Global Equity Fundamental Factor Model

Comprehensive Global Equity Factor model

StatPro Revolution now includes comprehensive equity risk analysis through our new Global Equity Fundamental Factor Model. Factor modeling has taken center stage in Investment Management because it serves a number of functions from portfolio construction and risk management to investor relations and marketing. 

Our new factor models benefit all those business areas with intuitive and customizable analytics. The service includes trend analysis of all portfolio and risk factors and provides the results on the state-of-the-art Revolution web interface, through data feeds and in board-quality PDF reports.

StatPro has created an intuitive and easy-to-use industry standard factor modeling product that:

  • Is based on Morningstar fundamental equity data;
  • Covers over 100,000 equities, including 95%+ of global market cap;
  • Analyzes the portfolio, the chosen benchmark and the active portfolio;
  • Provides all the expected factor-based risk analyses;
  • Includes board-quality custom PDF reporting.

Our Global Factor Model includes the following types of factors:

  • 1 Market Factor – capturing overall equity exposure
  • 8 Style Factors – including Momentum, Size, Value, Growth and Volatility
  • 35 Industry Factors
  • 44 Regional Factors
  • 38 Currency Factors

StatPro’s factor modeling is industrial strength:

  • Daily updates to all analytics, factor returns, correlations and variances
  • Historical data back to 2012
  • Dynamic volatility scaling calibration to current market levels;
  • Short-term and Medium-term models

StatPro’s Factor Modeling is different:

  • Very intuitive and easy to understand web interface and custom PDF reports
  • Trend analysis: every analytic can be show over time;
  • Stock-level fundamental data shown to support factor analysis

 

Learn More

Download our Global Equity Factor Model fact sheet
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Portfolio Risk Decomposition into Factors

Factor returns and correlations over time

Active Portfolio Risk Contribution by Factor

Factor correlation heat map