Risk Model Training

What you are downloading

Free market data is never clean. Everything we repaired or removed is listed here — but Module 1 asks you to find the problems yourself first, so you may prefer to come back to this page afterwards.

81Names included
19Names dropped
2005-04History starts

Choose your window

Depth and breadth trade off against each other. Pick your poison.

Raw (all 100 names, 1995 onwards)
Exactly as it arrives: ragged start dates, real gaps, and the bad prints still in. Use this for Module 1.
View Workbook
Core (2005 onwards) showing
Four crises: the GFC, the 2011 euro crisis, Covid, and the 2022 gilt/LDI crisis. Screened and trimmed. Use this from Module 2 onward.
View Workbook
Long (1995 onwards)
Adds the dot-com bubble and unwind, at the cost of roughly a quarter of the names.
View Workbook

Benchmarks, and why two of them disagree

There is no single thing called “the index”. The file gives you several, and comparing them is the point.

SeriesWhat it actually is
^FTSEFTSE 100 price index. No dividends. The longest history.
CUKX.LiShares Core FTSE 100 accumulating ETF. Dividends reinvested inside the fund, so this genuinely is total return. Regress against this one.
FTAL.LSPDR FTSE UK All-Share accumulating ETF. Total return, wider universe.
ISF.LiShares Core FTSE 100 distributing ETF. Looks like total return. Is not. See Module 1.
EQUAL_WEIGHT_TREqual-weighted basket of the names in your file.
CAPFIXED_TRThe same names at today’s cap weights, held fixed.

The cleaning log

Bad prints we repaired, and scale breaks we could not.

TickerDateMoveRatioVerdict
BGEO.L2012-02-28 +5377% ×54.8 excluded
PCT.L2011-04-29 -90% ×10.0 repaired
PCT.L2009-01-02 +942% ×10.4 excluded
PCT.L2013-01-02 -90% ×9.7 excluded

Dropped for bad data: BGEO.L PCT.L
Dropped for too little history: 17 names

The universe

TickerNameICB industryMkt cap (£m)WeightFrom
III.L 3i Financials 26,524 1.08% 1995-01-02
ADM.L Admiral Group Financials 11,663 0.48% 2004-09-23
ALW.L Alliance Witan Financials 4,924 0.20% 1995-01-02
AAL.L Anglo American plc Basic Materials 42,088 1.72% 1999-05-24
ANTO.L Antofagasta plc Basic Materials 35,234 1.44% 1995-01-02
ABF.L Associated British Foods Consumer Staples 12,894 0.53% 1995-01-02
AZN.L AstraZeneca Health Care 185,734 7.58% 1995-01-02
AV.L Aviva Financials 21,290 0.87% 1995-01-02
BAB.L Babcock International Industrials 4,795 0.20% 1995-01-02
BA.L BAE Systems Industrials 57,731 2.36% 1995-01-02
BARC.L Barclays Financials 63,743 2.60% 1995-01-02
BTRW.L Barratt Redrow Consumer Discretionary 3,826 0.16% 1995-01-02
BEZ.L Beazley Financials 7,766 0.32% 2002-11-12
BP.L BP Energy 88,975 3.63% 1995-01-02
BATS.L British American Tobacco Consumer Staples 90,161 3.68% 1995-01-03
BLND.L British Land Real Estate 4,041 0.16% 1995-01-02
BT-A.L BT Group Telecommunications 20,131 0.82% 1995-01-02
BNZL.L Bunzl Industrials 8,233 0.34% 1995-01-02
BRBY.L Burberry Group Consumer Discretionary 3,568 0.15% 2002-07-12
CNA.L Centrica Utilities 6,708 0.27% 1997-02-17
CPG.L Compass Group Industrials 39,850 1.63% 2000-01-04
CCC.L Computacenter Technology 5,494 0.22% 1998-05-21
CRDA.L Croda International Basic Materials 4,405 0.18% 1995-01-02
DCC.L DCC Energy Industrials 5,412 0.22% 2000-01-04
DGE.L Diageo Consumer Staples 35,856 1.46% 1995-01-02
DPLM.L Diploma Industrials 9,514 0.39% 1995-01-02
ENT.L Entain Consumer Discretionary 3,190 0.13% 2004-12-21
FCIT.L F & C Investment Trust Financials 6,325 0.26% 1995-01-02
GAW.L Games Workshop Consumer Discretionary 5,823 0.24% 1995-01-02
GSK.L GSK plc Health Care 73,884 3.02% 1995-01-02
HLMA.L Halma plc Technology 13,075 0.53% 1995-01-02
HSX.L Hiscox Financials 5,984 0.24% 2000-01-04
HWDN.L Howdens Joinery Industrials 4,078 0.17% 1995-01-02
HSBA.L HSBC Financials 261,258 10.66% 1995-01-02
ICG.L ICG Financials 5,336 0.22% 1995-01-02
IGG.L IG Group Financials 4,324 0.18% 2005-04-28
IHG.L IHG Hotels & Resorts Consumer Discretionary 16,711 0.68% 2003-03-31
IMI.L IMI Industrials 7,067 0.29% 1995-01-02
IMB.L Imperial Brands Consumer Staples 18,955 0.77% 1996-10-01
INF.L Informa Consumer Discretionary 11,071 0.45% 1998-12-22
IAG.L International Airlines Group Consumer Discretionary 17,987 0.73% 2003-01-02
ITRK.L Intertek Industrials 8,995 0.37% 2002-05-24
INVP.L Investec Financials 4,121 0.17% 2002-07-22
JD.L JD Sports Consumer Discretionary 3,640 0.15% 1996-10-22
KGF.L Kingfisher plc Consumer Discretionary 4,766 0.19% 1995-01-02
LAND.L Land Securities Real Estate 4,654 0.19% 1995-01-02
LGEN.L Legal & General Financials 15,955 0.65% 1995-01-02
LLOY.L Lloyds Banking Group Financials 63,462 2.59% 1995-12-28
LSEG.L London Stock Exchange Group Financials 40,010 1.63% 2001-07-20
MKS.L Marks & Spencer Consumer Staples 7,822 0.32% 1995-01-02
MRO.L Melrose Industries Industrials 5,818 0.24% 2003-10-28
NG.L National Grid plc Utilities 55,446 2.26% 1995-12-11
NWG.L NatWest Group Financials 55,018 2.25% 1995-01-02
NXT.L Next plc Consumer Discretionary 16,860 0.69% 1995-01-02
PSON.L Pearson plc Consumer Discretionary 7,084 0.29% 1995-01-02
PSN.L Persimmon Consumer Discretionary 3,540 0.14% 1995-01-02
PRU.L Prudential plc Financials 24,049 0.98% 1995-01-02
RKT.L Reckitt Consumer Discretionary 32,013 1.31% 1995-01-02
REL.L RELX Consumer Discretionary 43,793 1.79% 1995-01-02
RTO.L Rentokil Initial Industrials 8,271 0.34% 1995-01-02
RIO.L Rio Tinto Basic Materials 116,821 4.77% 1995-01-02
RR.L Rolls-Royce Holdings Industrials 117,686 4.80% 1995-01-02
SGE.L Sage Group Technology 8,979 0.37% 1995-01-02
SBRY.L Sainsbury's Consumer Staples 7,340 0.30% 1995-01-02
SDR.L Schroders Financials 9,130 0.37% 1995-01-02
SMT.L Scottish Mortgage Investment Trust Financials 15,503 0.63% 1995-01-02
SGRO.L Segro Real Estate 12,583 0.51% 1995-01-02
SVT.L Severn Trent Utilities 8,820 0.36% 1995-01-02
SHEL.L Shell plc Energy 207,336 8.46% 1996-08-29
SMIN.L Smiths Group Industrials 7,207 0.29% 1995-01-02
SN.L Smith & Nephew Health Care 8,688 0.35% 1995-01-02
SPX.L Spirax Group Industrials 5,050 0.21% 1995-01-02
SSE.L SSE plc Utilities 28,058 1.15% 1995-01-02
STAN.L Standard Chartered Financials 49,956 2.04% 1995-01-02
STJ.L St. James's Place Financials 5,572 0.23% 1995-01-02
TSCO.L Tesco Consumer Staples 30,036 1.23% 1995-01-02
ULVR.L Unilever Consumer Discretionary 99,502 4.06% 1995-01-02
UU.L United Utilities Utilities 9,873 0.40% 1995-01-02
VOD.L Vodafone Group Telecommunications 30,286 1.24% 1995-01-02
WEIR.L Weir Industrials 6,817 0.28% 1995-01-02
WTB.L Whitbread Consumer Discretionary 3,901 0.16% 1995-01-02