FactSet Global Equity Short Horizon Model

Enhancing performance on daily forecast horizons

The definition of equity risk measurement and management has evolved from the calculation of sample standard deviation offds daily global equity model_update_wp_ipad-thumbnail the equity returns over a given historical time window to advanced multi-factor models. To conduct effective risk management and portfolio performance attribution, one must understand portfolio risk exposures to common explicit or implicit factors.

In this paper, we present the short-horizon (SH) version of the FactSet Equity Model — Global (Daily) that has been adjusted for better performance at daily forecast horizons.

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