China Risk model

History of risk model starts from 2007, covering all listed companies in the A share market. Factors include style factors, industry exposure, factor returns, specific returns, covariance matrix of factor returns and specific risks etc.

The idea of risk model is to find the causes of stock price volatilities and to deconstruct stock returns to different sources. The final goal is to predict future price movement, which makes the risk model one of the essential data of quantitative investing. DataYes developed a risk model specifically for A share market based on experiences gained from other matured markets.

搜集汇总

背景与挑战

背景概述

该数据集始于2007年，覆盖A股所有上市公司，包含风格因子、行业暴露、因子收益、特质收益及协方差矩阵等内容。其核心目的是通过解构股价波动原因和收益来源来预测未来价格走势，是量化投资的关键数据，由DataYes基于成熟市场经验专门为A股开发。