial instruments across your universe. In particular, portfolios, baskets, and watchlists are all resources that you can create and take a view on.

In additional to resources you create, the home screen also includes a search that can access securities, benchmarks, and factors that pertain to risk models you have access to.

Combining search and resources on one screen, the home screen acts as a launchpad to find various instruments in your universe.

Main Elements

This screen is always accessible by clicking on the Omega Point icon in the top-left corner.

1. Sidebar Menu - Quickly navigate the home screen using the sidebar menu; selecting on “resources” lists your entire collection of portfolios, baskets, and watchlists. "Favorites" simplifies access to your most used items.

2. Universal Search - access securities, factors, benchmarks across a risk model, search for any resources that you created. This robust, all-in-one search allows you to search for any financial instrument in your universe.

3. Resources - Access all your a) portfolios, b) baskets, and c) watchlists that you have created, where clicking on the resource name will navigate to each resource's respective analysis tools, such as factor attribution and trends. Adding descriptions is a great way to differentiate between production and hypothetical resources.

4a. Create Resources - Adding new resources is as simple as clicking the 'add' button and selecting which resource to create. Name the resource, add a description, and then upload relevant data to each resource type, e.g., portfolio upload. After uploading, the resource is available for analysis.

4b. Notifications - When position data is uploaded, monitor the progress of the upload in the notifications menu.

5. Search & Filter - Easily find a portfolio of interest by typing a portfolio name into the search bar. Similarly, group your portfolios by a variety of different search filters: by label, last viewed, name, or model. 

Omega Point philosophy for resources
These resources - watchlists, portfolios, and baskets - work in union with each other to enable identifying thematic ideas, building portfolios that isolate fundamental views, and rebalance in step with changing market conditions.

Treat each resource as you would a collaborative document - quickly draw up different drafts, exploring and refining your ideas until you find a portfolio that is ready for trading, a watchlist that can be used as a universe, or a basket that can act as a smart trade to a specific security

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Overview Screen

Overview : Performance

Overview : Performance provides you with a snapshot of your portfolio’s return, broken down into its underlying components: alpha and factors. Then, quickly see the biggest winning and losing factor contributors to your portfolio’s return for any particular day.

Main Elements

  1. Time Selection - Select the time frame -- MTD, 1M, 3M, 6M, YTD, 1  Year, 3 Year -- from the dropdown selector. Or, click on "Select Custom Range" to input a custom date range. This date selection will follow you throughout the portfolio screens.
  2. Total, Alpha, Factor Returns (optionally, Trading Returns) - Quickly see your return’s profile, including how alpha and factor components contributed to your portfolio’s return. A fourth graph -- Trading P&L -- will appear if that data is provided. Clicking on any of the graphs updates the cumulative performance for the selected day and updates the top factor contributors to the right.
  3. Top Factor Contributors - Showing a snapshot of the top winning and losing factor contributors for any particular day lets you see what factors are driving your performance. Click on a factor name to open up the factor profile.
  4. Model & Benchmark - Displays the name of the model and benchmark that is used to return all metrics for this portfolio. Clicking on the Compare Toggle to the right updates the portfolio to show your active metrics against the selected benchmark or portfolio. This is part of the top navigation and is present throughout the application. In the case for performance, the returned values can be understood as the difference of geometric sums over the selected time period.
    Note: Insight metrics are not updated.
  5. Insights -  Our optimization machine provides you with multiple rebalancing strategies. Each of the insight types -- focus on your alpha, activate your market aware strategy, and mitigate factor drift -- are Omega Point generated insights that . Click on the headline to see how how our risk model has re-calculated your annualized risk, while displaying your back-tested performance.

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Overview : Risk

Overview : Risk decomposes your portfolio’s risk into factor and idiosyncratic risk. Easily explore the composition of different factor categories and spot which factors are driving your portfolio’s factor risk.

Main Elements

Note: all risk numbers displayed throughout the app are annualized ex-ante risk.

  1. Time Selection - Select the time frame -- MTD, 1M, 3M, 6M, YTD, 1  Year, 3 Year -- from the dropdown selector. Or, click on "Select Custom Range" to input a custom date range. This date selection will follow you throughout the portfolio screens.
  2. Gross Market Value (GMV) ( or Assets ) - This is the sum total of your security positions and how it has changed over time. If an equity override has been provided (such as using NAV for your book value), then this graph will say "Assets" and display the time line for the provided book value.
  3. Risk Trends by Factor Category - Understand how different factor risk categories, such as style or sector, have changed over time while being able to explore day-to-day risk values. Click on the aggregate values to see which factors are driving risk on a particular date.
  4. Factors vs Specific - Your portfolio’s risk can be decomposed into idiosyncratic and factor risk. This graph displays what portion of your portfolio’s risk is composed of idio & factor risk, which what is driving your risk. Hover over the graph to see risk decomposed into style, sector, country, and currency on any day.
  5. Top Factor Contributors - This drill-down displays the top individual factors that are contributing to each risk category for the date selected on the graph. If no date is selected, it shows the last date from your Time Selection.
  6. Model & Benchmark - Displays the name of the model and benchmark that is used to return all metrics for this portfolio. Sliding the Compare Toggle to the right updates the portfolio to show your active metrics against the selected benchmark or security. This is part of the top navigation and is present throughout the application.
    Note: Insight metrics are not updated.

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Overview : Insights

Insights provides you with daily recommendations for rebalancing your portfolio as informed by different factor strategies, such as factor risk reduction or alpha generation. Our machine-learning algorithms presents you with the best optimization after analyzing trends and backtesting various trades.

Omega Point offers automated insights that showcase how your portfolio could be rebalanced to reduce factor risk and how that strategy would have impacted your portfolio historically.

Main Elements

  1. Insight Headline - Insights provides a synopsis of the optimization objective and results from this insight. Click the banner to see insight results.
  2. Top Factors Reduced - The optimizer reduces risk for factors that you were overexposed to and which were providing negative returns. Quickly understand which (unintended) factor bets are not paying out.
  3. Performance Backtest Results- These are your before & after performance metrics: total return, factor & specific return, sharpe ratio. The results are from automatically backtesting the recommendation trades over a particular time period. Click on the i info bubble to see the dates of the backtest.
  4. Annualized Risk Optimization - These are your before (original) & after (rebalanced) risk metrics: total, 95% Value at Risk (VaR), showing you risk as of a particular date (displayed by hovering on the "i" info bubble. Also, included is the Risk Decomposition that breaks down total risk into it's factor and specific risk components (which add up to 100%).  Hover over any bar graph to see the before, after, and difference for each metric.
  5. Trades - These are the trades the optimization made in order to generate these performance and risk metrics. Click on the download icon to receive a csv of these trades. Or, click on Rebalance to be taken to the rebalance screen so you can manually manipulate the trades and see real-time risk decomposition metrics.

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Instant Profiles

Security Profile

Securities are at the heart of any fundamental manager’s portfolio. The security profile instantly displays any security's returns and performance attribution, for any period for which there is data in the risk model.

Main Elements

  1. Metric & Time Selection - You can select the time frame (MTD, 1M, 3M, 6M, YTD, 1Y, Custom) from the dropdown selector to view that security’s performance, risk, or exposure and corresponding factor contribution for your desired date range. These dates act independently from the portfolio dates.
  2. Cumulative Returns - A security’s return, risk, or exposure trend is broken down into its total, alpha, and factor components for the selected time period. The tabbed structure enables filtering factors by category, and drilling down to view each factor's trend for each security  Hover over the graph to see data for a particular date and click on a date to see the returns and the factor attribution for that date.
  3. Factor Attribution - Want to see what is driving a security’s return? The factor attribution table displays the factors that have contributed to the security for any date. Scroll below the graph to see factor attribution by winners and losers.
  4. Security Comparison - Search for any other security and click on the "VS" button to the right to compare security performance, risk, and exposure over the selected time period.
  5. Add Security to Watchlists - Want to track this security over time and compare it to other securities? Or want to use this security in a buy-list? Or want to exclude this security from other searchers? Click on the watchlist icon in the top-right corner (next to the X close button) and add this security to any customizable watchlist.

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Factor Profile

With quantamental analysis, factors are the driving metric to understanding your portfolio’s performance and risk. A factor is a characteristic of existing correlations between all securities in the risk model universe. Depending on a security's weight, your portfolio receives performance and risk contribution from the factors that security is exposed to. As such, we can decompose your portfolio into existing factors, based on which model you are subscribed to. Using the factor profile, you can quickly pull up factor information as an independent entity in the open market. The factor profile also displays related ETFs that you may consider using as a hedging instrument.

Main Elements

1 Time Selection - You can select the time frame (MTD, 1M, 3M, 6M, YTD, 1Y, Custom) from the dropdown selector to view that security’s performance and factor contribution for your desired date range. These dates act independently from the portfolio dates.

2 Current Return Characteristic - A factor’s return may have an effect on your portfolio, especially those that are outside their normal (+/- 1 STD) range. We quickly display a factor’s return, given its history, into the following buckets:
Extremely Overbought: +2 STD+
Overbought: +1 - 2 STD
Neutral: -1 - +1 STD
Oversold: -1 - -2 STD
Extremely Oversold -2 STD-

3 Cumulative Return - This is the amount of return attributed to this factor for the time period selected. Hover over any graph to see data for a particular date.

4 Normalized Return - Similar to the current return characteristic, this graph displays the factors return as a normalized graph, with each date showing the return’s normalized, smoothed, and de-trended z-score. Our own analysis shows that factors revert back towards their mean 70% of the time! Hover over any graph to see data for a particular date.

Normalized return data is calculated based on the mean and standard deviation of the factor over the last 12 months (252 trading days). More information in this article on normalized factor returns.

5 Most Correlated ETFs - In order to capitalize on a factor’s head or tailwind, we display some hedging instruments that are the most positively and most negatively correlated to the factor’s performance. Clicking on any ETF will also show you that ETFs profile. 

The correlations shown in each factor's profile are Pearson correlations between the daily factor returns and the ETF daily returns over a period of 12-months.

The top 10 and bottom 10 correlations are available in the factor profile screen. They are scaled to range between -100% and 100%.

Technical details on Correlated ETFs
ETFs that do not have a full-trailing 12-months of price data to the factor return index will not be considered in the top / bottom 10 list.

Leveraged and inverse ETFs are not listed in the top / bottom 10 lists.

6 Preferred Factors - Want to keep track of this factor? Selecting the star icon next to the factor name will always display this factor in the relevant analyze graphs and rebalance tables.

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Analyze Screen: Performance

Analyze: Historic Performance

Omega Point provides an easy way to visualize your portfolio's performance and drill-down into the various performance drivers. Using our performance analysis graph, you are able to select your preferred date & factor category to see, in real-time, the cumulative performance over time over every underlying driver.

Extended History

The application can visualize historic portfolios, supporting uploads for periods before 2010, depending on the risk model. Contact [email protected] to discuss uploading historic data and verifying a model's availability for periods before 2010.

Main Elements

1 Time selection - This data selection paradigm should be familiar by now, including the ability to input a custom date range. If you set this in another screen, the date will be inherited / preserved from your prior selection.. This selection dictates the data that is displayed in the graph. 

2 Graph Selection - Drill down and explore various factor returns. Start at the aggregate level — Total and Factors — or jump directly to the factor categories: Style, Sector, Country, Currency.

3 Interactive Graph - Control what data you want to explore. Clicking on the different views (a.k.a your graph selection) will update the graph in real-time. You can deselect any factor from the legend and the graph will automatically resize to the new data set. Hovering over the graph will show you date and the return value for each line in a toolbox. 

Click anywhere on the graph to show returns for any date, while updating the performance contributions table to the right. The selected date appears to the right of the date selection along with a date reset button.

Please note: the graph only shows the top 10 factors, based on their % performance on the last day of your selected date range.

4 Download button - Download a CSV of the currently displayed graph for the data range in the time selection widget. So if you are in the Style category, you'll receive a CSV of All Style Factors (aggregate) and the displayed factors.

(Soon to be released: a download button that includes the performance contributors)

5 Performance Contributors - The selected graph displays your historic trend, whereas the performance contributors panel displays the % absolute performance coming from each component. The % Equity column shows the average % Equity held in that position over the specified date range. You can drill down into any of these components to see a list of securities that have contributed to this component's return. If the active toggle (top right next to the benchmark name) is on, then the graph will show % active performance, where active is the delta between your portfolio and the benchmark.

Please note: International securities will contain the two-letter country code written in ISO Alpha 2 (https://en.wikipedia.org/wiki/ISO_3166-1_alpha-2).

Contributor Groups

With the Contributor Groups Tool, any set of security contributors can be automatically rolled-up into their respective sector, industry group, industry (GICS levels 1-3), country, currency, or long/short book — highlighting how these groups are also impacted by factors.

Once groups are enabled, each groups aggregate contribution can be compared side-by-side. Clicking on a group will then display its underlying security contributors.

This roll-up tool is available across all views for performance, risk, and exposures.


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Analyze Screen: Risk

Analyze : Historic Risk

Easily identify spikes and outliers in your portfolio’s risk over time at various levels of aggregation as well as at the factor level. Drill down into individual factor risk and discover the underlying security contributors to that factor's risk for any date range.

Analyze : Historic Risk Guide

Total: Risk Decomposition (figure R.1)

Factors, Style, Sector, Country, Currency: Factor Trends (figure R.2)

Main Elements

  1. Time Selection - You can select the time frame (MTD, 1M, 3M, 6M, YTD, 1Y, Custom) from the dropdown selector to display risk metrics during that time period. Figure R.2 displays the selected date (by clicking on the graph), and the date reset icon.
  2. Graph Selection - Drill down and explore various factor risk values. The Total graph (figure R.1) displays the Total Risk (left y-axis) vs the Factor, Specific Decomposition (right y-axis). If you select one to the factor categories: Style, Sector, Country, Currency, the factor trends graph, figure R.2, is shown. Figure R.2 also has a date pre-selected, and you can see the date reset button next to the time selection.
  3. Graph Toggles - Control what data you want to explore. Clicking on the different views will update the graph in real-time. You can deselect any factor from the legend and the graph will automatically resize to the new data set.
  4. History Graph - The graph displays all your selections on one big graph. Click anywhere to show returns for any date, while updating the risk contributions table to the right.
  5. Risk Contributors - Display risk data for any selected date, organized by a factor’s absolute / active annualized risk and whether the risk is outside its normal range (drift*). Click on any row to view what securities in your portfolio contribute to that risk. Figure R.2 displays the securities that contribute to the Volatility factor.

    *Factor Drift Buckets
    Drift shows the factor risk level on the selected date relative to it's historical tendency, looking at its mean value over the past 12 months. For shorter time periods, factor drift is only using the history available, which may not be statistically significant.
  • Very Low / Very High
    If the factor's value at the selected date is below the 10th percentile or above the 90th percentile of its mean value over the past 12 months, respectively. 
  • Low / High
    If the factor's value is below the 30th or above the 70th percentile.
  • Neutral
    If the factor's value is around the mean.

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Analyze Screen: Exposures

Historic Exposure

Main Elements

  1. Time Selection - You can select the time frame (MTD, 1M, 3M, 6M, YTD, 1Y, Custom) from the dropdown selector to display risk metrics during that time period.
  2. Graph Selection - Drill down and explore various factor exposures.
  3. Graph Toggles - Control what exposures you want to explore. Clicking on the different views will update the graph in real-time. You can deselect any factor from the legend and the graph will automatically resize to the new data set.
  4. History Graph - The graph displays all your selections on one big graph. Click anywhere to show returns for any date, while updating the daily exposures table to the right. This graph has Mar 6, 2017 pre-selected, as denoted by the line, and grayed out area to the right of this date. Click on the date reset button to restore the full graph.
  5. Exposure Contributors - Display exposures for any selected date, organized by a factor’s exposure, and if this exposure is outside its normal range (drift*). Click on any row to view what securities in your portfolio contribute to that exposure.

    *Factor Drift Buckets
    Drift shows the factor exposure level on the selected date relative to it's historical tendency, looking at its mean value over the past 12 months. For shorter time periods, factor drift is only using the history available, which may not be statistically significant.

    Very Low / Very High
    If the factor's value at the selected date is below the 10th percentile or above the 90th percentile of its mean value over the past 12 months, respectively.
    Low / High
    If the factor's value is below the 30th or above the 70th percentile.
    Neutral
    If the factor's value is around the mean.
  6. Historic Exposures => Current Exposures Toggle - Click on this expand icon (top-right icon, only in the Style category) to view your current exposures to the style factors. (next photo)

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Current Exposure

For any given day, your portfolio is exposed to factors. With Omega Point, you are able to analyze your portfolio’s exposure using a z-score heatmap that displays each security in your portfolio (split by long/short) along with their exposure to a list of style factors. The z-score is an indication of each security's exposure relative to the model universe. An exposure of 0 means that exposure to that factor is at the median within the model. Your portfolio's net z-score ultimately tells you whether your portfolio is overweight (+ exposure) or underweight (- exposure) a factor. 

Main Elements

  1. Date Selection - This is the currently displayed date for your daily exposure heatmap. If you made a date selection on the graph, this date is preserved. Go back in time to see your portfolio’s daily exposure levels for any selected date. Click on the text to open a date selector, where available dates are not grayed out.
  2. Long / Short / Net - Easily expand / collapse your portfolio’s securities and see your factor exposure in aggregate. Click any on part of the long / short row to expand and see your securities.
  3. Descriptors - These are not factors but instead additional information that help you understand the security for that row. This is most useful to understand metadata around a security, and also to understand your positioning. % Equity is dependent on the provided book value (GMV is default, NAV or equity override may apply if that data is provided).
  4. Factors - These factors are specific to your risk model. Click on any factor to sort the table from high to low exposure. Each factor contributes to your portfolio’s return and all your securities are exposed to each factor at different values. Use this factor exposure to better understand your portfolio’s risk.
  5. Download Daily Exposure CSV - Click to download a CSV of your daily exposures, reflecting the view in the app. If Short is expanded in the view, then securities in your short book will be included in your CSV.
  6. Daily Exposures => Historic Exposures Toggle - Click on this expand icon (top-right icon) to go back to the historic exposures graph for the style factors.

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Rebalance: Optimizer

Optimizer
The Optimizer then automatically displays every optimal portfolio along the efficient frontier, allowing you to view a portfolio with your desired risk target. The optimizer uses implied returns as the forecast (with plans to support custom forecasts in the future), and selecting a risk target will automatically generate a new optimization scorecard that allows you to compare your original portfolio to the optimized portfolio.

A more in-depth walkthrough of this feature is available in the On-Demand Optimizations article.

Main Elements

  1. Settings - Configure the optimizer along various constraints, such as max turnover, max trade size, and equity change.
    Add factor targets that you would like the optimizer to respect, such as ensuring the optimized portfolio has a value exposure of 0.1.
    Select a date to run an optimization in the past.
    Reset the optimization workspace and start with a clean slate.
  2. Efficient Frontier - Interact with the efficient frontier that is uploaded anytime a new constraint is set. If a frontier cannot be generated, an error message is displayed with feedback on which constraint might be too tight to respect.
    The dark blue dot marks your current portfolio's risk-return point, the light blue dot marks the portfolio with the best risk-adjusted returns. Select anywhere along the frontier to generate a portfolio with that risk value.
  3. Forecasted Metrics - Once a risk value is selected in the frontier, compare how your forecasted return and predicted total risk line up to the original portfolio.
  4. Risk Decomposition & Exposure selection - Select if you would like to see a side-by-side comparison of the risk decomposition or exposure values for the optimized portfolio.
  5. Risk Decomposition - Compare the factor vs specific risk decomposition, displaying how the total risk is broken down into its underlying components.
    Drilldown to any factor and compare the optimized portfolio predicted risk vs the original portfolio's predicted risk. Easily see the delta to see how this optimization increases or decreases your risk.
    Preferred factors (as set from the factor profile) will be displayed first to help you find the factors of interest.
  6. Trades - The trades button will display how the optimizer traded in and out of long & short securities. Categorized by buy, sell, short, buy to cover.

    Not Shown
  7. Trade Restrictions - The trades are displayed in a table, and clicking on any security name will allow you to set individual security constraints, such as targeting a particular value, or locking the position to its original equity size telling the optimizer not to trade this position. 
  8. Save As Experiment - When a satisfactory optimization has been produced have on the selected date, it is possible to save the results as an experiment and automatically populate the performance, risk, exposure, and composition characteristics of the resulting trades in the Rebalance: Experiments screen.
  9. Simulate - Similarly, if you would like to manually adjust the trades as produced by the optimizer, clicking on the Simulate button inside the trades panel will import the trades on the optimization date so you can individually tweak position sizes. More info below in Rebalance: Simulator.

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Rebalance: Simulator


Simulate Trades using Manual Rebalance & Risk Decomposition

Main Elements

Table Drilldown - these rows detail the values for each column as it pertains to that level of portfolio drilldown.

A. Rebalanced (R), Original (O), Delta (Δ) - Displaying the net portfolio's value for each column for the rebalanced, original portfolio, and the difference between the two portfolios.
B. Long / Short -
Depending on the column, these rows display the aggregate values, or the portion of total, that come from the respective long / short book of the portfolio.
C. Individual Security -
Displays the contribution of each individual security to the net portfolio. Clicking on a security displays its own rebalance, original, delta values.

1 - % Equity
A
. All security weights added up. For portfolios with equity override and long/short books, this may add up over 100%.
B
. Long / Short show the aggregate weight for that leg of the book.
C
. The weight of an individual security.

2 - Total Risk
A.
The amount of total risk that comes from the entire portfolio.
B. Long / Short show the portion of total risk that come's from either leg (i.e. the Long / Short risk decomposition, where
C. The risk contribution of that security. These add to up to the corresponding Long / Short risk (B).

3 - Specific Risk Decomposition
A.
The portion of total risk that comes from specific risk (i.e. Specific Risk = 100% - Factor Risk)
B.
The portion of total long risk that comes from specific long risk (i.e. Specific Long Risk = Total Long Risk - Factor Long Risk)
C. The contribution to the percentage of total risk that comes from each individual security. Inherently considers the weight of the position in its contribution.

4 - Factor Risk Decomposition
A.
The portion of total risk that comes from factor risk
B.
The contribution to the portion of total long / short risk that comes from factor long / short risk. (i.e. Long Specific + Long Factor = Long Total portion)
C.
The contribution to the portion of the aggregate factor risk

5 - Categorical Factor Risk Decomposition**
A.
Breaks down the portion of factor risk coming from the factor categories. (Style + Sector + Country + Currency + ... = Factor Risk)
B.
The breakdown of factor long / short risk that comes from the risk categories (as defined by the risk model. Ex. style, sector, country, currency, etc. (Long Style + Short Style = Net Style && long style + long sector + long country + ... = long factor risk)
C.
The breakdown of a particular factor category into its security contributors. (Security 1 style risk + Security 2 style risk = Long Style Risk)

**Clicking on a factor category toggles the view between seeing all factor categories and seeing individual factors per selected factor category. I.e clicking on Style displays size, volatility, liquidity, etc. Clicking on Style again collapses the individual factors and displays all the factor categories.

6 - Individual Factor Risk Decomposition**
A.
The aggregate (net) value of all the security contributions per factor. (ex. Net Size Risk = Security 1 size risk + Security 2 size risk + ...)
B.
That factor's value that comes from the long / short let of the book (not a percentage).
C.
The breakdown of an individual factor into its security contributors.

7 - Individual Factor Exposure Contributors ***
A.
The portfolio's net exposure (z-score) of that factor
B.
The long / short exposure contribution, given the category selection
C.
A securities individual exposure contribution to the different factors.
 
***Click on the panel dropdown to toggle between Factor Risk decomposition <=> Exposure Contributors. Note: the factor category displays the risk decomposition, only the individual factors display their exposure contributions.

Not Shown
8 - Trades Panel
When an individual security's weight has changed, a trades panel will appear that displays all your position adjustments. This includes a download icon where you can download the list of trades to achieve your manually rebalanced portfolio from the original portfolio.

A trades button appears near the rebalance data (top-left) that lets you toggle the trades panel visibility.

9 - Save As Experiment
When the satisfactory trades have been made for the date of the simulation, it is possible to save the results as an experiment and automatically populate the performance, risk, exposure, and composition characteristics of the resulting trades in the Rebalance: Experiments screen.

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Market: Securities

Securities

The security search interface lets customers take advantage of on-the-fly results using an intuitive custom query builder across factor data. Security Search can be used to find names that satisfy certain factor criteria and move names into a watchlist.

Main Elements

  1. Date Selection - All securities contain date-specific information, and as such, all searches are performed on a particular date. Changing the date will not affect the selected filters.
  2. Universe Selectors & Filters - Construct a search query that looks for securities within a certain universe of portfolios, watchlists, or ETFs. Add query filters to return a subset of securities that satisfy search criteria along descriptor information, factor risk values, or exposure characteristics.
  3. Search Results & Column Selection - Compare securities side-by-side in the results table. Sort by ascending / descending value and select up to twelve columns to compare.
  4. Group by Sector, Country, Currency - Quickly update the results table by grouping results by a common characteristic. 
  5. Selecting Securities - Click on a checkbox to add a security to a watchlist. Click on the checkbox in the table header (next to ID) to select all.
  6. Saved Searches - Create dynamic universes by saving the constructed search query into a saved search. Quickly retrieve past searches by selecting its name and change dates to generate a new list of securities.

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Market: Factors

Factors Leaderboard

The Market : Factors screen acts as a factor’s leaderboard, summarizing the factors that are most overbought / oversold as well as showing the biggest movers (highest and lowest cumulative returns) over any specified time period. This information can help you take advantage of factor risk as an investment tool.

Main Elements

1 Normalized Trend - These factors are automatically sorted based on their z-score — normalizing today’s return to the factor’s historic return — showing how many standard deviations away the current return is to its history.

Overbought: +1 STD and above.
Oversold: -1 STD and below

2 Biggest Movers - For any selected time period, we display the factors with the highest and lowest cumulative return. Side-by-side, you can spot if any factor is both outside its normal range and has a high return

Winners: high positive return
Losers: high negative return

3 Factors Filter - The normalized trend and biggest movers panels show all the factors associated with your factor model. Click on dropdown to update the screen to only display factors in specific categories — Style, Sector, Country, Currency.

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