As part of an effort to customers increase their awareness of factor risk and easily take action, Omega Point offers automated insights that showcase how an existing customer portfolio could be rebalanced to reduce factor risk and how that strategy would have impacted their portfolio historically.

This rebalancing can be found in the app at the top of Overview, in the "Focus on your Alpha" section, where a user can see a comparison of their portfolio vs. the rebalanced portfolio. 

Below are some of the parameters that take place in the context of this automated optimization in order to simulate common trading strategy constraints: 

Goal: 

Rebalance to reduce factor risk while accounting for several constraints. 

Frequency:

Rebalance on daily basis. 

Single Security Constraints:

  • Tilt - Single security GMV can fluctuate by +/- 40%. 
  • Concentration - Single security GMV cannot be increased above the max of single security GMV historically. 
  • Liquidity - All positions can be unwound within 5 days (based on annualized volatility).
  • Transaction Size - All trades must be greater than +/- 0.01% of Portfolio GMV

Portfolio Constraints:

  • Size of Book - Portfolio GMV must stay within +/-1% of the original Portfolio GMV.
  • Market Exposure - Portfolio Net Long must say within +/-1% of the original Portfolio Net Long.
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