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Summary
In this webinar, we will discuss our newly released Retail Trade Flow data set from Alpha Signals. Retail Trade Flow data is aggregated and anonymized security level information on daily buys, sells, and short sell trade activity by retail investors in the US stock and ETF markets.
We find that the Retail Trade Flow data contains meaningful information about forward stock returns across different segments of the public equity market. We will present several use cases of how this data set can be employed for alpha generation either on a stand-alone basis or in combination with other, more traditional, fundamental factors from our Alpha Factor Library data set. Our ClariFI Alpha Research & Portfolio Construction platform will be featured in this demonstration.
Key Highlights:
- Retail Trade Flow data set: product overview
- ClariFI Alpha Research & Portfolio Construction platform: product overview
- Retail Trade Flow data set application to investment management use cases:
- Single stock level
- As an exclusion/inclusion criterion across investment universes
- Stand-alone stock selection signal
- Improved alpha signal in combination with other factors
Speakers
Chris Hammond, CFA
Executive Director, Analytics Services
Chris Hammond, CFA, Executive Director at S&P Global Market Intelligence, leads the product development teams for Alpha Signals, which provides quantitative factors, models and solutions, and ClariFI, the quantitative research, backtesting, and portfolio optimization software.
Chris Hammond, CFA, Executive Director at S&P Global Market Intelligence, leads the product development teams for Alpha Signals, which provides quantitative factors, models and solutions, and ClariFI, the quantitative research, backtesting, and portfolio optimization software. He leads the team's research and new product development strategy and oversees a team of quantitative analysts and product experts. He is experienced with numerous quantitative strategies and datasets, and has led the team's innovation into areas such as short squeeze signals, social media sentiment, cybersecurity risk, and cross-asset signals. He is a member of the CFA Society of Chicago and the Chicago Quantitative Alliance. As a graduate in 2007, Chris joined Quantitative Services Group, which in 2011 was acquired by IHS Markit (now part of S&P Global). He earned his B.S.B.A. in Finance from Washington University in St. Louis, US.
Dobrin Penchev, CFA
S&P Global Market Intelligence
Quantitative Product Specialist
Dobrin Penchev joined S&P Global Market Intelligence in September 2014 as a Quantitative Product Specialist within the Capital Markets Team.
Dobrin Penchev joined S&P Global Market Intelligence in September 2014 as a Quantitative Product Specialist within the Capital Markets Team. As part of his job responsibilities, he spends a lot of time in directly working with our largest clients on diagnosing their data and analytical needs, proposing suitable solutions for the specific client workflows, and implementing these solutions. Before S&P Global Dobrin worked for 12+ years in the risk management software services industry and quant equity hedge funds. In August 2019 he earned the right to use the CFA designation. He holds a bachelor’s degree in economics from Sofia University, Bulgaria. In his free time Dobrin likes learning about and experimenting with value/momentum strategies and visualizations. He also dedicates time to skiing, swimming, reading, travelling, friends and family.
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