Imagine you are the portfolio manager (aka ‘PM’) of a small trading group trading in hundreds of millions of USD per day. You have thousands of positions spread across multiple asset classes.
At any point in time you need to easily and quickly have a high-level view of your outstanding positions, risks, outliers, and performance. This is precisely the type of problem we love most as it combines data visualization and statistical inference with high performance ‘too-important-to-fail’ systems engineering.
We developed a server application designed to be deployed on site (for security and performance) which tracked and displayed the following key metrics:
- Positions across risk factors according to a customizable factor model.
- Risk metrics such as TVar.
- Outlier reports on daily, weekly and monthly scales.
- Trailing sharpe ratios on daily, monthly and annual time scales.
- Real-time asset allocation across distinct strategies.
- Multicurrency awareness and currency risk metrics.
The data visualization was done in a personalized and easy to use manner.