S&P Capital IQ Builds out Alpha Factor Library with SNL Data Integration
S&P Capital IQ has grown its library of alpha factors five-fold since its launch in 2008.
The Alpha Factor Library, which was launched in 2008 and is available on the S&P Capital IQ platform and the vendor’s Xpressfeed datafeed, provides access to a range of investment strategies—or “alpha factors”—supported by academic or industry research, as well as systematic screening of stocks based on fundamental or technical criteria, and historical back-testing that can assist in the development of stock selection models.
Initially, the library provided data and analytics for 100 North American stocks, but over the past few years, S&P Capital IQ has grown the coverage to more than 500 alpha factors for over 40,000 companies in 90 countries. The library contains signals going back to 1987 for North American stocks, 1995 for international stocks, and daily values from 2007. Most recently, the vendor introduced 115 industry-specific signals utilizing S&P Capital IQ’s industry data, including same-restaurant sales growth, combined ratios for insurance companies, airline revenue passenger-mile growth, and wireless penetration rate in the telecom market.to .
After the $2.225 billion cash acquisition of SNL, S&P Capital announced that it would combine its S&P Capital IQ data business with SNL Financial’s data assets on financial institutions, real estate and energy markets to “capitalize on the fast-growing global market for deep and accurate information,” officials said.
"With S&P Capital IQ's industry specific data sets, we worked with equity analysts, and combined a quantitative approach to identify the value drivers of each of the industries, carried out research and come up with strategies to incorporate that information in a way that no one has done before," says Kirk Wang, director of product management at S&P Capital IQ and SNL. "We already [plan] to develop more industry factors using the... SNL industry data in 2016".
In addition, the vendor plans to leverage academic papers internal research on profitability and institutional ownership to create new investment ideas within the Alpha Factor Library that the vendor identified from its research.
The alpha factors are used by fundamental and quantitative investors, funds of funds, exchange-traded fund providers and other investment professionals. “Our goal is to help people identify new sources of alpha based on data we have,” Wang says.
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@waterstechnology.com or view our subscription options here: https://subscriptions.waterstechnology.com/subscribe
You are currently unable to print this content. Please contact info@waterstechnology.com to find out more.
You are currently unable to copy this content. Please contact info@waterstechnology.com to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@waterstechnology.com
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@waterstechnology.com
More on Emerging Technologies
AI assistants for human overseers? Or human checks and balances for AI actors?
The Waters Wrap: Speakers at a recent Bloomberg event emphasized the importance of keeping a human in the AI loop—but for how long, Max asks?
CME marks cloud migration milestones, new FIX guidance for brokers, and more
The Waters Cooler: A recap of the major tech and data news from the past week in the capital markets.
How Quoniam boosted its sentiment strategy by adding an LLM
The asset manager’s upgraded system creates scores from more-informative forward-looking parts of news.
Northern Trust Asset Management turns ESG data into investable alpha
NTAM’s sustainability specialists and quant team collaborate to turn fragmented ESG inputs into investable factors.
AI regulation: Who’s responsible for eliminating ‘gray areas’?
The Waters Wrap: In light of the Hugging Face hack and similar incidents involving rogue AI agents, Anthony wonders whether industry regulators will take the reins.
Canton: has Wall Street found its blockchain?
Network and privacy is behind Digital Asset spin-off’s tilt at next-gen settlement.
Semantic density: old wine, or a new vintage?
Giving AI agents enough context to carry out enterprise tasks has become a priority for firms building them, but it’s expensive. It might not have to be.
Firms get AI access to LSEG data via DataBP admin layer
LSEG has expanded its agreement with DataBP to enable customers’ AI-based tools to request and evaluate data from the exchange and maintain more comprehensive usage records.