Models

Equity and Multi-asset factor models for all countries and regions of consequence

EMA offers a broad range of single and multi-asset class models focussed on different investment regions.

Regional and country models are built using data specific to that region/country, with a broader universe of securities included in the data set at the final stage to allow enhanced cross border analysis.

All equity models include all but the most illiquid global equities, all currencies, spot commodities, equity derivatives and many funds and indices. Other assets may be added to the model by the user. Multi-asset models extend the coverage to fixed income assets and derivatives.

Where the model includes a large number of assets that are sufficiently liquid to trade actively on a daily basis, EMA supplies a “FASTVaR” extension to the model which projects forwards the variances of the model factors to produce a short-term risk forecast with a user-set horizon from 1 day to 1 month (20 trading days).

The current model set is as follows:

Multi-Asset

  • Global Mixedf
  • Global Bondf
  • Global Equityf
  • World Mixedf
  • EM Bond

Equity – OECD

  • Australiaf
  • Canadaf
  • Francef
  • Germanyf
  • Hong Kong
  • Italy
  • Singapore
  • South Koreaf
  • Spain
  • Sweden
  • Switzerland
  • Taiwanf

Equity – Major

  • Africa
  • Africa ex SA
  • Brazil
  • Chinaf
  • Dragonf
  • GEMf
  • Indiaf
  • Israel
  • Latin America
  • Malaysia
  • MENA
  • Pakistan
  • Philippines
  • Poland
  • Russia
  • South Africa
  • Thailand
  • Turkey
  • Vietnam

Equity – Major

  • Asiaf
  • Asia ex Japanf
  • EAFEf
  • Europef
  • Europe ex UKf
  • Japanf
  • North Americaf
  • UKf
  • USAf
  • Worldf

where F superscript denotes that a FASTVaR extension is available

The models may be used with the EMA applications or the data may be licensed separately.