(I posted this on the 'stocks' forum. Guess it was wrong forum for that Q. Hopefully, this is the right one). Hello, Are there any equity risk factors like those by Barra available in the public domain (i.e. at no cost) ? Am not merely seeking some free stuff. I don't mind working to come up with some approximations and don't mind that (work) being public if someone is ready to work on it with me. Ciao, Guava.
just for your info- in amibroker you can sort a pool of 1000s of equities at once using yahoo free fundamental data.. you can then likely code a strategy that buys the highest sector ranking (yahoo already provides the sector name/code which amibroker will sort) and say, as an example, shorts the lowest ranking... or whatever you want to code... You can also create simple reports that give the info from yahoo about money flow in and out of sectors by creating price and volume studies... These examples above are fairly simple to do in amibroker... Alternatively you can force a portfolio to have less than a certain ratio of equity in one specific sector.. these are all possible with the advanced backtester and porfolio tools along with yahoo fundamental data My above comments are for sector specific risk.... For Market risk.. you could detect large moves in the pool of equities you trade or via a watchlist.. and use the information to trade your portfolio - say lowering exposure through stops, forced exits, or reduced position sizes... Also you can track foreign symbols (the term amibroker uses for it) - say the ^GSPC yahoo symbol... which will tell you to liquidate if say - the index falls a bunch or is overbought according to some signal you have... In general, all the tools northfield or barra could give you can be incorporated into your own strategy/portfolio system which could be automated down the line, or used via reports in a discretionary manner all the while using Amibroker.. Good Luck