LRM1 Multi-Factor Risk Model for Asset Managers

ETFLogic’s latest addition to its independent market data analytics suite is a new and unique factor-risk model designed for US-Listed ETFs and their multi asset-class exposures. The security coverage also includes over 4,000 equity securities (single stocks). The Logic Risk Model provides the investment community with an objective reference for model risk monitoring and benchmarking.

Investment professionals can assess portfolio exposures to various factors and filter out bias in the investment decision-making process. The model implements four groups of factors:

  • Equity Sectors
  • Statistical Styles, such as size, momentum and volatility
  • Fundamental Factors, such as growth, value and dividend yield
  • Asset Classes, such as commodities, fixed income and real-estate

Factor Groups

Commodities

Agriculture

Energy

Precious Metals

Equities

Dividend

Growth

Quality

Value

Equities

Equity Beta

Core Equity

Mid-Cap

Volatility

Momentum

Small-Cap

RE

Real Estate

Fixed Income

Credit Spread

High Yield

Equity Beta

Fixed Income

Core Fixed Income

Municipals

Sovereign

Government