Get unique additional factor model performance by integrating IHS Markit securities lending data with Credit Benchmark consensus credit risk data.
Independent research shows that Credit Benchmark credit consensus data complements and enhances IHS Markit’s short factor data when combined in constructing portfolios. This combination provides enhanced signals in both US and European equity markets, and stronger alpha for cheap-to-borrow (CTB) instruments when compared to only using securities finance data fields.
The combined datasets between IHS Markit Securities Finance and Credit Benchmark provide unique insights into market sentiment from both securities lending market and consensus credit risk assessments from a macro to individual stock level.
One exciting observation about the new combined offering is that the Information Ratio (IR) in US instruments for CTB instruments have improved by 304% and European instruments by 23%.
This new data source amplifies and complements data sets which are already widely used by the “sell-side” and the “buy-side”. For those with a quantitative and curious mind, reading the original research is a must.
To access the IHS Markit Securities Finance & Credit Benchmark Research Note, download the full research below.
In the current low yield environment, many Sovereign bonds issued by different countries are priced at similar levels. However, this Read more
Credit Benchmark is a market-led response to three of the most critical issues facing credit risk professionals: 1) The need to Read more
This paper examines the use cases for Credit Benchmark’s Consensus Probabilities of Default (Consensus PDs), in the context of more Read more
The Basel Committee on Banking Supervision recently published wide-reaching proposals for reducing variation in Credit Risk Weighted Assets, with a Read more
