ETF Factors

The Exchange Traded Funds (ETF) Factors dataset, in the Alpha Signals library, provides investors with a unique point-in-time view of fundamentals across 4,000 global ETFs. By combining ETP Composition Data from S&P Global’s ETF & Benchmarking Solutions with the point-in-time Alpha Factor Library dataset, the Alpha Signals team has developed key factors traditionally used by equity investors to build factor investing strategies.

With the growing popularity of ETFs over the past decade, these factors play a crucial role for ETF investors and market makers. Firms can leverage this data for systematic strategies, including investing in statistical arbitrage or multi-factor investment strategies. Furthermore, this data supports exposure analysis, providing dynamic insights into ETF exposure to different factors and themes through daily factor updates. Additionally, ETF Factors helps with monitoring macro themes by using ETFs as proxies for sectors, countries, and other economic indicators. This dataset can also support risk management for ETF market makers and issuers.

This dataset includes:

• 35 Factors Covering Traditional Strategy Themes: Analyst expectations, capital efficiency, earnings quality, historical growth, price momentum, size, valuation, and volatility.
• Point-in-Time Quantitative Factors: Historical time series by combining point-in-time views of ETF constituents and their weights, allowing investors to track how these key factors have evolved over time.