A free trial of Revelio Labs data is now available via SigTech’s Data Showroom. Access preloaded, mapped and backtest ready data alongside signal code examples below and backtesting building blocks.
Historical trial data for over 4000 global publicly traded companies is available from 2008 onwards. The data is updated monthly, on the 15th.
We developed three example strategies that filter for companies outperforming their peers in workforce management, using the SigTech platform and Revelio Labs’ data.
1. Turnover predicts performance
Higher employee retention is indicative of greater company culture, which in turn leads to improved performance. Testing this hypothesis across companies in the SPX Index, we measured scaled inflows over outflows annually for the last 10 years. A strategy that rebalances annually using this signal yields a positive return. Decomposing the performance of five equally weighted ranked quintiles, the strategy yields a return of 13-14% annually, with a Sharpe ratio of 0.7-0.8.
2. Balanced diversity leads to long-term outperformance
Constructing simple strategies that rebalance annually based on gender parity by number of employees, seniority, and salary for companies in the SPX index, we find that a balanced approach outperforms long term. Both charts below show the three middle quintiles for the female/male seniority ratio and female/male ratio of employees signals yielding better returns, and generating returns between 12-15% with Sharpe ratios of 0.7-0.9.
Studying demographics parity by number of employees, seniority, and salary led to surprising quintiles outperforming, which suggests that all measures of diversity are not yet embedded into the market as long term drivers of fundamentals. However, we did find that the quintile of companies with the highest ratio of minority to non-minority employees outperformed relative to their peers. This quintile, shown in blue below, rebalances annually and generates a return of 17.53% and a Sharpe ratio of 0.9.
3. Certain sectors have skills dependencies
We utilized research by Guggenheim and Barclays on Revelio Labs data, which showed workforce skills as key performance indicators for certain sectors, to generate backtests in the SigTech platform. Guggenheim demonstrated linkage between sales employee inflows and SaaS revenue, and Barclays demonstrated marketing employee outflows negatively impact consumer company revenues.
Passing both signals through the SigTech framework on a quarterly rebalance schedule over 10 years yielded positive performance. Heatmaps for the top quintile of both strategies are shown below. It’s worth noting that our backtest for the latter signal, tested across equities in the broader consumer sector, not just consumer packaged goods.
SigTech’s Data Showroom removes operational hurdles so investors can extract value from new datasets in days not months. SigTech partners with many of the world’s leading data vendors, exchanges and data aggregators to deliver a seamless experience for data owners and quantitative investors.
Get in touch with one of our data experts to learn more about the wide range of data and functionality available in the SigTech Data Showroom to accelerate trials of new datasets and strategy deployment.