Client’s Need:

• The quantitative team of a European investment bank needed support in the daily generation of benchmark indices, which required daily database maintenance of index stocks with attribute analysis such as price movement, shares changes, corporate actions adjustment, dividends, IPOs addition, suspension, delisting, and cross-currency rates.
• The client also required the quarterly review of the constituents’ industry classification, free floats, foreign ownership restrictions, and weights.

Amba’s Solution:

• An Amba team initially created a database of index stocks containing all the requisite data points and automated tools to extract data from IDC, Bloomberg, and Reuters. It also created programs to process a high volume of data into the database from different data sources and generate a daily exceptions report for further investigation.
• A team of analysts investigate these exceptions daily from different market sources, exchanges, and companies concerned, and then update the database with this information.

Value/Outcome:

• The client was able to reduce the cost of maintaining indices and thus release senior research bandwidth. The client has added a good number of indices since enlisting Amba’s support in indices maintenance. The indices turnaround time has shortened, thereby benefitting the client in repositioning indices for its customers.