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Index Complexity Profile

Data Feed by Optimum Complexity

Added as Candidate: Oct. 15, 2019

Candidate Product
Candidate Definition
This product is in the review and/or onboarding process towards full availability. It is not currently available for purchase via FactSet.
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Highlights
  • Take advantage of tools Optimum has designed specifically for today's markets. Most current tools used by portfolio managers are unable to provide non-linear relationship analysis. This is a big disadvantage as the financial markets are far from being efficient and the returns distribution are far from being Gaussian. Portfolio managers typically use theoretical tools designed for perfectly linear situations in today's highly turbulent markets.
  • Rank each index component according to their complexity contribution to the overall Index. Differentiate between high complexity stocks that induce fragility in the Index, and stocks with lower Complexity Profiles which are more resilient and can be considered truly uncorrelated to the investment universe.
  • Leverage Optimum’s Complexity Range for each equity Index to identify stocks with short-term predictability of risk adjusted- superior performance.
Feed Details
Evaluate the complexity of an index based on Quantitative Complexity Theory (QCT). Complexity is a fundamental physical property of any system, defined as a function of the structure of information flow and entropy. Optimum’s proprietary algorithm extracts all linear and non-linear relationships between the components of a system. It requires no models and accounts for the nonlinearities and dispersion of data using entropy concepts, not standard deviations. Applied to an equity index, the algorithm output is the complexity contribution of each stock [components] to the overall complexity of the Equity Index [system]. The stocks are then ranked from highest to lowest complexity contribution and gathered in the Index Complexity Profile.
Firm Information
Created in 2016, Optimum is the first company to measure complexity based on a proven model-free approach and to launch complexity-based investment strategies. Optimum uses proprietary technology and Quantitative Complexity Theory (QCT), a model-free measure of correlation created by company Co-founder & CTO Dr. Jacek Marcyk, to trade investment portfolios. Optimum also offers risk management advisory services to financial companies.
Product Tags
Global