To fully comprehend a portfolio’s risk exposures to common explicit or implicit factors, you must use multifactor equity
models to gain a holistic view of various factor types.
In this paper, we present the FactSet Global Monthly Equity factor model, which consists of 10 style, 52 regional, 69 industry factors, and one factor representing the global equity market movements.
We also decompose equity risk into systematic and idiosyncratic parts and provide empirical evidence for the factor model quality including a list of t-statistics and rolling bias tests.
Complete the form to download our whitepaper: Global Equity Factor Model.