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.

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McGraw-Hill Financial-owned data vendor S&P Capital IQ is preparing to integrate datasets from Charlottesville, VA-based SNL Financial—a provider of data and analytics on financial institutions, real estate and energy markets, which S&P acquired on Sept. 1— into its Alpha Factor Library of proprietary global stock-picking signals, as part of ongoing efforts to build out the library’s coverage.

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.

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