TriCygnet Adds New Assets to TimeScape

by Vicki Chan

New York-based global macro fund TriCygnet has expanded its use of data management technology vendor Xenomorph's TimeScape product to support trading and analysis of new asset classes within its analytical models.

The firm originally deployed TimeScape to support live trading in Q4 last year after a period of beta testing and working with Xenomorph to build its analytics into the system, and initially used it to manage equity data, says Edward Mirsepahi, chief executive of TriCygnet.

"We were looking for a system to very efficiently pull down large amounts of data-which could include price data, balance sheet and income data, and any kind of analytic ratio-on securities on a daily basis, and even intraday, and which could then quickly put it into a format that could be dropped into our different proprietary pricing models," Mirsepahi says.

Since then, TriCygnet has expanded its use of TimeScape to provide cross-asset valuations derived from data on global indexes in Europe and Asia, as well as some commodities, interest rate indicators and other asset classes.

The firm has also started capturing data from derivatives markets, primarily equity options, for analysis in TimeScape, which can streamline and combine existing models, Mirsepahi says. Rather than having separate spreadsheets for each analysis-for example, for volatility patterns, sector trends, macro data and price, volume, and tick data-TimeScape can output all the calculated results into a single spreadsheet, he says.

TriCygnet, which launched last February, primarily invests in liquid equity and fixed-income markets in the US, Europe and Asia. TriCygnet's analysis begins with an economic thesis, and requires large amounts of data to test that thesis and create quantitative trading models, Mirsepahi says. By automating the data capture process, TimeScape allows Mirsepahi to spend more time focusing on analyzing trading strategies, he says.

"TimeScape has allowed us to compile and analyze this data easily on one platform," says Mirsepahi. Adding different asset classes to TimeScape is "extremely simple.... It's just a matter of typing in the correct CUSIP or ticker," he says.

Prior to using TimeScape, Mirsepahi utilized formulas in Microsoft Excel to pull raw data from vendors, including Bloomberg, into spreadsheets, potentially exposing the data to human error when re-keying data between different systems in a time-consuming process that could take up to seven hours per day, and which also resulted in large, unwieldy spreadsheets.

"If we can do in 30 seconds what used to take several hours, then TryCygnet can run analyses intraday... and crunch more data, where Excel alone would grind to a halt," says Mark Woodgate, founding partner of Xenomorph.

Mirsepahi says the resulting spreadsheets from TimeScape were one-tenth the size of his original Excel files since TimeScape delivers only the end-user report in Excel, and stores more detailed information and historical data separately in the TimeScape database.

Woodgate says that Mirsepahi explained what kind of data he needed and the result he was trying to achieve. Xenomorph then programmed those calculations into TimeScape to reproduce those results, which are then exported to Excel for further analysis, says Woodgate.