Equity Risk Models

The Fundamental Equity Risk Models provide risk forecasting and portfolio construction capabilities for short and medium-term horizons, by leveraging point-in-time datasets and Alpha Factor Library (AFL).

Market Intelligence

At S&P Global Market Intelligence, we understand the importance of accurate, deep and insightful information. Our team of experts delivers unrivaled insights and leading data and technology solutions, partnering with customers to expand their perspective, operate with confidence, and make decisions with conviction.
The Fundamental Equity Risk Models provide risk forecasting and portfolio construction capabilities for short and medium-term horizons, by leveraging point-in-time datasets and the Alpha Factor Library (AFL) through state-of-the-art factor construction, regression and auto-correlation estimation techniques.

Fundamental Equity Risk Models allow investment management professionals to manage portfolio risk and perform risk budgeting workflows. Portfolio managers can also utilize the dataset to better understand what is driving portfolios exposures and their overall risk, in addition to performing attribution analysis.

The dataset includes:
  • Offering specific to Australia, Canada, China-A Share, Global, Pan Asia Ex-Japan, Pan Europe and the US with start dates as early as 1992
  • Exposures and risk calculations derived from daily pricing and Point-in-Time fundamental data with monthly rebalancing
  • Based on comprehensively defined fundamental style factors from the Alpha Factor Library (AFL)
  • Widely recognized GICS industry definitions
  • Medium and short-term versions combined into a single package
Frequency
Monthly
Latency
Monthly
Coverage Type
Equity
Coverage
14,000 (Single Country), 17,500 (Multi-Country)
History
1992
Earliest Significant Coverage
1992
Point In Time
Yes
Point In Time Description
Equity Risk models entirely built using S&P Global Market Intelligence's Point-in-Time datasets, the models are constructed using the highest level of historical data accuracy and timeliness.
Data Source
Compustat Snapshot, S&P Capital IQ Premium Financials
Field Count
100s
Estimated Size
23
Added

Industries

  • Financials
  • Real Estate
  • Energy and Utilities
  • Materials
  • Healthcare
  • Industrials
  • Consumer
  • Technology, Media & Telecommunications

Geographic Coverage

  • Global

Delivery

  • Cloud
  • Feed