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Trade Simulator
Trade Simulator

Run "what-if" portfolio rebalance simulations with real-time factor impact, including group analysis

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

Rebalance: Simulator

OP strives to bring the most relevant data to our customer's fingertips to help inform trade decisions. The simulator tool is one way for customers to understand the impact of a trade on the portfolio's risk profile, including when adding new securities or trimming an entire position.

Using Simulator

Getting started with trading simulation is as simple as clicking on a security's GMV, % equity, or active % equity (i) and manually inputing a new value. Traded securities will be highlighted in yellow.

New securities to the portfolio (& existing positions) can be searched for by clicking on the 'ADD TRADE' button (ii), then adding the new trade value in the panel.

Then, evaluate the trade's impact to a group by clicking on the 'group by' selector, which then rolls-up securities into their respective group.

Clicking on the group name in the table provides a drill down view, allowing more fine tuning of trades and their impact to the group.

Trade Analysis

Simulate Trades using Manual Rebalance & Risk Decomposition

B. Group drill-down is available once a group is selected from the top toolbar.

Main Row Elements

A) Portfolio, B) Group (when a group / segment is selected), C) Security

These rows provide details for the corresponding A-C portfolio level / drilldown.

A. Portfolio. Summary Rebalanced (R), Original (O), Delta (Δ) - Displaying the net portfolio's value for each column for the rebalanced, original portfolio, and the difference between the two portfolios.
​B. Total / Group - These rows display the aggregate values, or the portion of total, that come from the respective group / segment of the portfolio.
​C. Individual Security - Displays the contribution of each individual security to the net portfolio. Clicking on a security displays its own rebalance, original, delta values.

Main Column Elements

  1. % Equity

    1. All security weights added up. For portfolios with a NAV equity override, this may not add up to 100%.

    2. Group / segment shows the aggregate weight for that portion of the book

    3. The weight of an individual security
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  2. Forecast

    1. The total expected return of the portfolio as calculated by the selected forecast next to the date selection, where each provided security forecast is aggregated by a simple weighted average

    2. The group weighted expected return as calculated by the available security forecasts from the selected forecast

    3. The expected return provided for each security. These display as - if no forecast was provided, and are exempt from the long/short & portfolio aggregations.

  3. Total Risk

    1. Total risk (deviance) always adds up to 100%, the info bubble displays the amount of total risk (std) that comes from the entire portfolio.

    2. Group / segment show the portion of total risk that come's from that group's contribution (i.e. the Long / Short risk decomposition), which is comprised of...

    3. The risk contribution of that row's security. These add to up to the corresponding group risk (3B)
      ​

  4. Specific Risk Decomposition (deviance)

    1. The portion of total risk that is attributable to specific risk (i.e. Specific Risk = 100% minus (-) Factor Risk)

    2. The portion of aggregate group risk that comes from specific risk (i.e. Specific Group Risk = Total Group Risk - Factor Group Risk)

    3. The contribution to the percentage of total risk that comes from each individual security. Inherently considers the weight of the position in its contribution.
      ​

  5. Factor Risk Decomposition (deviance)

    1. The portion of total risk that comes from factor risk

    2. The contribution to the portion of aggregate group risk that comes from factor group risk. (i.e. Group Specific + Group Factor = Group Total portion)

    3. The security contribution to the portion of the aggregate factor risk
      ​

  6. Categorical Factor Risk Decomposition**

    1. Breaks down the portion of factor risk coming from the factor categories. (Style + Sector + Country + Currency + ... = Factor Risk)

    2. The breakdown of factor group risk that comes from the risk categories (as defined by the risk model. Ex. style, sector, country, currency, etc.

    3. The breakdown of a particular factor category into its security contributors. (Security 1 style risk + Security 2 style risk = Total / Group Style Risk)
      ​

  7. Individual Factor Risk Decomposition**

    1. The aggregate (net) value of all the security contributions per factor. (ex. Net Size Risk = Security 1 size risk + Security 2 size risk + ...)

    2. That factor's value that comes from the group's contribution to the book.

    3. The breakdown of an individual factor into its security contributors.
      ​
      ​**Clicking on the FACTOR VIEW dropdown toggles the view between seeing all factor categories and seeing individual factors per selected factor category. I.e clicking on STYLE displays size, volatility, liquidity, etc. Clicking on TOTAL collapses the individual factors and displays all the factor categories.
      ​
      ***Click on the view dropdown to switch among Factor Risk decomposition, Exposure Contributors, Beta Contributors, and any other active Content Sets, like ESG or Short Interest.


      ​Individual Factor Exposure, Beta Contributors & Other Content Sets ***
      a. The portfolio's net exposure (z-score) of that factor
      b. The group exposure contribution, given the category selection
      c. A securities individual exposure contribution to the different factors.
      ​

  8. Toolbar
    ​
    ​Display Benchmark Names
    This button is available only when active to a benchmark, and acts as a toggle to show names that are not held in the portfolio, but are held in the benchmark. These not held names, when displayed, can be interacted with to simulate a trade into that security.
    ​
    ​Trades Panel
    When an individual security's weight has changed, a trades panel will appear that displays all your position adjustments. This includes a download icon where you can download the list of trades to achieve your manually rebalanced portfolio from the original portfolio.
    ​
    ​Group Selector
    Selecting a group, such as GICS or custom tags, configures the view with group analytics, including the ability to drilldown into a particular group and evaluate its security contributors.
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    ​Save As Experiment
    When the satisfactory trades have been made for the date of the simulation, it is possible to save the results as an experiment and automatically populate the performance, risk, exposure, and composition characteristics of the resulting trades in the Rebalance: Experiments screen.
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    ​Reset Trades
    Clicking on this button will reset the provided input values
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    ​Segment Tool
    ​    Slice & dice the portfolio for a custom analysis using any of the available filters. More information on segmenting in this support article.

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