Predictive Information for Tradable Securities

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.

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    Credit Benchmark brings together internal credit risk views from over 40 leading global financial institutions. The contributions are anonymized, aggregated, and published in the form of consensus ratings and aggregate analytics to provide an independent, real-world perspective of credit risk. Risk and investment professionals at banks, insurance companies, asset managers and other financial firms use the data for insights into the unrated, monitoring and alerting within their portfolios, benchmarking, assessing and analyzing trends, and fulfilling regulatory requirements and capital.