QDB Volatility Index

The Nasdaq/NYSE HiVo & LoVo Indices are cutting-edge tools designed to offer deeper insights into market volatility across the US stock market. Leveraging predictive volatility modeling and proprietary liquidity measures, these indices identify and segment high- and low-volatility stocks, providing actionable insights for diverse investment strategies.

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Summary

Quant Data Bureau: Nasdaq/NYSE HiVo & LoVo Volatility Indices

The Nasdaq/NYSE HiVo & LoVo Indices are cutting-edge tools designed to offer deeper insights into market volatility across the US stock market. Leveraging predictive volatility modeling and proprietary liquidity measures, these indices identify and segment high- and low-volatility stocks, providing actionable insights for diverse investment strategies.

HiVo Index

The HiVo Index targets high-volatility stocks, ideal for capturing opportunities in rapidly changing market conditions. It employs an exponentially increasing weighting methodology, prioritizing stocks with the highest predicted volatility to maximize exposure to dynamic market movements.

LoVo Index

The LoVo Index emphasizes stability by focusing on low-volatility stocks. Using an inversely exponential weighting approach, it assigns greater weights to stocks with lower predicted volatility, appealing to conservative, risk-averse investors.

Core Features

Predictive Volatility Modeling: Built on 30-day forward return volatility predictions, using an 8-year historical data window for reliable forecasting.
Dynamic Adjustments: Daily retraining of models ensures the indices remain responsive to market changes.
Monthly Rebalancing: Regular updates maintain alignment with each index’s volatility strategy.
Performance Benchmarks: Measured against the SPX to provide transparent performance comparisons (2016–2024).

These indices empower investors with tools for precise risk assessment, portfolio optimization, and targeted exposure to high- or low-volatility market segments. Whether your strategy is aggressive or conservative, the HiVo & LoVo Indices provide an essential edge in navigating volatility.

Company Website: https://quantdatabureau.com/

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Quick Facts

Asset Class Coverage

Equities

Historical Coverage 01 Jan 2016 - present

Delivery Terms Daily

Geographic Coverage

North America

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QDB Risk Model

Summary

Quant Data Bureau Factor-Based Risk Model

Quant Data Bureau’s Risk Model systematically identifies and quantifies the key drivers of stock returns, empowering investors with deeper insights. Using factors derived from the proprietary QDB classification model, the Risk Model captures broad market influences that affect multiple stocks similarly.

Each stock’s performance is dissected into two components:

Factor-Driven Return: The portion of returns influenced by market-wide factors.
Residual Return: The unique, stock-specific performance isolated after accounting for factor effects.

The Residual Return is a critical measure, highlighting idiosyncratic signals that can uncover unique opportunities for outperformance. By separating broad market dynamics from company-specific drivers, our Risk Model provides a clearer view of hidden alpha, enabling smarter investment strategies and more informed decision-making.

Gain an analytical edge with Quant Data Bureau’s advanced Risk Model—your tool for precision and performance in today’s complex markets.

Company Website: https://quantdatabureau.com/

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Asset Class Coverage

Equities

Historical Coverage 03 Jan 2013 to present

Delivery Terms Daily

Geographic Coverage

North America

General Tags

No data to show

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QDB Classification

Summary

Quant Data Bureau: Advanced Company Classification Dataset

Unlock a more dynamic and insightful approach to stock categorization with our QDB Classification dataset. Unlike traditional rigid classification systems, this dataset employs probabilistic scoring to reflect the likelihood of a stock’s alignment with multiple sectors, based on the Standard Industrial Classification (SIC) system.

Using a cutting-edge BERT-based natural language processing (NLP) model, our solution analyzes business descriptions in 10-K SEC filings to identify nuanced relationships between companies and their SIC sectors. This advanced methodology delivers a probabilistic mapping that provides greater depth and flexibility than fixed-sector classifications.

The result is a versatile dataset that empowers analysts and investors to uncover unique insights, identify trends, and explore sector alignments that may not be immediately apparent through traditional methods. Whether you’re evaluating diversification strategies, conducting risk assessments, or refining your portfolio allocations, this dataset offers unparalleled granularity to inform and enhance your decision-making process.

Company Website: https://quantdatabureau.com/

Media

Documents

Notes/FAQ

Quick Facts

Asset Class Coverage

Equities

Historical Coverage 04 Jan 2010 - 31 Dec 2024

Delivery Terms Daily

Geographic Coverage

North America

General Tags

No data to show

Other Details

Visibility Level public