What We Do
Compass is ready to help you succeed in the index industry
Index Design
A recognized expertise in index engineering
Our founding partners have a thorough and proven background in designing, implementing and managing rule-based investment strategies. For more than 20 years, our team has developed a set of recognized benchmarks ranging from simple vanilla indices to complex index strategies based on quantitative models and market intelligence.
We create indices for most asset classes, including:
Commodities
Real Estate
Interest Rates
Digital Assets
Multi-asset
We go beyond design- we assist clients along the entire value chain of index business development. We have established successful relationships with swaps and ETF providers who can replicate your strategy once it’s complete. We also have the capacity to promote your index to investors.
As your partner, we’ll help transform your idea into a successful index.
Strategy Indices
We specialize in bespoke, customized indices that cater to clients’ specific needs and circumstances.
- Long short strategy indices
- Volatility control and leveraged indices
- Multi-level structured indices
- Linear and options-based strategies
- Intraday indices
- Quantitative dynamic allocation indices based on optimization problems
- Managed indices based on client’s allocation
We have the capacity to backtest any rule-based strategy using reliable infrastructure.
Our system is designed to calculate and publish any strategy based on systematic rules. We also offer architecture that makes it possible to manage “advised” indices.
Benchmark Indices
We are constantly working on new benchmark indices with the aim of offering the latest investment opportunities.
We are forerunners in the development of reference price indices used to build new markets. Some of these markets include:
We created the first investable benchmark replicating the evolution of Paris Real Estates housing prices.
In 2021, we launched the first EU-BMR-regulated ocean container freight market indices in the hopes of building a nonexistent derivatives market for a new asset class by providing trusted reference prices. These indices measure the cost of transporting a container between the main regions in the world.
Since 2018, we have expanded our expertise on digital assets by designing top 10 crypto indices and thematic indices including:
- Smart contracts
- Layer 1
- DeFi
Our team has decades of experience designing representative benchmarks.
Our members have been involved in the construction of some of the most recognized commodity benchmarks such as:
- Diversified commodity index
- Thematic indices aiming to provide exposure to specific themes including biofuel, non GMO, electricity, and Asian commodity
Calculation Agent Services
A deep knowledge of index contribution
Compass is prepared to act as a third party calculation agent in order to provide unbiased evaluations of your index. Our calculation services span across all asset classes except cash equities and include calculation, distribution and maintenance.
Calculation
We offer computations in both end of day and real-time formats.
- The resilience of our computation and dissemination infrastructure provides a safe environment for both formats
- Our ability to safely and effectively manage the frequency of publication gives us the capacity to manage index publication or any real-time frequency constraints index publication
Distribution
We can publish your index on Bloomberg, Reuters, dedicated websites, or any other data providers according to your needs.
We can also work with you to develop the appropriate report required to audit index computation (in addition to our usual reports). These reports may be accessed/downloaded via email or FTP sites. We can also implement dedicated API end-points.
Maintenance
We provide robustness through a multi-site infrastructure.
- Index calculation/contribution are generated from three independent sites located in three different countries. Two sites are active while one acts as backup.
- All sites respect the most restrictive constraints in terms of business continuity plan (internal server backup, market data access redundancy, power redundancy, etc.).
We are extremely responsive when it comes to managing issues. Whether it’s an index computation concern or client request, most issues are resolved within an hour after they are raised.
Index Administration
Maintaining strong regulatory credentials across all services
Compass is a registered Benchmarks Administrator by the Autorité des Marchés Financiers (AMF) under the EU Benchmarks Regulation (EU BMR).
The EU benchmarks regulation requires index providers to become authorized so that their indices are accessible within the EU, regardless of whether or not the provider is located in the EU.
Over the years, Compass has developed an internal BMR-compliant framework based on strong operational processes. We offer outsourcing of our client’s index administration according to these regulations. The client can in turn focus on the index research and design. Separating the administrator function also avoids conflict of interest or index changes that are not compliant with BMR rules.
Additionally, we provide search engine referencing, which is particularly useful for clients seeking an independent calculation agent who is also BMR benchmark-compliant.
Quantitative Engineering
Unlimited options for custom models
If you have an idea for a project related to quantitative finance but are unsure of how to execute it, Compass is the right partner. Our skilled quantitative engineers and analysts can implement even the most complex solutions, ranging from strategy backtesting to custom quantitative indicators.
Tailor-made, bespoke solutions
We are willing to develop original solutions to meet client needs.
Flexibility
Our architecture allows us to use most any data provider. Even if we cannot currently access the data, we can set up access quickly.
Some examples of what we can do:
- Crunch large amounts of data in order to provide clear-cut forecast models
- Use strategy optimization to provide models that determine the best location of assets in a portfolio
- Provide curated market data that show liquidity of assets and exchanges
Index Engineering
A recognized expertise in index design
Compass’s founding partners have a thorough and proven background in designing, implementing and managing rule-based investment strategies. For more than 20 years, our team has developed a set of recognized benchmarks ranging from simple vanilla indices to complex index strategies based on quantitative models and market intelligence.
Compass manages, calculates and develops several hundred indices for numerous asset classes: commodities, real estate, interest rates and digital assets. Several billion dollars are invested in indices calculated by Compass.
As your partner, we’ll help you transform your idea into a successful index
Our Services
- Capacity to backtest any rule-based strategy
- Index administration services within a BMR framework
- Index calculation and dissemination services
- Establishment of successful relationships with swaps and ETF providers
- Promotion of index to investors
Robustness through a multi-site contribution
Compass has developed a robust and reliable contribution infrastructure based on multi-sites IT architecture.
Index calculation and contribution are generated from three independent sites located in three different countries. Two sites are active while one acts as backup.
Each site respects the most restrictive constraints in terms of business continuity plan (internal server backup, market data access redundancy, power redundancy, etc.).
Calculation Agent
A deep knowledge of index contribution
Compass provides clients with a range of index calculation services. As an independent index calculation agent, our services include maintenance, calculation, and distribution for indices across all asset classes.
A team dedicated to your needs
If requested, Compass’s team will be happy to advise you on new index rules. We are especially equipped to provide advice regarding the EU Benchmarks Regulation ("EU BMR").
Responsiveness
Compass has a proven record of being an exceptionally responsive index calculation agent. Whether it’s an index computation concern or client request, issues are normally solved within an hour after they are raised.
Reliable infrastructure
Our index calculation infrastructure is designed to calculate and publish any strategy based on systematic rules. Additionally, we offer architecture that makes it possible to manage “advised” indices.
End of day and real-time computation
The resilience of our computation and dissemination infrastructure not only provides a safe environment for end of day computation and publication prices, but also for real-time prices. Our ability to safely and effectively manage the frequency of publication gives us the capacity to manage index publication or any real-time frequency constraints index publication.
Index dissemination
Your index can be disseminated on Bloomberg, Reuters, dedicated websites, or any other data providers according to your needs.
Customized reports for clients
In addition to our usual reports, our team can work with you to develop the appropriate report required to audit index computation. These reports may be accessed/downloaded via email or FTP sites. We can also implement dedicated API end-points.
Index Administration
As a BMR index administrator, Compass maintains strong regulatory credentials extending across all its services. Over the years, Compass has developed an internal BMR-compliant framework based on strong operational processes. We offer outsourcing of our client’s index administration according to these regulations. The client can in turn focus on the index research and design. Separating the administrator function also avoids conflict of interest or index changes that are not compliant with BMR rules.
Quantitative Engineering
Our team of quantitative analysts and developers are here to support the development of your projects. With decades of experience in quantitative finance, our engineers will guide you through a number of areas, ranging from strategy backtesting to the development of pricing tools and customized quantitative indicators. Our flexible architecture allows us to use a wide array of data providers. We develop our solutions in Python, R and C#.
