Frequently Asked Questions

What you need to know
Q
What is PortfolioEffect?
A

PortfolioEffect is a cloud service for high resolution portfolio management. It relies on high frequency market data and real-time model pipeline to give an intraday view of portfolio risk and performance. PortfolioEffect feaures packages for R, Matlab, Java & Python for historical portfolio backtesting, optimization and streaming portfolio risk feeds.

Q
How does it work?
A

High frequency (HF) data gives the most up-to-date picture of the market. But unlike traditional end-of-date price quotes, HF data takes lots of space, has high levels of noise (e.g. bid-ask bounce) and could not be processed with traditional portfolio packages. In fact, most existing portfolio tools were built in the 90's, when HF data was not even available to the majority of the market participants.

We use latest developments in market microstructure theory, machine learning and on-line data processing to bring classic portfolio analysis to tick-by-tick resolution. PortfolioEffect also takes care of capturing, cleaning & storing HF market data for our clients in our cloud data store.

Q
Why intraday analysis?
A

Liquid symbols could have hundreds of market transactions per second, which explains why portfolios metrics like Sharpe Ratio, ETL, beta and etc. have rich intraday dynamics. Capturing these dynamics using "fewer" low frequency data points is not always possible, because smaller data sample may result in low statistical significance of estimates.

There is no alternative to intraday portfolio analysis when you need to understand the impact of the latest news release on your portfolio risk or when you want to compare your current portfolio performance with that of yesterday.

Q
Who are your clients?
A

Among our clients are quants, traders and portfolio managers working for world's largest financial institutions. Most of our clients are located in the US, because our cloud data store covers US stock market. But you could also provide your own price datasets obtained via Bloomberg, Reuters and etc to work with PortfolioEffect service.

Q
How much does it cost?
A

We try to keep our pricing scheme flexible to accomodate both industry and academic subscribers. Pricing would also depend on whether client requires large scale portfolio optimization, dedicated cloud servers and etc. Please, use our contact form to get the latest information on pricing details.