Taking a Data-Driven Approach to Alpha Generation: Part 3

From the rise of indexing and quantitative strategies to an explosion of alternative data and fee compression, we’ve seen an evolution of the market. The need to “research different” to maintain your edge is greater today than ever before. 

In our three-part blog series, “Taking a Data-Driven Approach to Alpha Generation,” we’re covering three different strategies to overcome overreliance on hunches, intuition, or biased views. We’re also recommending ways to start quantifying and visualizing investable trends— to ultimately generate alpha faster. In the last few weeks, we’ve discussed how to make alternative data work for you and how to capitalize on your internal datasets for alpha generation. Today, we’re wrapping up the series with how to create powerful visualizations over time using sector-level financial metrics.

If you had an idea about leverage trends in US Consumer Staples, you could chart the quarterly Net Debt to EBITDA ratio for a basket of stocks and then calculate a simple average of these to see the overall trend. The example below shows that after a decade of low interest rate policies, consumer staples companies are now substantially riskier, from a credit perspective.   

Interactive public viewer chart link 

Or if you combine the market caps of the publicly-traded US homebuilders and chart it against the US 30-year fixed mortgage rate, you see the really high sensitivity of the builders’ collective market capitalization against the mortgage rates. 

Interactive public viewer chart link

Innovative combinations and visualizations of traditional data sets are another proprietary approach to supporting your research efforts. Successful investors identify new trends and develop winning investment theses every day.  The question is: who will identify the trend first? It’s no longer enough to simply be accurate; today you need to be accurate the fastest. Technology is key here. From using alternative data and building out internal proprietary datasets, to combining traditional datasets, technology is enabling analysts to take advantage of the large and growing number of data sources out there.

We hope you enjoyed this series. Download the full guide to go even more in-depth on these three data-driven approaches.

Introducing Sentieo’s Enhanced Equity Data Terminal!

Save time, improve productivity, and enhance your confidence in modeling and investment decisions using the new and improved Equity Data Terminal in Sentieo. Access significantly more equity data (12x more data fields for a total of 1500 fields) and new financial models, including consensus and standardized models. Get improved auditability of model numbers and the ability to download all models (including As Reported) directly from Excel.

Access Private Company Data in the EDT

Data on 750,000 private companies is now available in Sentieo’s EDT, including basic profile information (date founded, location, activity sectors), funding rounds, investments, exits, acquisitions, and investors.

When available, data from the private company dataset on funding, investment, and M&A has also been added to public company profiles in the EDT.

 

Additional Fundamental Data and New Model Interface

We dramatically increased the data field count (12x!) in the EDT to 1500 fields total. (Source: Refinitiv Fundamental Data)

We updated the look and feel — and responsiveness — of our financial models.

 

New Financial Models Available

We expanded the number of financial models available for income statements, balance sheets, and cash flow statements.

  • Consensus Model: Based on Refinitiv I/B/E/S Estimates data, this model shows the actual adjusted figures for historical periods and current consensus for future periods.
  • Standardized Model: Based on Refinitiv Reuters Fundamentals data, this model takes the financials reported by the company and reclassifies all the items according to a standardized template.
  • As Reported Model: Based on Refinitiv Reuters Fundamentals data, this model is the closest to the financials reported in a company’s filings and press releases.
  • Updated Sentieo Model: This model has adjustments like the Consensus model, as well as justifications for the numbers.
  • Models for Banks: The EDT now also includes the As Reported and Standardized models from Refinitiv for banks.

 

KPIs Now Available In EDT

Public company financials now include KPIs pulled from filings; for example: gross leasing area for mall operators, per-passenger and per-distance metrics for airlines, retailer average sales per store, and restaurant comparable sales and unit openings. 


 

 

New Time Period Options 

Calendarized, Next 12 Months (NTM), and Last 12 Months (LTM) periods are now available for all of our models.

 

 

Formula Auditing and Data Sourcing

We have added new ways to audit formulas and to understand the underlying data sources.

Audit Pop-Up: Every number in our models and on the ratios page now includes a pop-up showing how the formula was calculated.

Historical Filing Comparison: Click on “Show Earlier Versions” to see a side-by-side comparison of a previous report for the period and the most recent update.

Filing Information: All Standardized and As Reported models include detailed filing information used to produce the number,

Consensus History (Consensus Model Only): Click on any number and a pop-up will show you the history of the estimate for that number.

 

New Excel Tools for Modeling

All numbers in our financial models are now available for export to Excel to support your own modeling activity— including the As Reported model! This includes the ability to bring the underlying formulas in the models into Excel.

Video Walkthrough of New Features

Our Head of Research walks through the enhanced EDT in this video: 

To learn more about the updated Sentieo EDT,  join our upcoming webinar covering everything about it!