APT Risk Models - Market Risk
Robust risk profiles for 300,000 equities, government bonds, corporate bonds, currencies, indexes, funds, ETFs, convertibles, CDSs, commodities, and unlimited futures, options, & user-defined securities, provided daily, weekly or monthly.
All model estimations are based wholly on the Arbitrage Pricing Theory, make no parametric assumptions, do not rely on ad hoc suppositions, do not fall prey to data mining, and are built using only the most clean and widely-available data - giving the most accurate, stable and comprehensive risk models available.
Single-country and regional models are available, including World, EAFE, Europe, Eurozone, Emerging Markets, Asia Pacific, etc, and every country with an exchange. Pure electronic, international exchanges are also covered.
Securities and instruments included in the risk models include:
- Equities
- Fixed income securities (government bonds, corporate bonds)
- Currencies - in all models
- Bond products (Convertible bonds)
- Credit products (Credit default swaps, CDSs)
- Indexes & futures - in all models
- Funds, ETFs, Investment Trusts
- Property (REITs)
- User-defined securities
- Options on any of the items above
- Statistical factors (components)
- Country factors
- Currency factors
- Sector factors (various popular sector families included)
- Industry factors
- Style factors (Value, Growth, Momentum, etc)
- Fundamental factors (P/E, P/B, Size, etc)
- Economic factors (Interest rates, price of energy, price of labour, etc)
- Bond factors (duration, convexity, shift, butterfly, twist)
- User-defined factors
All major ID types are available. Non-unique ID types resolved automatically. ADRs, GDRs, secondary listings, preferreds, bearers, etc., all included and can be intelligently substituted. Corporate actions, recent issues, mergers, etc are all seamlessly accounted for.
Wide range of security-level descriptive data for selecting, screening and reporting.
Risk databases are available in these formats, for all countries, regions & world:
- Equity risk model
- Fixed income risk model
- Balanced risk model (equity and bond)
- Funds risk model (for funds of funds)
- Real estate investment trust (REIT) risk model
- Integrated multi-asset class, including all the securities and factors listed above
Short-term volatility (trading models) and medium-term (asset managers) versions of each model are available.
| Countries | Equities | Bonds | Funds | Other | Factors |
|---|---|---|---|---|---|
| USA | 15000 | 20000 | 15000 | 2000 | 150 |
| UK | 2500 | 3000 | 17000 | 500 | 75 |
| Japan | 4500 | 1250 | 125 | ||
| Italy | 750 | 1000 | 10000 | 75 | |
| Germany | 2500 | 42000 | 11000 | 500 | 75 |
| France | 1500 | 2500 | 7000 | 150 | |
| Other | 30000 | 10000 | 30000 | 4000 | 300 |
Index constituent data
Index constituent data is available for:
- subscription indexes including MSCI, FTSE & Salomon indexes
- exchange indexes such as Dow Jones, FTSE100, FTSE350, CAC, DAX, etc
Retail & Mutual Funds Analysis
Pre-computed APT RAP (risk-adjusted performance) data is available for over 70,000 funds, with single-figure summaries of fund risk, performance and risk-adjusted performance, and with drill-down analysis of underlying fund risks. Suitable for:
- funds-of-funds for fund selection and portfolio construction
- marketing departments of asset managers
- retail investors
Available from the FT (every Monday in the UK, or internationally at http://funds.ft.com/funds/), Eurofunds Newspapers (Le Monde, Suddeutsche Zeitung, La Stampa, etc.), selected IFAs, and in South Africa via the local press. See 'APT for retail investors'. A real commercial-grade alternative to Morningstar and Micropal.
The data and models can be used standalone, or with the APT software to conveniently calculate the comprehensive range of APT analytics. Contact APT for a presentation, demonstration and example risk report for your fund or book.
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