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S+FinMetrics is an invaluable econometric analysis tool offering a modern and flexible platform for financial data analysis. Unlike competitive packages, S+FinMetrics offers all of the essential analytics, from rolling regression and backtesting functions, to extreme value theory and time series analysis, in one environment. At Lipper, our customers rely on the depth and breadth of our mutual fund analysis to make the best investment decisions possible. It's mission critical that we provide accurate fund reports and analyses that our customers can use with confidence. Insightful has been delivering proven high-performance analytic software to financial analysts for more than 15 years, so we were confident that S+FinMetrics would provide us with an invaluable tool. It's a must have for anyone analyzing financial data.
Andrew Clark
Senior Research Analyst
Lipper, A Reuters Company
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S+FinMetrics is the most comprehensive, cutting-edge software for modeling, analyzing, and visualizing financial market data. The software offers the most modern, and flexible analytic environment for reliable and robust, predictive econometric modeling.

Time Series Tools

  • Complete Date/Calendar Time Series Objects
  • Aggregation and Disaggregation
  • Missing Value Interpolation
  • Technical Indicators
  • Intra-day Moving Average


  • Statistical Summaries and Tests
  • Extreme Value Theory
  • Copula Modeling and Estimation

Econometric Estimation

  • Generalized Method of Moments
  • Efficient Method of Moments
  • Linear and nonlinear SUR
  • Vector Autoregressive Models (VARs)
  • Bayesian VARs
  • Vector Error Correction Models

Complex Dynamic Models

  • Time series regression models
  • Long memory models
  • GARCH-type volatility models
  • Affine term structure models
  • State space models
  • Nonlinear regime switching models


  • Rolling Estimation and Backtesting
  • Multifactor Models
  • Fixed Income Analysis

Key Benefits

  • Modern, flexible econometric analysis
  • Sophisticated modeling optimizes complex, dynamic trading systems
  • Reliable, proven performance including rolling estimate and backtesting strategies

Documentation: S+FinMetrics Reference Manual PDF

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Figure 1: Multivariate volatility estimates using GARCH models

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Figure 2: Factor mimicking portfolios from multifactor models