We continuously onboard new data and regularly highlight some of the latest datasets available via our platform. In this edition of our Data Spotlight, we highlight three new additions for SigTech users:
1. Refinitiv IBES
Refinitiv’s IBES is one of the best-known equity consensus estimates datasets in the market today. IBES aggregates earnings estimates from analysts across the sell-side, which can help both systematic and discretionary traders understand how they are positioned relative to the rest of the market. Potential systematic strategies could be built for predicting momentum or sentiment around earnings season for a particular name.
Our Product Manager, Sam Forster, developed ten strategy baskets by sorting securities into deciles based on earnings KPIs (Trailing 12m P/E ratio, ROE, IBES EPS 1Y Growth Estimate, IBES Sales 1Y Growth Estimate), and adjusting weights proportionally by market cap. The backtest performance of the strategies is shown below.
2. IHS Markit Securities Finance (Equities and Fixed Income)
IHSM offers an industry-leading securities finance dataset that compiles borrowing and lending cost information. The data includes metrics at the instrument and transaction-level from 20,000 market participants (prime brokers, custodians, asset managers and hedge funds), who observe $33T in global securities activity. The security-level data is updated daily, and twice a day for transaction-level data, with history loaded back to 2011 (but is available back to 2006 upon client request).
Applicable to a broad range of use cases such as signal research, market impact analysis, risk management and treasury, we’re excited to offer Securities Finance data on our platform in partnership with IHS Markit. The video below shows a low-code example of how to integrate this dataset into a 5Y US Treasury strategy.
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3. Global Housing Prices
Housing price data from the OECD with history to the 1970s is now available on the SigTech platform. Whether you’re looking to incorporate macroeconomic factors into a REIT trading strategy, studying the effects of housing prices on your macro portfolio, or looking at relative value across geographies, there are over 30 countries covered, with seven metrics onboarded for each country, including rent prices, price to rent, and price to income ratios.
We observed a large drop in the latest data release of the US housing price to income ratio that diverges from the price of S&P Real Estate Sector ETFs. Observing deeper history, the ratio trends downward long term, but this particular drop may be an inflection point in the series.
SigTech’s next-gen quant platform incorporates a wide range of curated datasets. We have partnered with many of the world’s leading data vendors, exchanges and data aggregators. All datasets available via our platform are validated, clean, normalised and presented in a powerful, user-friendly, unified data layer.
Check out our previous data spotlight, here.