Peregrine Securities Research
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.
Full ALSI Universe Factors
Please contact the Research Team for any requests on custom factor data or factor-based projects:
Email: email@example.com, Phone: +27 11 722 7556