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.

100Names included
0Names dropped
1995-01History starts

Choose your window

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

Raw (all 100 names, 1995 onwards) showing
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)
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
BA.L1995-12-25 -94% ×16.0 repaired
BA.L1995-12-27 +1516% ×16.2 repaired
BA.L1996-01-01 -94% ×16.0 repaired
BA.L…and 17 more, nearly all on UK bank holidays
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
ULVR.L1995-04-14 +5129% ×52.3 repaired
ULVR.L1995-05-08 +5124% ×52.2 repaired
ULVR.L1995-05-29 +5131% ×52.3 repaired
ULVR.L…and 27 more, nearly all on UK bank holidays
ULVR.L1995-01-03 -98% ×52.4 excluded
ULVR.L1997-10-13 +1533% ×16.3 excluded

Dropped for bad data:
Dropped for too little history: 0 names

The universe

TickerNameICB industryMkt cap (£m)WeightFrom
III.L 3i Financials 24,669 0.91% 1995-01-02
ABDN.L Aberdeen Group Financials 4,019 0.15% 2006-07-10
ADM.L Admiral Group Financials 11,460 0.42% 2004-09-23
AAF.L Airtel Africa Telecommunications 9,938 0.37% 2019-06-28
ALW.L Alliance Witan Financials 4,958 0.18% 1995-01-02
AAL.L Anglo American plc Basic Materials 41,413 1.52% 1999-05-24
ANTO.L Antofagasta plc Basic Materials 32,277 1.19% 1995-01-02
ABF.L Associated British Foods Consumer Staples 13,156 0.48% 1995-01-02
AZN.L AstraZeneca Health Care 202,424 7.44% 1995-01-02
AUTO.L Autotrader Group Technology 4,019 0.15% 2015-03-19
AV.L Aviva Financials 21,859 0.80% 1995-01-02
BAB.L Babcock International Industrials 5,006 0.18% 1995-01-02
BA.L BAE Systems Industrials 60,549 2.22% 1995-01-02
BBY.L Balfour Beatty Industrials 4,040 0.15% 1995-01-02
BARC.L Barclays Financials 57,466 2.11% 1995-01-02
BTRW.L Barratt Redrow Consumer Discretionary 4,348 0.16% 1995-01-02
BP.L BP Industrials 96,476 3.54% 1995-01-02
BATS.L British American Tobacco Consumer Staples 97,056 3.57% 1995-01-03
BLND.L British Land Real Estate 4,324 0.16% 1995-01-02
BT-A.L BT Group Telecommunications 20,988 0.77% 1995-01-02
BNZL.L Bunzl Industrials 8,886 0.33% 1995-01-02
BRBY.L Burberry Group Consumer Discretionary 3,713 0.14% 2002-07-12
CNA.L Centrica Energy 7,052 0.26% 1997-02-17
CCEP.L Coca-Cola Europacific Partners Consumer Staples 36,179 1.33% 2019-03-28
CCH.L Coca-Cola HBC Consumer Staples 16,882 0.62% 2013-04-29
CPG.L Compass Group Industrials 42,840 1.57% 2000-01-04
CCC.L Computacenter Technology 5,515 0.20% 1998-05-21
CTEC.L Convatec Industrials 4,650 0.17% 2016-10-26
CRDA.L Croda International Basic Materials 5,035 0.18% 1995-01-02
DCC.L DCC Energy Industrials 5,507 0.20% 2000-01-04
DGE.L Diageo Consumer Staples 37,851 1.39% 1995-01-02
DPLM.L Diploma Industrials 9,796 0.36% 1995-01-02
EZJ.L EasyJet Consumer Discretionary 5,091 0.19% 2000-11-15
EDV.L Endeavour Mining Basic Materials 9,505 0.35% 2018-01-30
EXPN.L Experian Industrials 25,664 0.94% 2006-10-09
FCIT.L F & C Investment Trust Financials 6,334 0.23% 1995-01-02
FRES.L Fresnillo plc Basic Materials 17,369 0.64% 2008-05-09
GAW.L Games Workshop Consumer Discretionary 5,300 0.19% 1995-01-02
GLEN.L Glencore Basic Materials 62,551 2.30% 2011-05-19
GSK.L GSK plc Health Care 72,688 2.67% 1995-01-02
HLN.L Haleon Health Care 27,943 1.03% 2022-07-18
HLMA.L Halma plc Industrials 13,219 0.49% 1995-01-02
HSX.L Hiscox Financials 5,839 0.21% 2000-01-04
HWDN.L Howdens Joinery Consumer Discretionary 4,366 0.16% 1995-01-02
HSBA.L HSBC Financials 221,028 8.12% 1995-01-02
ICG.L ICG Financials 5,380 0.20% 1995-01-02
IGG.L IG Group Financials 3,194 0.12% 2005-04-28
IHG.L IHG Hotels & Resorts Consumer Discretionary 18,330 0.67% 2003-03-31
IMI.L IMI Industrials 6,866 0.25% 1995-01-02
IMB.L Imperial Brands Consumer Staples 21,757 0.80% 1996-10-01
INF.L Informa Consumer Discretionary 11,271 0.41% 1998-12-22
IAG.L International Airlines Group Consumer Discretionary 17,822 0.65% 2003-01-02
ITRK.L Intertek Industrials 9,095 0.33% 2002-05-24
INVP.L Investec Financials 3,869 0.14% 2002-07-22
ITH.L Ithaca Energy Industrials 5,160 0.19% 2022-11-09
JD.L JD Sports Consumer Discretionary 4,371 0.16% 1996-10-22
BGEO.L Lion Finance Group Financials 5,469 0.20% 2006-11-24
KGF.L Kingfisher plc Consumer Discretionary 5,686 0.21% 1995-01-02
LAND.L Land Securities Real Estate 5,468 0.20% 1995-01-02
LGEN.L Legal & General Financials 16,279 0.60% 1995-01-02
LLOY.L Lloyds Banking Group Financials 56,567 2.08% 1995-12-28
LMP.L LondonMetric Property Real Estate 4,490 0.16% 2007-11-07
LSEG.L London Stock Exchange Group Financials 45,261 1.66% 2001-07-20
MNG.L M&G Financials 7,693 0.28% 2019-10-21
MKS.L Marks & Spencer Industrials 8,359 0.31% 1995-01-02
MRO.L Melrose Industries Industrials 5,919 0.22% 2003-10-28
MTLN.L Metlen Energy & Metals Energy 5,768 0.21% 2025-08-04
NG.L National Grid plc Energy 63,063 2.32% 1995-12-11
NWG.L NatWest Group Financials 50,233 1.85% 1995-01-02
NXT.L Next plc Consumer Discretionary 17,528 0.64% 1995-01-02
PSON.L Pearson plc Consumer Discretionary 7,847 0.29% 1995-01-02
PSH.L Pershing Square Holdings Financials 6,650 0.24% 2017-03-10
PCT.L Polar Capital Technology Trust Financials 6,924 0.25% 1996-12-16
PRU.L Prudential plc Financials 22,128 0.81% 1995-01-02
RKT.L Reckitt Industrials 33,454 1.23% 1995-01-02
REL.L RELX Technology 50,594 1.86% 1995-01-02
RTO.L Rentokil Initial Industrials 8,731 0.32% 1995-01-02
RIO.L Rio Tinto Basic Materials 100,934 3.71% 1995-01-02
RR.L Rolls-Royce Holdings Industrials 104,959 3.86% 1995-01-02
SGE.L Sage Group Technology 10,379 0.38% 1995-01-02
SBRY.L Sainsbury's Industrials 7,369 0.27% 1995-01-02
SMT.L Scottish Mortgage Investment Trust Financials 15,974 0.59% 1995-01-02
SGRO.L Segro Real Estate 12,304 0.45% 1995-01-02
SVT.L Severn Trent Energy 9,896 0.36% 1995-01-02
SHEL.L Shell plc Industrials 228,317 8.39% 1996-08-29
SMIN.L Smiths Group Industrials 7,537 0.28% 1995-01-02
SN.L Smith & Nephew Industrials 9,383 0.34% 1995-01-02
SPX.L Spirax Group Industrials 5,564 0.20% 1995-01-02
SSE.L SSE plc Industrials 32,137 1.18% 1995-01-02
STAN.L Standard Chartered Financials 45,712 1.68% 1995-01-02
SDLF.L Standard Life Financials 9,291 0.34% 2009-11-17
STJ.L St. James's Place Financials 5,304 0.19% 1995-01-02
TSCO.L Tesco Industrials 32,902 1.21% 1995-01-02
BBOX.L Tritax Big Box REIT Real Estate 4,275 0.16% 2013-12-09
ULVR.L Unilever Industrials 102,756 3.78% 1995-01-02
UU.L United Utilities Energy 11,314 0.42% 1995-01-02
VOD.L Vodafone Group Telecommunications 27,048 0.99% 1995-01-02
WEIR.L Weir Industrials 6,843 0.25% 1995-01-02
WTB.L Whitbread Consumer Discretionary 4,602 0.17% 1995-01-02
WPP.L WPP Consumer Discretionary 4,367 0.16% 1995-03-24