Alternative Datasets

Alternative Datasets

 

We combine our expertise in the creation, redemption and market-making processes and collation of ETF fund data from dozens of data sources to drive our signals and feature sets.

Typical use cases range from systematic and quant-driven strategies, actionable signals for tactical trading to monitoring for pre-trade analysis, investment due-diligence and risk measurement.

  • FMD – Single Stock Flow Monitor Dataset 
    • Daily single stock flow alpha signals for 3000+ US tickers due to ETF primary market activity. Incorporates creation, redemption and rebalancing activity.
  • J-FMD – Japan – Single Stock Flow Monitor Dataset
    • Our FMD signal also exists for the Japan market– where we produce daily signals on 1000+ Japanese single stock equities
  • EFF – ETF Fundamental Financial Statement Features – based on the latest company financial statements
    • Produces a set of 23 daily features for over 500 US-Listed Equity ETFs. The features are backwards-looking fundamental single-stock metrics that are averaged up to the ETF using our basket weights database.
  • EEE – ETF Earnings Consensus Estimates – based on latest company earnings consensus estimates
    • Produces earnings estimate features for over 500 US-Listed Equity ETFs. These estimates are generated daily and incorporate the latest consensus estimates which, in turn, are generated from the most recent equity analyst P/E forecasts. The features are forwards-looking PE ratios that are averaged up to the ETF using our basket weights database