Bond to Equity Factors

The Bond to Equity Factors dataset provides an out-of-the box solution for cross-asset signals that link corporate bonds to equities. This dataset contains 26 quantitative factors that capture the relationship between corporate bonds and the underlying company stock. The Alpha Signals team has leveraged point-in-time data from our Government, Supranational, Agency and Corporate (GSAC) Bond Pricing dataset and developed a robust mapping of credit instruments to equity identifiers to create factors across different themes. Research of the dataset shows that the information captured by Bond to Equity factors have low commonality with any fundamental or alternative dataset, making it a valuable addition to investment strategies.<br/><br/>The dataset includes: - One Point on the Curve: Equity metrics that describe z-spread and relative trends of the corporate bond - Shape of the Curve: PCA Analysis on maturity from 6 months to 40 years to quantify shift, twist and tilt of the bond curve - Cross-Asset Interaction: Quantifying the divergence between bond-implied equity returns and actual equity returns to find investment opportunities

搜集汇总

背景与挑战

背景概述

该数据集提供26个连接公司债券与股票的跨资产量化因子，基于GSAC债券定价数据构建，其独特信息可有效补充投资策略。包含曲线点位、曲线形态和跨资产互动三类因子，用于捕捉信用工具与股票间的价差趋势、期限结构变化及投资机会识别。