HOW OMEGA POINT HELPS INVESTORS OPTIMIZE THEIR

PORTFOLIOS WITH APACHE® SPARK™ ON DATABRICKS

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DATABRICKS

Why Databricks Product

Created Apache Spark to enable big Bring Spark to the enterprise: The
data use cases with a single engine just-in-time Data Platform

Contributes 75% of Spark’s code - Fully managed advanced analytics

10x more than others platform powered by Apache Spark

Trained 20K Spark users

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SPEAKERS

Omer Cedar
Omer Cedar Eran Cedar
Eran Cedar
CEO - Omega Point CTO - Omega Point

10+ years of algorithmic portfolio Product development in Silicon Valley for

management experience on Wall Street 12+ years

Built systematic quantitative trading Built Oracle’s Social Cloud after Oracle’s
strategies for Two Sigma Investments acquisition of Involver

Early user of Apache Spark for applying Developed systems that managed
data science in financial markets content from millions of online social
properties

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AGENDA

1.  The data challenge in portfolio management

2.  Omega Point’s vision and technology needs

3.  The Omega Point architecture on Databricks

4.  Lessons learned

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 THE DATA CHALLENGE IN PORTFOLIO
MANAGEMENT

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A NEW INVESTMENT REALITY

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IDENTIFYING OPPORTUNITY

Fundamental active investors

represents 90% of the US market
& manage over $1.5 Trillion

SAME STRATEGY
Invests primarily based on company fundamentals and
industry expertise…

…yet they are experiencing divergence between their

investment strategy and their fund performance

NEW OUTCOME

BOTTOM LINE
Cannot identify all the market risks and implied bets in their portfolio.

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EXAMPLE
PATTERN COMPLEXITY IN UNDERSTANDING PORTFOLIO PERFORMANCE

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CASE STUDY: BREXIT
ACTIVE MANAGEMENT - Customers manage their portfolio exposures
during Brexit using Omega Point.

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 OMEGA POINT’S VISION & TECHNOLOGY
NEEDS

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OUR TECHNOLOGY
QUANTITATIVE ENGINE

Nonlinear statistics augmented with User-drive optimization to control

multi-task learning and modulate risk/volatility

Distill key drivers of portfolio Automated, customized extraction of

performance from a high-order models from a synthetic sample of
number of features each individual client’s portfolio

Predict higher moment analysis, e.g. Broad and novel IP differentiating

volatility, directionality, etc. core quantitative technology – first
commercial application of core
innovations

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EMPOWERING OUR CUSTOMER TO WIN

Re-engineered core Satisfies emerging

quantitative engine for our reporting requirements
customer’s investment style

Visual delivery of simplified, Seamless integration

actionable information

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IMPACT
OMEGA POINT + DATABRICKS IN ACTION

Research

Customers utilize Omega Point to model new strategies

Reporting

Customers leverage Omega Point to provide on-demand

portfolio analytics to their investors.

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IDENTIFYING EXPOSURES
OUR CUSTOMER UTILIZES OMEGA POINT TO DISCOVER KEY IMBALANCES IN
THEIR PORTFOLIO

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IDENTIFYING EXPOSURES
OUR CUSTOMER UTILIZES OMEGA POINT TO DISCOVER KEY IMBALANCES IN
THEIR PORTFOLIO

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IDENTIFYING EXPOSURES
OUR CUSTOMER UTILIZES OMEGA POINT TO DISCOVER KEY IMBALANCES IN
THEIR PORTFOLIO

Core
Investment

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IDENTIFYING EXPOSURES
OUR CUSTOMER UTILIZES OMEGA POINT TO DISCOVER KEY IMBALANCES IN
THEIR PORTFOLIO

Non-Core
Investment

Core
Investment

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LINKING TO PERFORMANCE
THEY SEE HOW THOSE IMBALANCES ATTRIBUTE TO THEIR PORTFOLIO
PERFORMANCE

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ENABLING REAL-TIME PORTFOLIO INQUIRY – WHAT IF?
THEY USE OMEGA POINT TO RUN A SCENARIO ANALYSIS IN REAL-TIME, BY
MAKING HYPOTHETICAL ADJUSTMENTS TO THEIR PORTFOLIO

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ENABLING REAL-TIME PORTFOLIO INQUIRY – WHAT IF?
THEY USE OMEGA POINT TO RUN A SCENARIO ANALYSIS IN REAL-TIME, BY
MAKING HYPOTHETICAL ADJUSTMENTS TO THEIR PORTFOLIO

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ENABLING REAL-TIME PORTFOLIO INQUIRY – WHAT IF?
THEY USE OMEGA POINT TO RUN A SCENARIO ANALYSIS IN REAL-TIME, BY
MAKING HYPOTHETICAL ADJUSTMENTS TO THEIR PORTFOLIO

Adjustments to position
sizes automatically update
long, short and net decile
values for each selected
factor

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ENHANCING WITH OPTIMIZATION
THEY USE OMEGA POINT TO FIND OPTIMAL PORTFOLIOS THAT MEET THEIR
INVESTMENT CRITERIA

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 THE OMEGA POINT ARCHITECTURE ON
DATABRICKS

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SUMMARY OF OMEGA POINT TECHNICAL REQUIREMENTS

Input Flexibility Scalability

Handle diverse input sources Simultaneously process
of data & communication market-relevant metrics across
protocols: REST, FTP, Parquet, thousands of securities
JSON, etc.

High Performance Reporting &

Queryability Visualization
Execution engine available for Sanity checking changes in
client input query (“scenario data or in comparing data
analysis”) sources

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HOW DATABRICKS ADDRESSES THE REQUIREMENTS
Input Flexibility
Scheduled jobs via notebooks
handle external API requests,
FTP connections, NoSQL
interactions, & Parquet file
reads
High Performance
Queryability
Final output data is stored for
ingest into webapp UI and
queryable via REST API
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Scalability
Processing of parallelized
Spark SQL queries to generate
market-relevant metrics
Reporting &
Visualization
Multiple approaches to
visualize data (dashboards,
pluggable libraries, etc..)
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DATA SANITY REPORTING

Easy-to-identify data
inconsistencies with Databricks
visual reporting tools

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DATA SANITY REPORTING

Easy-to-identify data
inconsistencies with Databricks
visual reporting tools

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DATA SANITY REPORTING

Easy-to-identify data
inconsistencies with Databricks
visual reporting tools

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DATA SANITY REPORTING

Easy-to-identify data
inconsistencies with Databricks
visual reporting tools

Houston, we have a problem!

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 HOW WE DEPLOY WITH DATABRICKS
Applications

Node.js React Scala, Python NoSQL

Market Data

Databricks Notebooks AWS Persistent

Storage, S3

Feed

Client data

Monitoring
Raw Data
Feeds

Insights generation

DBFS
Spark

Jobs
Client data

Personalized Factors Features

Insights
Enriched data

Clusters

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 REAL-TIME INTELLIGENCE WITH DATABRICKS REST API

Applications

Node.js React Scala, Python NoSQL

Market Data

AWS Persistent
Databricks REST API Storage, S3

Databricks Notebooks
Scenario
Feed
Analysis

Monitoring
Client data Attribution Raw Data
Feeds

Insights

DBFS
Optimization
generation

Spark

Jobs
Client data

Personalized Factors Features

Insights
Enriched data

Clusters

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 REAL-TIME INTELLIGENCE WITH DATABRICKS REST API

Applications
Real-time Use Case
Node.js React Scala, Python NoSQL
Market Data

•  On-demand scenario analysis

•  Identify optimal AWS
exposure
Persistent
Databricks REST API •  Optimize performance attribution
Storage, S3

Databricks Notebooks
Scenario
Feed
Analysis

Monitoring
Client data Attribution Raw Data
Feeds

Insights

DBFS
Optimization
generation

Spark

Jobs
Client data

Personalized Factors Features

Insights
Enriched data

Clusters

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LESSONS LEARNED

1. Data management

2. Dynamic clusters

3. Performance optimizations

4. Limited version control

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SUMMARY

Design of a timely market risk system requires three key

ingredients:
1.  Integration to multiple sources of external market relevant data
2.  Simultaneous processing of 1000s of metrics
3.  On-demand processing / query capabilities from external web
applications

Databricks / Spark meets the above requirements, while

designed to provide maximum iterative flexibility for our data
engineers & data scientists

Our customers actively manage portfolio risk, test new

strategies, and improve their client relationships through
better reporting to their investors.

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 Q&A

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 END

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 PARKING LOT

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