Factor Index Toolset
Dynamic Valuation of Factor Index Data
Included within the RiskAPI Enterprise service, the Factor Index Toolset is a collection of API methods enabling users to build time series data for custom factor indexes based on any of several statistical and fundamental metrics.Factors can be constructed across flexible date ranges, on custom universes of instruments, using several configurable parameters. Additionally, the toolset allows detailed inspection of individual metric rankings used in factor valuation in order to provide full transparency into the behavior of the factor, a key element in understanding portfolio exposure.
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| A sample factor generated using the RiskAPI Enterprise Factor Index Toolset |
View Factor Quantile Data
Along with factor index construction, the RiskAPI Factor Index Toolset provides the ability to inspect historical quantile data used in factor valuation. This degree of transparency is key to understanding factor behavior as well portfolio exposure.| Symbol | Top Momentum Quantile May 16 |
|---|---|
| EW | 0.625 |
| NVDA | 0.624 |
| TSN | 0.550 |
RiskAPI Factor Index Toolset
Direct access to factor index construction. Fully configurable and transparent.
- Control over index universe
- Detailed analysis of valuation data
- Dozens of fundamental and statistical metrics available
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