Acting on your Edge
"My Indicators" are proprietary data sets that encapsulate a quantified view on a universe of securities, through custom security scores, ranks, exposures and/or factor to be used for holistic systemic analysis
Simplified data integration through SFTP & API uploads allows customers to augment existing views using custom indicators.
Using custom data exposures complements existing risk models and folds new exposures into portfolio management process:
- Research securities that boost exposures that deliver on strategy
- Analyze strategy against exposure trends
- Target custom exposures to achieve portfolio goals
Screen securities to boost investment theme
Instant search finds you securities throughout the model universe that match your ideal exposure score criteria, allowing you to evaluate per-security exposure trends
Analyze strategy against exposure trends
Through exposure trends, identify how any security (above) or any portfolio (below) aligns with your strategy by tracking your portfolio's scores — aggregated for the portfolio as weighted exposures — for every custom indicator.
On-demand optimizations with custom exposure targets
Rebalance your portfolio to align to your exposure strategy by targeting your optimal mix of exposures using factor targets in Rebalance.Optimizer (above).
Uploading data in Common Indicator Format
Common Indicator Format requires providing Omega Point with two sources of data:
- Indicator Metadata is a CSV file that is to be uploaded to an account-specific SFTP folder. This file provides Omega Point with the schema of your indicator's data structure.
- Security Exposures is data provided through an API upload through the
Contact [email protected] to set-up your account with indicators, including determining the suitability of your data.
This file will contain indicator metadata in your dataset. This file can only be uploaded via SFTP and must be provided prior to providing Security Exposures.
- IndicatorId - name of indicator as it appears in all files
- IndicatorName - human readable name of the indicator
- IndicatorCategory - name of category that the indicator belongs to
Please note: IndicatorId and IndicatorCategory cannot share the same identifier.
Example of indicator metadata
Types of custom indicators and their associated category
Note on indicator Categories
The online application groups indicators together by their indicator category. It is advised that indicator exposures in the same category use a similar scaling — e.g. 0-100, -10 - 10, 0.0 - 1.0 — so that the graph is auto-scaled correctly.
This API data upload will contain security exposures for each date
- Include the following security identifiers:
SEDOL7 - security 7 digit SEDOL
Ticker - ticker symbol
MIC (Optional) - 4 letter Market Identifier Code
Country (Optional) - 2 letter ISO code
*The Ticker+MIC, Ticker+Country, Sedol, CUSIP, and ISIN must be unique per date.
- Indicator exposures
The name of the column should match the IndicatorID in the indicator metadata file.
Example of security exposures
Example of security exposure API upload