System Matrices
System Matrices are allow you to use the universe from our Premade Matrices as the basis for your Custom Matrix Model. Universe options include:
- Index Components, including the Nasdaq 100, Dow 30, S&P 500, & more
- Broad Market ETFs
- Size and Style-based ETF universes
- Sector-specific stock and ETF universes
- Factor-based stock universes like high-yield and dividend growth
- International ETF and ADR universes
- Fixed Income ETF universes
Use a System Matrix when possible. System Matrices are designed to eliminate survivor bias in their backtest by accounting for universe reconstitutions.
The number in parentheses next to each Matrix Category indicates the number of Matrices listed within that category. For example, there are 75 Domestic Equities Matrices to choose from, as shown below.
When selecting a Matrix, the number in parentheses indicates the number of securities in that Matrix universe. For example, there are 30 stocks in the Dow Jones Industrial Matrix, as shown below.
Unless otherwise noted, a stock-based System Matrix will use a 3.25% scale. For example, the "Dow Jones TR 5%" Matrix shown in the image above uses a 5% scale. Additionally, Matrices with "TR" (total return) listed in the name will account for returns generated by dividends. Otherwise, security returns will be based on price return only and will not include dividends. For example, the "Dow Jones TR 5%" Matrix will include dividends while the "Dow Jones Industrial Matrix" will not.
Custom Matrices
Access to Model Builder gives you the ability to create Custom Matrices with up to 200 tickers.
To create a Custom Matrix, navigate to the Matrix page (Security Selection > Matrix) and select "Create New Matrix" in the top right corner of the page
There are three requirements that must be satisfied to use a Custom Matrix in a Custom Model.
- All securities within the Matrix must be denominated in the same currency
- The Matrix's Evaluation Frequency must be set to Daily
- The "Skip Summaries" checkbox must be left unchecked
Before you are able to create a Custom Model based on your Custom Matrix, the system must first create daily history going back as far as it can. Depending on the size of the universe and how much history is available for each security in the universe, this process can take up to a few hours.
If you intend to test how different Matrix scales impact your model performance, it is a good idea to create each version you would like to test upfront.
When selecting a Custom Matrix during the Custom Model creation process, only the Custom Matrices listed in the "Daily" section are eligible to be used. The Matrices listed under "Daily Matrices without Historical Data" are still in the process of calculating history and will move into the "Daily" section once that process is completed. Matrices in all other sections cannot be included unless they are updated to a Daily frequency.