Written by Alex Botte
Updated over a week ago

Rev. Date May 29, 2019

The amount of return data required for factor-based analysis on [TEST] depends on the frequency of the data provided and the type of analysis.

Data Frequency

[TEST] currently supports daily, monthly, and quarterly return frequencies. In general, more history is required for data at lower frequencies. Click here to learn more about the frequency of data [TEST] supports.

Type of Factor Analysis

Factor Summary and Factor Trend analyses for investments and pro forma portfolios are purely backward-looking and descriptive in nature. They do not generate performance estimates to perform additional analysis and can therefore function with a shorter data history (in the case of daily data). They require the following data, depending on frequency:

More complex factor-based analyses, including AltCast, Optimization, and Drawdown Analysis, require longer data history for investments or portfolios with daily data. These types of analyses generally require [TEST] to estimate an investment’s or portfolio’s beta exposures and residual return over a period of time, and a longer data history helps address the instability of estimates over short estimation windows. Therefore, AltCast, Optimization, and Drawdown Analysis require the following data, depending on frequency:

This document highlights certain aspects of this feature. As an overview, it does not discuss all material facts or assumptions. Please see Important Disclosure and Disclaimer Information.
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