At a Glance: IHS Markit Research Signals Data Feed

The Basics

Using a broad spectrum of data sources, IHS Markit has constructed an extensive library of investment signals, ranging from traditional style factors to industry-specific metrics and unique specialty insights. Delivered as standardized scores, the Research Signals Data Feed contains over 500 investment factors designed to help asset managers identify and execute on investment ideas more quickly. With deep history and strong global coverage across Developed, Emerging, and Frontier Markets IHS Markit provides a comprehensive toolkit for both fundamental and systematic investors. 

The Coverage 

The Research Signals universe has a wide breadth, covering more than 30,000 securities in 80 countries. There are 20+ years of monthly history available for most Developed Markets and 15+ years of monthly history for Emerging Markets. Daily history is available beginning in 2008 for the United States and 2009 for the rest of the World. History varies by specific model and region.

The Differentiators

In addition to the broad coverage and deep history of the IHS Markit Research Signals Data Feed, the biggest differentiator of the Data Feed is the scope of factors included. By offering a single source of content where an investor can access anything from a traditional value factor alongside ESG content, industry specific metrics, securities lending data, and cross-asset factors derived from the CDS markets, IHS Markit makes it easy and cost efficient to evaluate new investment ideas.

The Data Feed covers traditional style factors, industry specific metrics, and a host of alternative signals. Traditional style models include deep value, earnings momentum, price momentum, value momentum, and relative value among others. For the United States, GARP Analyst, Growth Analyst, Historical Growth, and Small Cap models are available as well. The style models include both the composite factor and underlying signals.

In addition to the traditional style models included in the Data Feed, Research Signals includes several Specialty and Alternative models as well. Industry Specific models, Cross-Asset Factors derived from the CDS market, Sector Rotation Models, ESG Models, and Short Squeeze models round out the offering. There are over 100 combinations of regional coverage and model-type to choose from, ensuring that any investment idea can be tested.

Different regional markets behave differently and to account for this, IHS Markit has specifically selected the relevant factors for each model based on what matter’s in that region. For example, the Japan Deep Value Model includes Book to Market and Trailing Twelve Month Free Cash Flow to Sales while the US Deep Value Model includes Current ROE and Trailing Twelve Months Free Cash Flow to Enterprise Value. Additionally, factors may be calculated on a sector-neutralized basis or substituted completely for individual industries where more relevant factors exist. 

Each of the models is extensively back-tested using monthly data over numerous investment horizons. Fundamental data is lagged to appropriately account for and remove look-ahead bias. Out-of-sample live data is available daily and is collected and calculated in real-time, avoiding the lookahead issue completely. Finally, the factors and composite weighting schemes of a model are established when the model is created and are fixed, avoiding future changes that invalidate previous back-test results.

The IHS Markit Research Signals Data Feed provides a comprehensive solution for fundamental or systematic investors looking for broad coverage of traditional and alternative factors in a single product.

Example Use Case

IHS Markit’s Research Signals Data Feed provides discretionary and systematic investors with a wealth of information to drive the investment process. The thematic models cover traditional investment factors like value, growth and momentum while the industry and specialty models offer unique insights unavailable anywhere else in the market.

Focusing on U.S. Airlines, its easy to see how each company compares across the traditional factor models. 

United Continental Holdings is the best ranking company across all traditional categories. It has the best possible rank from the Historical Growth model and very strong Value and Momentum scores. Additionally, while the rest of the industry appears to have poor price momentum scores, United Continental ranks in the top quarter of companies by that metric as well.

Comparing the Value Momentum composite score for United Continental and Alaska Air Group shows that while the two have been historically correlated, there has been a divergence in performance beginning in April of 2018. United Continental has substantially outperformed Alaska Air Group over the subsequent period.

In addition to the traditional factors, IHS Markit offers an Airlines Factor Suite, comparing this same group of companies on airlines-specific KPIs is also produces insightful information.

Here the picture is slightly more mixed. United Continental continues to perform well in categories like Available Seat Miles and Revenue Passenger Miles but falls back to the middle of the pack for things like Fuel Costs and Yield per Passenger Miles.

Continuing the comparison, its easy to see that while Alaska and United Continental both finished Q1-2019 at about the same place, United Continental has made steady improvements over the last two years while Alaska Air has stayed relatively flat over that same period.

These factors can be plugged into systematic trading strategies or used to inform a discretionary investor’s research process. The insights provided range from traditional to cutting-edge and simplify and accelerate the alpha-generation process.

If you have questions or would like to learn more about any of the content mentioned above, please contact us at sales@factset.com.

Please visit the IHS Markit Research Signals product page on the Open:FactSet Marketplace for more information.