Index Calculation and Management Solutions
Business issues addressed
The most common issues our clients are facing when managing the processes around index design and management are:
- The existing data landscape in most organizations today is usually heterogeneous with many of the data sources being legacy databases, flat files, and Excel files coming from various internal systems. Handling and maintaining consistent data is a challenge growing day by day with more data being added. This consumes additional resources and generates more errors.
- There is no common index workflow automation tool to allow the design, test, run, document and presentation of workflows visually nor to schedule an automated workflow execution easily. This implies significant extra time and resources spent to support the existing process.
- And finally, there’s no common R&D environment for researchers that could be used for collaborative development and data analysis for index management and no centralized version control for index management algorithms, workflows and supporting artefacts.
Index Management Solution
dxFeed introduced a state-of-the-art, full life cycle, electronic index management solution. It supports common management and R&D processes on multiple index families with controlled workflows and flexible environment to solve data manipulation problems and improve accuracy of research. The solution benefits index R&D analysts in exchanges, wealth management and financial research companies by streamlining the process of index research and development.
Index Management Solution provides:
- A unified approach to data source management
- Collaboration tools for index research and prototyping
- Back-testing tools running on historical data with different levels of aggregation
- Support for multi-temporal analysis with different versions of methodologies applied to different versions of index baskets and underlying data
- The organization of index methodologies into visual, manageable, self-documented entities that ensure single-version-of-the-truth source – allowing operations to run routine index maintenance jobs and generate baskets and weightings for the calculation engine.
The solution consists of the following six elements:
- Common data layer
- Index R&D development environment
- Index workflow maintenance environment
- Index workflow scheduling and execution control environment
- Calculation engine and distribution infrastructure
- Version control
Index types supported out of the box:
By security class or scope:
- Global indices
- Regional indices (regions defined geographically, by exchange, or by level of development)
- Sector indices (sectors defined by industry, security type)
By eligibility criteria involved:
- Screening by fundamentals, return, volatility
- Aggregated rankings
- Restrictions by country, sector, security type
By weighting methodology:
- Price weighted
- Market capitalization weighed
- Modified (float-adjusted) capitalization weighed
- Equally weighted
- Weighted by supplementary factors such as maximum weight restrictions or certain attributes
- Leveraged and inverse indices
- Weighted return indices
- Dividend indices
- Risk control, excess return, currency, currency hedged, domestic currency return, and the special opening quotation calculations
- Capped indices
The system allows to create the whole index implementation in a single live document with rich text, code and results in the form of figures, tables, text, etc. This approach provides an easy way for documenting algorithms and methods used together with analytical expressions and code eliminating the need for separate documentation storage and management.
In addition this greatly enhances the collaboration capabilities of groups of experts by providing a single platform to design, prototype, test and document index calculation and analytics.
Contact us for more information and demo.