CDS to Equity Factors
The CDS to Equity Factors dataset provides proprietary measures of credit risk and momentum using S&P Global CDS Pricing dataset.
Market Intelligence
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The CDS to Equity Factors dataset provides proprietary measures of credit risk and momentum using our CDS Pricing dataset. The dataset is another addition to Alpha Signals' cross-asset factor suite.
CDS to Equity Factors creates a point-in-time link of Credit Default Swaps (CDS) spread pricing data to equity securities in order to produce measures of credit risk using daily market prices of risk from the credit market. This datasets creates a bridge between the two markets, providing equity investors with new information to incorporate in their trading and risk strategies.
The dataset includes:
- Current measures and changes in credit risk, mapped back to equity
- Measures for change in long-term to short-term spread
- Quantified divergence between CDS implied equity returns and actual equity returns to find investment opportunities
- Frequency
- Daily
- Latency
- Daily
- Coverage Type
- Company
- Coverage
- 2000
- History
- 2002
- Earliest Significant Coverage
- 2002
- Point In Time
- Yes
- Point In Time Description
- Daily point-in-time factor values
- Data Source
- CDS Pricing Dataset
- Field Count
- 10s
- Estimated Size
- 3
- Added
- 2024-09-10
Industries
- Financials
- Real Estate
- Energy and Utilities
- Materials
- Healthcare
- Industrials
- Consumer
- Technology, Media & Telecommunications
Geographic Coverage
- Global
Delivery
- Cloud
- Feed