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FactSet Multi-Asset Class Risk Model from FactSet
Integrated factor analysis platform with comprehensive multi-asset class risk models. Offers portfolio analysis, factor-based attribution, scenario analysis, and optimization with customizable factor definitions across global markets.
Product analysis by function
Factor Analysis Platforms for Investment Strategy & Asset Allocation
Software that analyzes and decomposes investment returns into systematic factor exposures (such as value, momentum, quality) to understand portfolio characteristics and develop factor-based strategies.
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Data Integration & Quality
(10 Yes /10 Known /13 Possible features)
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Multi-source Data Connectivity Ability to connect and synchronize with various financial data providers, custodians, and internal databases. |
FactSet is renowned for connecting with global financial data providers, custodians, and internal databases, enabling multi-source data connectivity across asset classes. | |
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Data Cleaning Tools Automated or manual tools to handle missing values, outliers, and standardize formats. |
FactSet offers data cleaning and standardization as part of its data integration and portfolio analytics pipeline. | |
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Real-time Data Updates Support for streaming or near real-time data feeds. |
FactSet provides real-time and near real-time updates for portfolio and market data, widely documented on their platform. | |
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Historical Data Depth The number of years of historical data accessible for analysis. |
No information available | |
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Data Quality Scoring System rates the accuracy, completeness, and reliability of datasets before use. |
FactSet states they use automated data quality scoring to ensure reliability for investment analysis and compliance. | |
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Custom Data Import Ability for users to upload and map proprietary datasets. |
FactSet users can upload and map proprietary datasets for custom analysis. | |
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Automated Data Mapping System auto-maps fields between source and destination datasets. |
Automated data mapping is included in FactSet's portfolio data integration suite. | |
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Data Lineage Tracking Tracks the origin and transformations of data (audit trail). |
FactSet supports data lineage and provides clear audit trails for imported and processed data. | |
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Coverage Universe Number of asset classes, securities, or regions supported. |
No information available | |
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API Access APIs for importing and exporting data programmatically. |
FactSet's APIs enable programmatic import/export for data integration and analysis. | |
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Frequency of Data Refresh How often data can be refreshed or updated. |
No information available | |
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Data Encryption All data in transit and at rest is encrypted. |
FactSet data is encrypted in transit and at rest, per security documentation. | |
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Error Reporting & Logging System provides clear error logs for data issues. |
FactSet provides robust error reporting and diagnostics for all data integration activities. |
Factor Modeling
(12 Yes /12 Known /13 Possible features)
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Prebuilt Factor Libraries Comprehensive set of standard factors (e.g., size, value, quality, momentum). |
FactSet includes comprehensive libraries with standard risk and style factors (value, size, momentum, quality, etc.). | |
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Custom Factor Creation Users can define new factors using formulas, custom data, or machine learning. |
Users can define custom factors via formulas and integrate proprietary or alternative data. | |
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Factor Backtesting Historical performance simulation of factors and strategies. |
FactSet provides a backtesting engine to simulate historical performance of factors and strategies. | |
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Factor Exposure Calculation Automated calculation of portfolio exposures to specific factors. |
The platform automates calculation and reporting of factor exposures at portfolio and security level. | |
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Multi-level Factor Hierarchies Supports grouping of factors into themes or higher-level categories. |
Hierarchical factor grouping supported for theme-based or multi-level factor modeling. | |
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Factor Covariance Estimation Statistical estimation of relationships between factors. |
Factor covariance estimation is part of the risk modeling and analytics suite. | |
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Time-varying Factor Models Allows for factor model parameters to adjust through time. |
Parameters of factor models in FactSet can be scheduled/adapted over time for time-varying risk model support. | |
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Hierarchical Risk Decomposition Risk attribution can be broken out by multiple layers of factors. |
Allows risk decomposition at multiple factor hierarchy levels (e.g., by macro, sector, sub-factor). | |
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Regression Model Options Multiple regression and statistical model choices for factor estimation. |
Multiple regression and statistical estimation models for factor exposures and risk are available. | |
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Machine Learning Integration Supports use of machine learning for factor identification or construction. |
FactSet supports machine learning capabilities for factor identification, especially with proprietary datasets. | |
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Factor Sensitivity Analysis Simulate portfolio sensitivity to factor changes. |
The platform allows users to simulate sensitivity of portfolios to factor changes interactively. | |
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Persistent Beta Tracking Tracks and reports betas for factors and assets over time. |
Beta tracking for factors/assets over time is part of the risk/attribution reporting functionality. | |
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Number of Supported Factors Maximum number of factors that can be included in a single model. |
No information available |
Portfolio Construction & Optimization
(12 Yes /12 Known /13 Possible features)
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Multi-objective Optimization Supports optimization for multiple targets (e.g., maximize returns, minimize risk, optimize for specific factors). |
Supports multi-objective optimization such as minimizing risk, maximizing return, or specific factor tilts. | |
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Constraint Handling Allows custom exposure constraints (sector, region, factor, ESG). |
Custom constraints on exposures (sector, region, factor, ESG) are a core part of portfolio optimization in FactSet. | |
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Transaction Cost Modeling Integrates impact of trading costs in portfolio rebalancing. |
Transaction cost modeling is included for portfolio rebalancing analysis. | |
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Turnover Calculation Calculates expected or historical portfolio turnover rates. |
FactSet calculates turnover for both hypothetical and actual strategies. | |
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Scenario Analysis Runs hypotheticals to test portfolio outcomes under different assumptions. |
Scenario analysis, including shocks and custom what-if scenarios, is a central feature. | |
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Stress Testing Evaluates portfolio reactions under extreme market events. |
Stress testing for extreme market events is well-documented in FactSet's analytics. | |
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Multi-Period Optimization Optimization over multiple time steps, not just single-period. |
Multi-period optimization is supported for asset allocation and liability-management scenarios. | |
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Max Portfolio Size Maximum number of securities actively handled in a portfolio. |
No information available | |
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Automated Rebalancing Suggestions Platform suggests trades to maintain factor exposures. |
Automated recommendations for trades to keep portfolio in line with target exposures are provided. | |
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Pre/Post-trade Analytics Analysis of expected and actual factor exposures before and after trades. |
FactSet analytics allow for pre- and post-trade exposure and performance analysis. | |
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Portfolio Drift Alerts System alerts when portfolios drift from target factor exposures. |
The system includes drift monitoring and portfolio deviation alerts. | |
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Multi-currency Optimization Supports portfolios in different base currencies and FX risk adjustment. |
Multi-currency and FX risk adjustment are core to their global risk model. | |
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ESG/SRI Overlay Ability to integrate environmental, social, and governance screens into optimization. |
FactSet supports ESG factor overlays in optimization, as referenced in their portfolio analytics offering. |
Risk Analytics & Attribution
(11 Yes /11 Known /12 Possible features)
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Factor-based Risk Decomposition Breaks down total risk by component factors. |
Risk decomposition by factor/group is a standard attribution output. | |
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Value at Risk (VaR) and Expected Shortfall Calculation of factor or portfolio-level risk metrics. |
VaR and Expected Shortfall metrics are standard components of curated risk analytics. | |
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Factor-Based Performance Attribution Attributing performance to factor exposures or timing. |
Factor-based attribution modules available for performance and risk reporting. | |
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Relative vs. Absolute Risk Analysis Compares risk to benchmarks as well as standalone portfolios. |
Relative and absolute risk can be compared to benchmarks or standalone, as configured. | |
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Contribution to Risk (CTE/CTR) Provides % risk contribution by asset or factor. |
Risk contribution analytics provided by portfolio/factor. | |
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Conditional Risk Analysis Risk analysis conditional on macroeconomic or market events. |
Conditional risk analysis (e.g., by macro scenario or market state) is supported. | |
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Rolling Window Analytics Support for rolling analysis (e.g., rolling beta, rolling risk). |
Rolling analytics (rolling beta, volatility, etc.) are available under time-series tools. | |
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Risk Limits Monitoring Allows pre-set boundaries for factors or portfolio risk metrics. |
Risk limits can be monitored and flagged through the exposure constraint mechanism. | |
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Marginal Risk Analysis Measures risk added or removed by individual securities or factors. |
Marginal risk analytics available for individual assets or factor tilts. | |
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Backtest Drawdown Analysis Examines historical drawdowns tied to factors. |
Drawdown attribution and analysis tools are included in historical backtesting. | |
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Time to Compute Risk Stats Time taken to run a full risk analysis report. |
No information available | |
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Factor Interaction Analytics Examines nonlinear effects/interactions across factors. |
Analytics for factor interaction and nonlinear effects are available for advanced users. |
Reporting & Visualization
(10 Yes /10 Known /11 Possible features)
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Customizable Dashboards Configurable real-time dashboards showing factor, portfolio, and risk stats. |
Dashboards are configurable, enabling custom layouts of portfolio, risk, and performance metrics. | |
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Factor Exposure Heatmaps Visual representations of factor exposures across portfolios or time. |
Factor exposure heatmaps and temporal visualizations are supported on dashboards. | |
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Scenario & What-If Visualization Interactive graphs to visualize different analysis scenarios. |
Interactive scenario/what-if visualization tools are described in FactSet's reporting suite. | |
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Automated Periodic Reporting Scheduling and generation of automated performance and risk reports. |
Periodic reporting, including automated and scheduled reports, are a standard offering. | |
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Multi-format Reports Export Supports exporting reports in PDF, Excel, PowerPoint, etc. |
Supports export of reports/dashboards in multiple formats including PDF, Excel, PPT. | |
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Ad Hoc Query Builder Users can design custom queries and tables on demand. |
Ad hoc query and custom report builder are available through the FactSet workspace. | |
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White-labeling Options Offers custom branding/logos on reports and dashboards. |
White-label branding for institutional customers is available as a premium option. | |
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Mobile/Tablet Visualization Support Reports and dashboards adapt to mobile devices. |
Dashboards and reports are optimized for viewing on mobile/tablet devices. | |
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Interactive Charting Tools Drill-down capability in visualizations for deeper insights. |
Interactive and drill-down charting tools are a central feature of the reporting interface. | |
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Automated Commentary Generation System can write brief text narratives about results. |
Automated commentary (natural language reporting) is available for portfolio managers. | |
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Report Customization Time Average time to customize and create a new standard report. |
No information available |
Collaboration & Workflow
(10 Yes /10 Known /10 Possible features)
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Role-based Access Controls Fine-grained permission system for users, teams, and departments. |
Role- and permission-based access is a core security and workflow feature. | |
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Collaborative Annotations Team members can add notes and comments on datasets, factors, or analysis outputs. |
Collaborative annotations/notes can be added on any analytic or report object. | |
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Audit Trail for Changes Tracks changes to factors, data, and models with timestamps and user IDs. |
Change/audit tracking for data/model edits is a documented feature for compliance. | |
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Version Control for Models Supports saving, restoring, and comparing multiple versions of factors or models. |
Version control and history are supported for analytic factors and model configurations. | |
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Approval Workflows Structured approval process for production usage or large changes. |
Approval workflows are available for enterprise users and managed accounts. | |
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Comment Threading Organized comment histories on analyses or reports. |
Comment threading is available as part of their collaborative analytics environment. | |
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User Activity Dashboard Visualization of recent activity by all team members. |
Activity dashboards showing user actions and collaboration are available for managers. | |
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Notification System Alerts and notifications for changes, approvals, or data imports. |
Notification and alert systems are included for workflow and data changes. | |
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Report Sharing/Publishing Easy mechanism to securely share insights within or outside organization. |
Reports and dashboards can be securely published/shared via links or within FactSet ecosystem. | |
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Simultaneous Multi-user Editing Supports multiple users working in parallel on the same project. |
Multiple users can simultaneously work on projects (workspaces) in FactSet. |
Integration & APIs
(9 Yes /9 Known /10 Possible features)
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RESTful API Endpoints Exposes platform data and analytics for external integration. |
RESTful APIs enable external integration with analytics and data services. | |
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Batch Data Export Bulk export of time series, factor scores, and risk reports. |
Bulk/batch data export is available for time series, factors, and analytics. | |
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Order Management System (OMS) Integration Seamlessly sends trade suggestions to OMS platforms. |
OMS integration is supported through APIs and partner connectors. | |
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Portfolio Management System (PMS) Integration Connects with PMS for real-time holdings and exposures. |
Native connections with leading PMS platforms for holdings and positions management. | |
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SFTP/FTP Support Bulk file transfer through secure FTP protocols. |
SFTP/FTP supported for secure, large-scale file transfer operations. | |
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Webhooks for Real-time Updates Pushes notifications and updates to other systems using webhooks. |
Webhook functionality is available for triggering external workflows on data/events. | |
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Custom Scripting Support Allows custom scripts (Python, R, etc.) to automate workflows. |
Users can execute custom scripts (Python, R) within the FactSet environment for analysis/automation. | |
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Third-party Ecosystem Support Able to connect with popular financial data and analytics providers. |
FactSet integrates with a broad ecosystem of third-party financial data and analytics providers. | |
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API Rate Limits Maximum calls per second for stable operation. |
No information available | |
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OAuth/SSO Authentication Supports Single Sign-On and industry-standard authentication. |
OAuth and SSO authentication supported, with enterprise identity management options. |
User Interface & Usability
(8 Yes /9 Known /10 Possible features)
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Intuitive Navigation Logical layout reduces clicks and speeds up workflows. |
FactSet's user interface is noted for logical, workflow-optimized layouts. | |
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Multi-language Support Interface is available in multiple languages. |
Support for multiple interface languages is available, focused on global markets. | |
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Accessibility Features Support for visually impaired users (high contrast, screen readers, keyboard navigation). |
Accessibility features (screen readers, high contrast, keyboard navigation) are available per industry standards. | |
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Responsive Design Adapts to different screen sizes and devices. |
Responsive design adapts to various device screens, confirmed in FactSet product documentation. | |
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Customizable Shortcuts Allows users to create or edit key shortcuts for frequent actions. |
Not as far as we are aware.* Customizable keyboard shortcuts not explicitly stated in materials—feature inferred to be limited or unavailable. | |
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Search Functionality Comprehensive search for factors, securities, reports, and documentation. |
Comprehensive search tools available for all core data, factors, and documentation. | |
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Step-by-step Wizards Guided workflows for complex processes. |
Step-by-step guided workflows and wizards available for report and model creation. | |
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In-app Help/Tooltips Contextual help is available at all major interface points. |
Context-specific in-app help and tooltips are broadly available. | |
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Load Time for Major Screens Average load time for analytics dashboard or factor model screens. |
No information available | |
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User Profile Customization Custom dashboards and settings for individual users. |
User dashboards and analytical workspaces are fully customizable. |
Security & Compliance
(8 Yes /8 Known /10 Possible features)
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Role-based Access Control Granular permissions for users, admins, and external users. |
Granular role-based access control is enforced for compliance and security. | |
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Two-Factor Authentication (2FA) Optional or required multi-factor authentication for enhanced login security. |
Two-factor authentication (SMS, authenticator app) and SSO mandated for institutional clients. | |
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Comprehensive Audit Logs All user/system actions are logged for compliance and troubleshooting. |
Full audit logs are available for all user/system actions for regulatory compliance. | |
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GDPR/CCPA Compliance System is designed to meet major global privacy regulations. |
FactSet is GDPR and CCPA compliant, with documentation to support major global jurisdictions. | |
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Encryption in Transit and at Rest All user and financial data is encrypted both during transfer and storage. |
End-to-end encryption in transit and at rest is a standard security protocol. | |
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Penetration Testing Frequency Times per year third-party penetration tests are conducted. |
No information available | |
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Data Backup Frequency How often critical data is backed up securely. |
No information available | |
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Single Sign-On Support Integration with enterprise identity solutions (Azure AD, Okta, etc.). |
Single Sign-On is supported with Azure AD, Okta, and other enterprise providers. | |
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IP Whitelisting/Geo-fencing Restrict access by physical location or approved network contexts. |
IP whitelisting and geo-fencing available for enterprise security requirements. | |
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Automated Threat Detection Detection and alerts for suspicious user/system activity. |
Automated threat detection, intrusion detection, and SOC monitoring are part of FactSet's security posture. |
Performance & Scalability
(4 Yes /4 Known /10 Possible features)
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Concurrent User Capacity The maximum number of concurrent users supported with no performance degradation. |
No information available | |
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Analysis Throughput Number of portfolios and datasets the platform can analyze per day. |
No information available | |
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Peak Data Upload Size Largest supported file/dataset for loading/upload. |
No information available | |
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Average Report Generation Time Typical time taken to generate a complex portfolio report. |
No information available | |
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Uptime SLA Guaranteed platform uptime percentage. |
No information available | |
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Autoscaling Infrastructure System resources automatically scale to support large computational loads. |
Cloud-native autoscaling for computational workloads is part of the architecture. | |
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Batch Processing Support Handles bulk analysis jobs without user intervention. |
FactSet supports batch processing for portfolio and risk analytics jobs. | |
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Geographically Redundant Hosting System is deployed in multiple data centers to minimize downtime. |
Geographical redundancy and multi-region hosting for disaster recovery are documented features. | |
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Cloud/On-premise Deployment Options Flexible hosting for large/sensitive clients. |
FactSet provides both cloud and on-premise deployment for regulated and large enterprise clients. | |
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Parallel Model Runs Number of concurrent factor models that may be run in parallel. |
No information available |
Support & Training
(9 Yes /9 Known /10 Possible features)
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24/7 Customer Support Live technical and product support always available. |
24/7 client and technical support available for enterprise clients. | |
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Dedicated Account Manager Named primary contact for large clients or key accounts. |
Dedicated account managers provided for institutional/enterprise accounts. | |
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Extensive Documentation Detailed user manual, API docs, and frequently asked questions. |
FactSet documentation is extensive, including API, methodology, and workflow guides. | |
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Onboarding Workshops Live or recorded sessions for initial user onboarding. |
Onboarding workshops and client training are directly referenced for new FactSet users. | |
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In-product Guided Tutorials Step-by-step tours of core platform features. |
Step-by-step guided tutorials and tours are built into the platform. | |
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Online Knowledge Base Searchable, up-to-date library of how-tos and best practices. |
Online knowledge base and help portal available to all users. | |
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Active User Community Forum or user group for peer-to-peer support and networking. |
FactSet maintains an active user community and regularly runs client events. | |
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Training Certification Programs Users can earn certificates in platform proficiency. |
Training and certification is available for advanced analytics and platform use. | |
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Average Response Time Median time to initial response for support cases. |
No information available | |
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Custom Training Services Tailored training for teams or enterprise deployments. |
FactSet offers custom and team-based training services for enterprise rollouts. |
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