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What is the difference between Factor Exposures and Factor Returns?


Factor loadings are the asset-level betas pulled from a company’s financial characteristics/statements to compute the risk premia and in turn the discount rate to be applied to a company/asset. You can observe the mean factor loadings for a given segment within the “Factor Exposures” tab of the Valuation Data and Tools product. 

Factor prices are the model coefficients, which determine how the market prices each risk factor (i.e. how it in turn impacts the Expected Returns) at time t. Whilst the factor prices are not available to view within the infraMetrics® platform, we do display the Factor Returns, which demonstrates the amount of excess return fetched by each factor.

Further Reading

You can read more about our Equity Risk premia modelling here. 

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