HOLT Factor Library

Data Feed by Credit Suisse HOLT

Added to Marketplace: October 28, 2022


Utilizing HOLT’s methodology, the HOLT Factor Library provides a unique, differentiated, and theoretically tractable factor set for your risk and portfolio analytics needs. The HOLT Scorecard consolidates key metrics and concepts from the HOLT framework into a set of factors for use in screening, portfolio analytics, and as signals in quantitative models.

The HOLT Scorecard distills a variety of risk and portfolio analytics into three composite factors for Quality, Momentum, and Valuation, provides an Overall Scorecard Factor Percentile which equally blends the three factors, and offers an Investment Style classification based on combinations of factor ranks. Growth and Risk are additional descriptive factors that are helpful for screening and portfolio analytics.

The HOLT Factor Library and Scorecard allows the characteristics of a company to be evaluated in the context that is most relevant to each investor’s mandate. The options of geographic, sector, and size facets allow users the flexibility to evaluate a firm as narrowly as relative to Regional Sector Size peers, or as broadly as relative to the full HOLT global database.

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Data Feed Details

The HOLT Scorecard has three main factors: Quality, Momentum, and Valuation. The Scorecard combines these three factors on an equal-weight basis into an Overall Factor that benefits from diversification, which mitigates performance impacts resulting from factor rotations. Two additional factors are calculated to help describe the attributes of a stock across two dimensions investors find helpful when filtering ideas: Growth and Risk. The construction of the HOLT Factor Library applies 30+ years of modeling experience to create robust factors that account for both the distribution and order of data. The Factor Library carefully transforms raw metrics to create factors that are free of distributional impacts of the raw measures.

Firm Information

HOLT is a team that helps investors make better decisions by using an objective framework for comparing and valuing companies. HOLT provides investors with a unique and consistent approach to benchmarking the corporate profitability of 20,000 companies around the world. The HOLT methodology eliminates distortions in global accounting statements, enabling clients to focus on investment decision-making, rather than on data collection.

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20+ yrs
Factor & Signals


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