Engineering Data Products for Investment Analytics: The Role of Product Master Data and Scalable Big Data Solutions

Abstract

This book teaches you how to create interactive, dynamic, data-driven investment dashboards. Dashboards transcend boring paper reports that are published infrequently and rarely read by their intended audience. Like a map, a dashboard dynamically illustrates the investment journey and current safety status of a portfolio, answering questions such as “Where are we now?”, “Where have we been?”, and “Where are we going?” Dashboards allow researchers, clients, and portfolio managers to seamlessly share the latest data analysis and visualizations in real-time while establishing a collaborative dialogue about enhanced portfolio performance.
The investment example developed throughout this book is quantitative in nature, and samples come from twenty years of data in various forms. The quantitative risk indicator we will examine is Value-at-Risk (VaR) defined using linear projections from a factor model. The numerical data corresponds to the portfolio-level or mean of risk projections characterized for thirteen different industry sectors over time. This information creates the dashboard, the goal of which is to tell a synthesized story regarding risk movement of the portfolio and its sectors. In addition to illustrating the dynamic aspect of risk, the dashboard also allows pattern recognition of peak VaR level along with long-term bursts. Dashboards are basically intuitive graphic representations. However, creating one does require that a researcher connects all proper display pieces interactively, uses best graphical practices, and possesses the motivation to build a surrounding technology on a programming platform to captively engage the audience's attention to explore inquiring visual analytics.