What We Do
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.
Our index computation platform, comprised entirely from building-block based infrastructure, enables us to design indices in a fraction of the time that is required by traditional systems. This also allows us to easily scale, adapt and update our infrastructure by adding and/or replacing blocks.
We create indices for most asset classes, including:
- Commodities
- Real Estate
- Fixed Income/Bonds
- Digital Assets
- Multi-asset
- Commodities
- Real Estate
- Fixed Income/Bonds
- 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.
As your partner, we’ll help you transform your idea into a successful index.
Benchmark Indices
We are constantly working on new benchmark indices with the aim of offering the latest investment opportunities. Our team has led the way in the development of reference price indices used to build new markets. Some of these markets include:
Our members have been involved in the construction of some of the most recognized commodity benchmarks over the last 20 years.
We craft cutting-edge indices in areas like:
Freight:
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.
See: XSI-C Indices
Since 2018, we have expanded our expertise on digital assets by designing a wide array of indices with varying degrees of complexity:
- Single Coin Reference Rates
- Top 5/10 Cryptocurrencies
- Thematic Indices (Smart Contracts, Layer 1, DeFi)
- Volatility Control Indices
- Ethereum Staking Yield
- AI/NLP Sentiment Index
In 2018, we created the first investable benchmark replicating the evolution of Paris Real Estates housing prices.
Strategy Indices
We specialize in bespoke, customized indices that cater to clients’ specific needs and circumstances.
We have the capacity to design and backtest any rule-based strategy using reliable infrastructure. We also offer architecture that makes it possible to manage “advised” indices.
Our expertise covers:
- Long short strategy indices
- Managed indices based on client’s allocation
- Volatility control and leveraged indices
- Linear and options-based strategies
- Intraday indices
- Quantitative dynamic allocation indices based on optimization problems
- Multi-level structured indices
Calculation Agent Services
A deep knowledge of index computation and contribution
Compass is prepared to act as a third party calculation agent in order to provide unbiased evaluations of your index. The index industry is evolving- strategies are becoming more complex, volumes of data are growing, and data attributes and sources are diversifying. Our adapted technical infrastructure meets the needs and challenges of the modern market so that you can too.
Our calculation services span across all asset classes except cash equities and include calculation, distribution and maintenance.
Calculation
Our state-of-the-art, centralized system allows for clean and accurate data management.
We offer maximum flexibility through use of cloud-native underlying technologies.
We employ micro-services-based data ingestion in which data is both centralized and standardized. We are connected to every major data provider, and can easily connect to new ones.
Our calculation technology is horizontally scalable and chaos-resistant. Cloud-native technology makes it quick to update and hard to break- allowing for flexibility, reliability and modernization.
Computations are available 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 any real-time frequency constraints.
Distribution
We have established connections with every major financial data platform and can publish your index according to your individual needs.
We can publish your index on Bloomberg, Refinitiv, dedicated websites, or any other data platform.
We are connected to major players like GCP, Azure and AWS.
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
Our computation engine is composed of robust, cloud-native components, many of which are stateless.
We implement best practices for each new development through thorough reviews and multi-stage continuous development pipelines.
Our data is stored in a multi-cloud, multi-region system with automatic failovers, making it highly available.
All of our sites respect the most restrictive constraints in terms of business continuity plan (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
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).
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. These regulations require index administrators to follow strict guidelines regarding oversight, control, documentation and transparency. The standards set by the EU BMR are the most stringent in the world.
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
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, then Compass is the right partner. Our skilled quantitative engineers and analysts can implement even the most complex solutions.
Tailor-made, bespoke solutions
We are willing to develop original solutions to meet client needs. Whether it involves data processing, data delivery, strategy-based engineering, and/or indices publication, our team can create a suitable product.
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 allocation of assets in a portfolio
- Provide curated market data that shows liquidity of assets and exchanges
