Using Analyze : 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) against a list of factors. The z-score is an indication of how the factor’s return may be impacting your portfolio’s performance.

Main Elements

  1. Exposures - Running your portfolio’s performance and risk through risk model, we are able to characterize performance risk into factors. This level of analysis demonstrates how your portfolio is exposed to particular factors, represented as a z-score. Depending on a factor’s return, the z-score measures the positive / negative influence of a factor on your portfolio.
  2. 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.
  3. 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.
  4. 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. *Please note that the z-score for each leg (Long and Short) of your portfolio is position weighted for ONLY that corresponding side of your book, while the Net exposure value takes the position weighting and net of the entire portfolio into account.*
  5. Date selection- 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.
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