Bond to Equity Factors
Bond to Equity Factors provide an out-of-the-box solution for cross-asset signals that link corporate bonds to equities.
Market Intelligence
The Bond to Equity Factors dataset provides an out-of-the box solution for cross-asset signals that link corporate bonds to equities. This dataset contains 26 quantitative factors that capture the relationship between corporate bonds and the underlying company stock.
The Alpha Signals team has leveraged point-in-time data from our Government, Supranational, Agency and Corporate (GSAC) Bond Pricing dataset and developed a robust mapping of credit instruments to equity identifiers to create factors across different themes. Research of the dataset shows that the information captured by Bond to Equity factors have low commonality with any fundamental or alternative dataset, making it a valuable addition to investment strategies.
The dataset includes:
- One Point on the Curve: Equity metrics that describe z-spread and relative trends of the corporate bond
- Shape of the Curve: PCA Analysis on maturity from 6 months to 40 years to quantify shift, twist and tilt of the bond curve
- Cross-Asset Interaction: Quantifying the divergence between bond-implied equity returns and actual equity returns to find investment opportunities
- Frequency
- Daily
- Latency
- Daily
- Coverage Type
- Company
- Coverage
- 10,000
- History
- 2014
- Earliest Significant Coverage
- 2014
- Point In Time
- Yes
- Point In Time Description
- Daily point-in-time factor values
- Data Source
- Government, Supranational, Agency and Corporate (GSAC) Bond Pricing Dataset
- Field Count
- 10s
- Estimated Size
- 5
- Added
- 2024-09-10
Industries
- Financials
- Real Estate
- Energy and Utilities
- Materials
- Healthcare
- Industrials
- Consumer
- Technology, Media & Telecommunications
Geographic Coverage
- Global
Delivery
- Cloud
- Feed