Macrobond/FactSet Equity Factor Aggregates

Macrobond has partnered with FactSet to provide an add-on dataset that helps you understand equity market valuations and trends at an aggregate level.

Introduction

Macrobond delivers the world’s most comprehensive source of macroeconomic intelligence for financial professionals.

Our customers need to identify investment themes across global equity markets, incorporate these insights into their portfolios and transform raw data into actionable intelligence.

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.

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.

The QFL history covers 67,000 securities globally.

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.

The MFEFA covers emerging and developed markets.

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.

To find out more, please contact your Macrobond account manager.