Side-by-Side Comparison

Compare factor attribution for up to 5 financial instruments all at once

Edgar Nuñez avatar
Written by Edgar Nuñez
Updated over a week ago

The Omega Point platform comes equipped with a comparison tool that helps with  factor research workflows:

  • Visualizing factor attribution across multiple financial instruments

  • Performing side-by-side attribution analysis, comparing portfolios on key performance, risk, exposure, and composition metrics

  • Display Risk-Adjusted Returns over any selected period

Comparing Financial Instruments Side-By-Side

The comparison tool provides the flexibility to support any security research process, enabling customers to easily scan for differences across all metrics.

Up to 5 portfolios, benchmarks, securities, baskets, or ETFs can be added to determine how these instruments measure to each other over time for any selected time period.

Accessed under the Analyze: Compare tab, Portfolio Comparison provides factor attribution in two ways:

Time series analysis for all factors

  • Displaying any factor is as easy as searching for its name in the top-left dropdown menu of the graph. 

  • Clicking on the graph updates the data table, including risk-adjusted performance metrics

Factor attribution drill-down

  • Expand along any factor category to display the individual factors for any selected date.

The comparison tool extends this research paradigm for Risk (shown below) and Exposure analysis. Simply changing the utmost top-left dropdown menu of the portfolio selection changes the context of comparison from Performance to Risk to Exposure.

Photo of Side-by-Side Risk Comparison

Finally, side-by-side comparison is enhanced by the ability to be “active” to any other benchmark for comprehensive comparison. Turning on the active “compare” button in the top-right of the screen — next to the model name — will automatically calculate and display each metric as active to the selected benchmark.

Selecting Comparisons

Add any financial instrument for comparison — portfolios, securities, baskets, ETFs, or benchmarks — by clicking on the + ADD COMPARISON button.

A search dialogue appears. Clicking on the Search... field offers full-text search support.

The Omega Point platform will automatically handle available date logic — where the compare tool will find the common, overlapping dates between instruments.

The date selector will update to display the truncated dates that are available for comparison.

Compare Long / Short Segments of a Portfolio

Omega Point will automatically detect if a column has a long/short portfolio (or basket) loaded in, which then enables an option to split the portfolio into its corresponding long and short books for instant side-by-side comparison.

Once the splits are loaded into the compare screen, each side of the book automatically populates all available metrics — performance, risk, exposure, composition, custom signals -- where each column can be viewed as a standalone entity by selecting the “normalize as standalone” option from the column header, or reverted back to the contributor view.

Currently, Analyze > Compare only supports long/short segmentation, and two free columns must be available.

Risk-Adjusted Performance For Selected Date Period

On-demand risk-adjusted performance analysis can be performed instantaneously while comparing securities. These metrics on total, alpha, and factor returns can be used to better understand the annualized volatility, max drawdown, sharpe ratio, sortino ratio, & correlation of returns between the securities being compared.  

The risk-adjusted return metrics reflect the selected cumulative period, providing you with on-demand period analysis. These metrics will refresh when the period is updated, either by clicking on the graph to shorten the cumulative period, or changing the total date range.

  • Annualized Return
    annualizedReturn = [(1 + cumulative Returns) ^(252/nDays)] - 1  
    where nDays  is the number of trading days in the selected date range.

  • Annualized Volatility
    annualizedVolatility = stdDev(dailyReturns) * sqRt(252) 

  • (Annualized) Sharpe Ratio & Information Ratio
    informationRatio = annualizedReturns / annualizedVolatility 

    Total return only:

  • Sortino Ratio
    Also known as the downside information ratio, where positive value are replaced by 0.
    sortinoRatio = annualizedReturns /[stdDev(negativeReturns)*sqRt(252)] 

  • Returns Correlation
    The Pearson Correlation measuring the linear correlation between return samples for all comparisons to the portfolio loaded in the first (left-most) column. More information on returns correlation in this support article

  • Max Drawdown
    The biggest decline from a peak to a trough for cumulative total returns in the selected date range, calculated as (cumulative return from trough - cumulative return from peak) / (1 + cumulative return from peak) 

More Info on the above metrics
Each of these results are calculated from the model.simulation.periodPerformance endpoint, which is described in the Simulation support article.

Comparing Composition

The composition screen is located under Analyze: Compare, accessed by changing the top-left dropdown tab to Composition.

Portfolio composition offers side-by-side comparison to any portfolio & benchmark, making it easy to analyze how over- / under- weight your portfolio is along these sector and geographic characteristics.

The top portion of portfolio composition includes trend analysis for summary composition metrics between comparators. Selecting any date along the graph updates the values for GMV, reference equity, number of positions, min-max concentration range, model coverage, and weighted market cap.

In addition, the predicted and historical beta for each comparator is included and updated based on the graph's date selection.

The bottom half of the screen groups positions by the top 5 sector, country, currency — as well as displaying long/short attribution.

Did this answer your question?