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Equity markets
MSCI Enhanced Index Module
Macrobond/FactSet Equity Factor Aggregates
Fixed income
GFI Corporate CDS
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ICAP OTC Derivative Data for G7 and Nordics
ICE/BAML Fixed Income Indices
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S&P Global / IHS Markit iBoxx Indices
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EIU Database
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Oxford Economics Regions and Cities Forecasts
Swedish NIER Institute Surveys and Forecasts
Funds
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Real estate
Canadian Real Estate Association (CREA) Database
Valueguard real estate price indices
Other
S&P Global PMI Indices
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Macrobond/FactSet Equity Factor Aggregates
We have partnered with FactSet to create the Macrobond/FactSet Equity Factor Aggregates (MFEFA), an aggregate version of the US firm’s Quant Factor Library (QFL), which provides a comprehensive representation of the entire global equity market.
Fast facts
- Covers all developed and emerging markets at an aggregate level
- Aggregates financial and alternative data from:
- 70,000+ securities
- 127 countries
- 200+ exchanges
- 100 individual data items
- 14 factor groups
Underlying data
FactSet’s QFL is a point-in-time database of factor insights and consolidated data, including alternative data from more than 70,000 securities across 127 countries and 200 exchanges.
Traditional datasets such as pricing, fundamentals and estimates offer an extensive history dating back to 1986 for key countries.
Methodology and coverage
The MFEFA aggregate the underlying data items from the QFL for the securities within each market. This rules-based approach provides our customers with a top-down representation of the investable universe available in each market while capturing local market nuances.
The MFEFA cover all developed and emerging markets at an aggregate level, which are then built out to regional aggregations.
Data items
The MFEFA include nearly 100 individual data items from across 14 different factor groups. Each is taken from the QFL at security level and then aggregated. Details can be found in the time series information section of the Macrobond application.
Corporate Governance
- Equity Buyback Ratio
- Board - Female Members
- Board - Number of Members
- Executives - Average Salary
- Executives - Average Bonus
- Management - Average Tenure
- Management - Female CEO
- Number of Employees
- Days Since CEO Change
Crowding
- Passive Percent Outstanding
- ETF Percent Outstanding
- Institutional Percent Outstanding
- Insider Percent Outstanding
- Hedge Fund Percent Outstanding
EPS
- LTM
- NTM
- STM
- Calendar year EPS (up to 5 years into the future)
Growth
- Dividend Payout Ratio
- EPS Growth Rate
- Sales Growth Rate
- R&D to Sales
- Dividend Growth Rate
Liquidity
- 21D Average Dollars Traded
- 21D Median Dollars Traded
Market Sensitivity
- 36M Beta
- 252D Beta
Momentum
- 63D Return Momentum
- 21D Return Momentum
- 252D Return Momentum
- % Above 52W Low
- % Below 52W High
Profitability
- Return on Assets
- Return on Total Equity
- Return on Invested Capital
- Net Margin
- Gross Margin
- Tax Burden
Quality
- EPS Stability
- Piotroski F-Score
- Altman Z-Score
- Beneish M-Score
Sentiment
- Price Target Estimate Stability
- Price Target Estimate Revisions
- Earnings Estimate Stability
- Earnings Estimate Revisions
Size
- Market Value
- Total Sales
- Total Assets
- Enterprise Value
- Book Value
- Aggregates Earnings
Solvency
- Cash Coverage Ratio
- Short Term % of Total Debt
- Debt Service Ratio
- Current Ratio
- Debt to Equity
- Interest Burden
- Quick Ratio
- Cash Ratio
Value
- Price to Earnings
- Price to Book
- Price to Cash Flow
- Price to Sales
- Dividend Yield
- EBITDA to Enterprise Value
- PEG Ratio
Volatility
- 252D Turbulence
- 252D Kurtosis
- 2520 Skewness
- 2520 Semivariance
- 36M Return Volatility
- 2520 Return Volatility
- 630 Return Volatility
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