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FactSet Equity Model — Global Mid-Horizon (Daily) White Paper

How to comprehend portfolio risk exposures to common explicit or implicit factors

fds-global-equity-mh-model-wp_ipad-thumbnailThe definition of equity risk measurement and management has evolved from calculating sample standard deviation of the equity returns over a given historical time window to advanced multi-factor models. FactSet’s multi-factor equity models provide a deeper understanding of portfolio risk exposures and performance attribution while providing a basis for improved portfolio construction.

In this white paper, we present the FactSet Equity Model — Global Mid-Horizon (Daily) and demonstrate evidence of the model quality, its statistical significance, and how to forecast risk performance adequately.

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