Portfolio Currency Selection

Enabling account-wide, or portfolio-specific, currency selection

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

Matching the global nature of financial markets, Omega Point has been updated to natively support the evaluation of a portfolio in its local currency around key workflows — security searches, portfolio analysis, & portfolio construction — specifically around the following analytics:

  • Performance
    All realized returns (asset and currency factor) specified relative to local currency

  • Predicted Risk
    All predicted risks - critically currency risks - rely on local currency as numeraire

  • Composition
    All economic exposure analytics are returned in terms of local currency

  • Currency Selection
    Offering account-wide currency defaults, portfolio currency overrides, & flexible API currency selection

This feature is currently limited to CAD, USD & the currencies support by the selected risk model, but please reach out to your customer success manager if you’d like to natively evaluate your portfolio in another base currency.

Account Currency Selection

As a default, USD is activated on all accounts for the local currency. This account default setting applies to all resources and portfolios. Please reach out to [email protected] if you’d like to change the account currency selection to another value.

While the account selection acts as a default for the entire account, it is also possible to set a portfolio currency override. This currency override is available within the portfolio edit screen.

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Handling position economic exposure

When a portfolio’s data is provided, the position size is captured as a currency-neutral economic exposure value. This means that as the application pulls the position data to process, it handles these values in the currency selection for the account (or portfolio override).

Example: If the underlying position data is provided as { ticker: “AAPL US Equity” economicExposure: 100 }, 100 does not yet have a currency selection. When processed by the application with an account set to CAD, then this is treated as 100$ CAD. But if the portfolio has an override set to USD, this value is treated as $100 USD. This means that economic exposure data for positions should be provided in the currency used to analyze the portfolio.

Effects of Local Currency Selection on Analytics

Once the currency selection is applied to the portfolio, the following analytics have the following effect:

  • Performance

    • Realized returns for non-local assets include FX returns across local and foreign currencies

    • Realized returns for local assets do not include FX effects

    • Factor returns for non-local currencies are now relative to local currency

  • Predicted Risk

    • Local currency exposures become risk-less and uncorrelated with other factors

  • Composition

    • Economic exposures are now calculated in terms of local currency denominations

In addition to basing analytics on the currency selection, the following workflows are updated:

  • When using the market.securities security search:

    • Market Cap and ADV are reported in the local currency

    • Using Market Cap & ADV search filters accepts inputs in the local currency

  • When analyzing a portfolio using analyze.assets or analyze.trends:

    • position size (as provided in data upload) is processed using local currency, and % equity

    • segment filters for market cap & ADV accepts in puts in the local currency

  • When running trade simulations:

    • The portfolio's currency selection is used to evaluate each security's position size, as expressed in the selected currency

  • When running portfolio optimizations:

    • Market cap, ADV, and other monetary-based metrics are converted to the currency override, and optimization constraints are expressed in the selected currency

API: Currency Selection

Customers utilizing the API can dynamically set the currency override using the query.model(id, localCurrency) node. In this sample query, the simulation node will treat each position’s economicExposure as CAD, then compute all portfolio analytics based off CAD, and return the respective analytics.

model(id: "supportedModelID", localCurrency: "CAD"){
#all analytics now returned in CAD
performance {...}
risk {...}
composition {...}

Currency Limitations

As a new feature, local currency is limited to CAD & USD, as supported by certain global risk models. We will offer more currencies over time for supported models. However, non-supported models do not provide currency translations and will not compute in other currencies — for example, a US model will only compute in USD.

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