We retrieve the historical adjusted closing prices for all factors that are required to price a security. Sometimes a single security might require multiple factors. For example: an option on a non-USD stock will require the historical stock information, the historical foreign exchange and historical volatility information.
These closing prices (adjusted for dividends and splits when applicable) are then converted into non-overlapping returns.
In order to compute different risk aggregations, we also need to retrieve many characteristics about the security, such as: average volume traded, market capitalization, sector, country of risk to name a few.