// Production Security Analytics

Client:  Investment management firm
Users:  Investment analysts, portfolio managers

Computation, storage, and display of proprietary analytics for a volatility-based portfolio management methodology.

Computation sub-system for screening securities implemented via an Excel add-in with an MSForms UI:

  • Retrieves price data from the web, loads the function library, populates a calculation template, and computes the metrics for each security in the universe.
  • Accumulates current values and filters and ranks the securities in custom groups.
  • Generates data in various formats (xlsx, csv, pdf) for presentation or downstream processing.
  • Daily output is the foundation of a live strategy with $250 million in assets under management.

Storage sub-system is a time-series database which stores price data, pre-computed metrics, and custom attributes for a universe of ETF’s:

  • Provides historical and cross-section views of the data in a color-coded scheme.
  • Enables the analyst to filter and sort the data through an intuitive GUI.
  • Serves as the primary source of input to the testing process for rule-driven trading models.