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:

  1. Research securities that boost exposures that deliver on strategy
  2. Analyze strategy against exposure trends
  3. 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:

  1. 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.
  2. Security Exposures is data provided through an API upload through the mutation.uploadContentSetDate(id, data) node.

Contact [email protected] to set-up your account with indicators, including determining the suitability of your data.

Indicator Metadata

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.

Format requirements:

  1. IndicatorId - name of indicator as it appears in all files
  2. IndicatorName - human readable name of the indicator
  3. 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.

Security Exposures

This API data upload will contain security exposures for each date

Format requirements:

  1. 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
    CUSIP (Optional)
    ISIN (Optional)

    *The Ticker+MIC, Ticker+Country, Sedol, CUSIP, and ISIN must be unique per date.
  2. 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

mutation{
uploadContentSetDate(
id:"myIndicators"
data: {
date: "2020-01-02"
securities: [{
id: {
sedol: "2840215",
ticker: "SPY",
mic: "ARCX",
country: "US"
},
factors: [{
id: "BETA",
value: 0.98
},{
id: "INDICATOR2",
value: 1.23
},{
id: "INDICATOR3",
value: -2.32
}]
},{
id: {
sedol: "2046251",
ticker: "AAPL",
mic: "XNAS",
country: "US"
},
factors: [{
id: "BETA",
value: 0.7
},{
id: "INDICATOR2",
value: 0.9
},{
id: "INDICATOR3",
value: 0.4
}]
}]
}
){
ok
}
}

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