Data Repository & Calculation

The Data repository collected and stored data from multiple sources – particularly time-series data for financial instruments.┬áIt normalised data to shield downstream systems from idiosyncrasies in the data feeds, and it supported overlapping data sets (where multiple data suppliers would provide common data points for the same financial instrument). It used a dynamic schema so that new data points could be added without changing the database, and it was optimised to handle large data sets with both batch and real-time data processing.

It was coupled with a Calculation framework that used configurable calculations to generate Model Portfolio Theory (MPT) statistics such as Alpha, Beta, Standard Deviation, Sharpe Ratio, Information Ratio, across funds, peer groups and sectors.