Peregrine Securities Research

South African
Factor Data Library

Risk factors and the strategies based thereon are fast becoming an integral part of the global asset management landscape. 

In line with this trend, we provide an open-source database of South African equity risk factors constructed as per international asset pricing literature. In particular, we construct seven Farma-French style factors including  Size, Value, Momentum, Profitability, Investment, Low Volatility and Low Beta.
 

Please see our 2016 research report Factor Investing in South Africa for a complete outline of the factor       construction methodology. Otherwise, all datasets include a brief description of the factors and the factor model.


Please contact the Research Team for any requests on custom factor data or factor-based projects:
Email: researchadmin@legaeperesec.co.za, Phone: +27 11 722 7556