Investment signals derived from traditional fundamental data covering key global investment themes such as growth, quality, value, price momentum.
Fundamental Factors and Models
Fundamental Factor Library
Suite of over 350+ global factors and 400+ US factors with over 20 years of history for developed markets and 15 years of history for emerging markets.
US daily history starts in 2008; Global daily history starts in 2009
Data Sources: include financial statements, analyst estimates, stock prices, option prices, macroeconomic data, and more...
Data Breadth: 30,000+ stocks globally, covering broad universes in Developed, Emerging & Frontier Markets.
Frequency: Files are delivered daily by region prior to market open.
Factor Groups Covered:
Relative Value
Deep Value
Earnings Momentum
Earnings Quality
Historical Growth
Liquidity, Risk & Size
Macroeconomic
Management Quality
Price Momentum
Volatility
Fundamental Style Models
The style models rely primarily on factors from the general library and cover key investment themes around the world to provide robust investment signals. Model calibration varies by region. Subscribers receive access to both the factor composite and underlying signals.
Frequency: Daily from live date, monthly before
Model coverage matrix:
US | Europe | Japan | Canada | AU & NZ | Emerging/Frontier Markets |
|---|---|---|---|---|---|
Deep Value | Deep Value | Deep Value | Deep Value | Deep Value | Deep Value |
Earnings Momentum | Earnings Momentum | Earnings Momentum | Earnings Momentum | Earnings Momentum | Earnings Momentum |
GARP Model | Price Momentum | Price Momentum | Price Momentum | Price Momentum | Price Momentum |
Growth Analyst | Relative Value | Relative Value | Relative Value | Relative Value | Relative Value |
Historical Growth | Value Momentum | Value Momentum | Value Momentum | Value Momentum | Value Momentum |
Price Momentum | Live: 2006 Daily since 2008 | Live: 2007 Daily since 2008 | Live: 2008 | Live: 2007 Daily since 2008 | Live: 2010 |
Relative Value | Historical: 1990 | Historical: 1990 | Historical: 1990 | Historical: 1990 | Historical: 1990 |
Small Cap | |||||
Value Momentum Analyst 2 | |||||
Live: 2004 Daily since 2008 | |||||
Historical: 1994 |
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