Rev. Date June 4, 2020  

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

Data Frequency

Venn 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 Venn 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. They require the following data, depending on frequency:

More complex factor-based analyses, including Forecasting Performance Metrics and Optimization, require longer data history for investments or portfolios with daily data. These types of analyses generally require Venn 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. They require the following data, depending on frequency:

[1] Portfolios or investments with quarterly data must be interpolated to perform complex factor-based analyses on Venn.

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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