Markit launches securities finance add-on for Factor platform
18 October 2012 London
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Markit has released a new enhancement to Markit Data Analytics & Research’s Factor product that tracks short selling sentiment.
The Factor analytics platform is a fully-integrated research and signal management platform that allows seamless custom model building and strategy deployment for equity and fixed income.
Investment professionals, including quantitative analysts, use it to evaluate signals when making investment decisions and managing risks.
The new Short Sentiment Factors Suite joins a suite of 300+ equity factors and 70+ credit factors. Markit Data Analytics and Research, which was formed when Markit acquired Quantitative Services Group in November 2011, developed the factors.
The new suite leverages the securities finance content set from Markit Securities Finance—formerly Data Explorers, which Markit acquired in April—that covers global inventory of more than 3 million intraday transactions, spanning $12 trillion of securities in the lending programmes of more than 20,000 institutional funds.
Markit Securities Finance provides global securities finance data, tracking short selling and institutional fund activity. Data is sourced directly from prime brokers, custodians, asset managers and hedge funds.
The new suite has found that the cost of shorting is among the top performing (the best in Europe) of all factors since January 2007, with a high and consistent return. It has beaten operating cash flow ratios, profitability ratios, interest cover and cash flow to enterprise vale.
The Implied Loan Rate factor, which is one of seven in the Short Sentiment Factors Suite, works for one month to six month holding periods, for most regions, and measures the cost (rate) of going short.
It has found that a high turnover strategy is not required to profit, with short selling insight proving generally right over a six month holding period across regions.
The Factor analytics platform is a fully-integrated research and signal management platform that allows seamless custom model building and strategy deployment for equity and fixed income.
Investment professionals, including quantitative analysts, use it to evaluate signals when making investment decisions and managing risks.
The new Short Sentiment Factors Suite joins a suite of 300+ equity factors and 70+ credit factors. Markit Data Analytics and Research, which was formed when Markit acquired Quantitative Services Group in November 2011, developed the factors.
The new suite leverages the securities finance content set from Markit Securities Finance—formerly Data Explorers, which Markit acquired in April—that covers global inventory of more than 3 million intraday transactions, spanning $12 trillion of securities in the lending programmes of more than 20,000 institutional funds.
Markit Securities Finance provides global securities finance data, tracking short selling and institutional fund activity. Data is sourced directly from prime brokers, custodians, asset managers and hedge funds.
The new suite has found that the cost of shorting is among the top performing (the best in Europe) of all factors since January 2007, with a high and consistent return. It has beaten operating cash flow ratios, profitability ratios, interest cover and cash flow to enterprise vale.
The Implied Loan Rate factor, which is one of seven in the Short Sentiment Factors Suite, works for one month to six month holding periods, for most regions, and measures the cost (rate) of going short.
It has found that a high turnover strategy is not required to profit, with short selling insight proving generally right over a six month holding period across regions.
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