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.

calculator

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: http://subscriptions.waterstechnology.com/subscribe

You are currently unable to copy this content. Please contact info@waterstechnology.com to find out more.

A tech revolution in an old-school industry: FX

FX is in a state of transition, as asset managers and financial firms explore modernizing their operating processes. But manual processes persist. MillTechFX’s Eric Huttman makes the case for doubling down on new technology and embracing automation to increase operational efficiency in FX.

Most read articles loading...

You need to sign in to use this feature. If you don’t have a WatersTechnology account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here