Custom Factors let your firm upload its own factors, such as a proprietary momentum or quality signal, so they work like native factors across every portfolio. Use them to track your exposure to in-house factors, see which positions drive it, and measure their return over time.
How it works
Your firm uploads asset loadings, factor returns and factor volatility through the Arcana API. Every portfolio in your firm picks them up automatically, and Arcana calculates each portfolio’s loading, dollar exposure and factor return.
Uploading Custom Factors
Custom factors are uploaded and managed through the Arcana API, using the endpoints below.
Endpoint | What it does |
| Create a factor |
| List your firm’s factors |
| Get one factor |
| Update a factor’s name, category or description |
| Delete a factor |
| Upload loadings, returns and volatility |
| Check upload status |
To publish a factor:
Create the factor with a name, category and description. Arcana returns a
factor_id.Upload data for one or more dates, referencing that
factor_id.Check the upload with the returned
ingestion_id.
Each upload contains two types of rows:
Factor rows: one row per factor per date, with
factor_returnandfactor_vol.Loading rows: one row per asset per factor per date, with ticker and
factor_loading.
Please refer to the attached file for a sample upload file. For the full request schema, see the API page Arcana API.
Where custom factors appear
Factor Drill Down
Shows portfolio loading, dollar exposure, annualized factor volatility and 1σ move for each custom factor, grouped by category. Double-click a factor to view its position-level breakdown, or select the chart icon to view its history.
Performance
Shows the portfolio’s exposure to each custom factor and the cumulative factor return over time, in dedicated "Factor Exposures" and "Factor Decomp" tabs. Portfolio-level factor exposure is the weighted average of asset-level exposures. Portfolio-level factor return is the weighted average of asset-level factor returns calculated using the prior day’s loadings.
Asset contribution
Shows each position’s factor P&L and contribution to factor return, available by selecting a custom factor from the “Metric” dropdown in the “Contribution” tab.
Portfolio table
Shows custom factor loadings at the position level, available as columns through “+ Metric” or “Quick Add”.
Note that only users authorized for your firm can upload, edit or delete custom factor data. Anyone in your firm can view custom factors and call the read endpoints. To authorize a user or learn more, contact [email protected].