PortfolioScience, a provider of on-demand risk management systems, has launched a Factor Index Construction Toolset via the company's RiskAPI Enterprise platform, which allows users to dynamically construct factor indices based on dozens of fundamental, technical and statistical metrics.

In addition to several highly customisable index construction methodologies, the system also provides detailed index constituent quantile analysis, allowing users to inspect and understand constituent behaviour and contribution to construction, valuation, and historical performance.
 
"The RiskAPI factor index toolset allows users to fully control the valuation and construction process of factor indexes critical to exposure analysis," says Ittai Korin, PortfolioScience's founder and president. "Rather than having to purchase and use a pre-determined, fixed-methodology index, users can now control a wide array of index construction parameters, allowing them to quickly generate historical data and analysis for any of several customised factor indexes, on-demand."