The Omega Point application provides portfolio analysis tools that include describing how a portfolio's factor risk & factor exposure have deviated from their historic values. This is described as a factor's **drift** and can be found in the right-hand column when using the Analyze: Risk and the Analyze: Exposure modules

Drift is categorized by the following percentile buckets:`Very High`

: 95% - 100%`High`

: 75% - 95%`Neutral`

: 25% - 75%`Low`

: 5% - 25%`Very Low`

: 0% - 5%

Drift is calculated for the specified date range

— when the date range value is less than 3 months, the app automatically uses as many dates as possible to get a statistically significant drift calculation.Selecting a factor category will display historical factor exposure values [or a factor's risk decomposition values, when using Analyze: Risk].

Dynamically interact with the graph, and introspect any particular date (dashed line), then...

Display that date's weighted-average factor exposures in the right-hand column, and it's drift (red, blue arrows).

# Drift Methodology

Find the mean and calculate the standard deviation over the full date range*

Find the difference from today's value from the mean, divided by the standard deviation

driftValue = (todaysValue - mean) / deviationThe driftValue is then bucketed into it's respective percentile by the following categories

driftValue < -1.645*σ*= Very Low

driftValue < -0.674*σ*= Low

driftValue < 0.674*σ*= Neutral

driftValue < 1.645*σ*= High

driftValue > 1.645*σ*= Very High

The range [-0.674*σ*, 0.674*σ*] represents the range of z-scores that can be mapped for the middle 50% of any set, i.e.`Neutral`

: 25% - 75%

The range [0.674*σ*, 1.645*σ*] & [-0.674*σ*, -1.645*σ*] corresponds to the next 20% of values falling into their respective buckets`High`

: 75% - 95%`Low`

: 5% - 25%

And values that fall above or below +/- 1.645*σ*correspond to the last 5% of values`Very High`

: 95% - 100%`Very Low`

: 0% - 5%