The US Fundamental Equity Risk Model is a vital tool for US equity managers to control exposure to endogenous factors, such as price-to-earnings ratio and yield.
- XRelaxed CAPM construct that goes beyond Beta
- Captures sources of covariance between securities
- Model based on 67 factors: Beta, 11 fundamental characteristics, and 55 industry groups
- Fully compatible with the Northfield Optimizer
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