Using Overview : Insights

Insights provides you with daily optimizations for rebalancing your portfolio as informed by different factor strategies, such as factor risk reduction, alpha generation, or market aware.

Omega Point offers automated insights that showcase how your portfolio could be rebalanced given an optimization strategy and presents the backtested results with these trades.

Main Elements

  1. Insight Headline - Q-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, alpha & factor 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 (rebalance) risk metrics: total, factor, idiosyncratic, and 99% value at risk (VaR), showing you risk as of a particular date. Hover over any bar graph to see the before, after, and difference for each metric.
  5. Trades- These are the trades that were used to generate these performance and risk recommendations. Click on the download icon to receive a csv of these trades or click on the rebalance button to automatically populate the rebalance screen with these trades.

Data Definitions

Equity
Modeled GMV or equity override, as of date of insight

Performance

Total / Factor / Specific
Total / Factor / Specific accumulated annualized return % of original / optimized portfolio

Sharpe
Sharpe ratio of the original & optimized portfolio, where Sharpe is calculated by
(mean portfolio return − risk-free rate) / standard deviation of portfolio return

Annualized Risk

Total
Annualized risk as % of equity for original / optimized

95% VaR
Annualized 95% VaR as % of equity


Risk Decomposition

Factor
% of annualized risk attributed to factor risk for original / optimized

Specific
% of annualized risk attributed to specific risk for original / optimized

Change
The absolute difference between the optimized and the original portfolio, displayed in the same unit, i.e. change = optimized – original

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