Shipping Factors

The Shipping Factors dataset in the Alpha Signals library provides a suite of comprehensive factors that cover a variety of themes in supply chain including import/export trends, exposure to markets and products and revenue impact of shipping activity. The quantitative factors provide an out of the box solution to incorporate supply chain information in stock selection models and risk models.

The data is sourced from our Bill of Landing dataset that covers imports and exports that come into major US ports. This structured dataset provides a timely view of all shipping activity of global companies that go through US ports. The Alpha Signals team has built an algorithm that maps companies listed in Bill of Lading documents to their parent company and equity identifiers. The metrics are aggregated at company-level from all subsidiaries involved in the trade activities.

The dataset includes:

• Shipping Details: Import/Export volume, value and weights per company
• Shipping Trends: Activity relative to previous months and relative measures to companies in same sector and industry
• Revenue Impact: Supply chain sensitivity for each company on previously reported sales and on forward-looking estimates
• Exposure: Import/Export exposure to different geographies and concentration in product type imported/ exported