Equity Risk Models
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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
Vendor information
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- Primary Entity TypeEquity
- Coverage Count14,000 (Single Country), 17,500 (Multi-Country)
- Geographic CoverageGlobal
- Industry CoverageConsumer, Energy and Utilities, Financials, Healthcare, Industrials, Materials, Real Estate, Technology, Media & Telecommunications
- History Initiated1992
- Earliest Significant Coverage1992
- Point In TimeYes
- Point In Time DetailsEquity 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 SourceCompustat Snapshot, S&P Capital IQ Premium Financials
- Field Count100s
- Delivery ChannelFeed
- Delivery PlatformClariFI®, FTP
- Reporting FrequencyMonthly
- Dataset LatencyMonthly
- Dataset Size (GB)23