Macrobond/FactSet Equity Factor Aggregates

Unparalleled insight into the dynamics of global equity markets

Macrobond has partnered with FactSet to provide an add-on dataset that helps you understand equity market valuations and trends at an aggregate level.

Introduction

Macrobond delivers the world’s most comprehensive source of macroeconomic intelligence for financial professionals.

Our customers need to identify investment themes across global equity markets, incorporate these insights into their portfolios and transform raw data into actionable intelligence.

We have partnered with FactSet to create the Macrobond/FactSet Equity Factor Aggregates (MFEFA), an aggregate version of the US firm’s Quant Factor Library (QFL), which provides a comprehensive representation of the entire global equity market.

Underlying data

FactSet’s QFL is a point-in-time database of factor insights and consolidated data, including alternative data from more than 70,000 securities across 127 countries and 200 exchanges.

Traditional datasets such as pricing, fundamentals and estimates offer an extensive history dating back to 1986 for key countries.

The QFL history covers 67,000 securities globally.

Methodology and coverage

The MFEFA aggregate the underlying data items from the QFL for the securities within each market. This rules-based approach provides our customers with a top-down representation of the investable universe available in each market while capturing local market nuances.

The MFEFA cover all developed and emerging markets at an aggregate level, which are then built out to regional aggregations.

The MFEFA covers emerging and developed markets.

Data items

The MFEFA include nearly 100 individual data items from across 14 different factor groups. Each is taken from the QFL at security level and then aggregated. Details can be found in the time series information section of the Macrobond application.

EPS

EPS

  • LTM
  • NTM
  • STM
  • Calendar year EPS (up to 5 years into the future)

Value

  • Price to Earnings
  • Price to Book
  • Price to Cash Flow
  • Price to Sales
  • Dividend Yield
  • EBITDA to Enterprise Value
  • PEG Ratio

Growth

  • Dividend Payout Ratio
  • EPS Growth Rate
  • Sales Growth Rate
  • R&D to Sales
  • Dividend Growth Rate

Liquidity

  • 21D Average Dollars Traded
  • 21D Median Dollars Traded

Size

  • Market Value
  • Total Sales
  • Total Assets
  • Enterprise Value
  • Book Value
  • Aggregates Earnings

Momentum

  • 63D Return Momentum
  • 21D Return Momentum
  • 252D Return Momentum
  • % Above 52W Low
  • % Below 52W High

Corporate Governance

  • Equity Buyback Ratio
  • Board - Female Members
  • Board - Number of Members
  • Executives - Average Salary
  • Executives - Average Bonus
  • Management - Average Tenure
  • Management - Female CEO
  • Number of Employees
  • Days Since CEO Change

Crowding

  • Passive Percent Outstanding
  • ETF Percent Outstanding
  • Institutional Percent Outstanding
  • Insider Percent Outstanding
  • Hedge Fund Percent Outstanding

Solvency

  • Cash Coverage Ratio
  • Short Term % of Total Debt
  • Debt Service Ratio
  • Current Ratio
  • Debt to Equity
  • Interest Burden
  • Quick Ratio
  • Cash Ratio

Quality

  • EPS Stability
  • Piotroski F-Score
  • Altman Z-Score
  • Beneish M-Score

Market Sensitivity

  • 36M Beta
  • 252D Beta

Sentiment

  • Price Target Estimate Stability
  • Price Target Estimate Revisions
  • Earnings Estimate Stability
  • Earnings Estimate Revisions

Volatility

  • 252D Turbulence
  • 252D Kurtosis
  • 2520 Skewness
  • 2520 Semivariance
  • 36M Return Volatility
  • 2520 Return Volatility
  • 630 Return Volatility

Profitability

  • Return on Assets
  • Return on Total Equity
  • Return on Invested Capital
  • Net Margin
  • Gross Margin
  • Tax Burden

To find out more, please contact your Macrobond account manager.

Fast facts

Covers all developed and emerging markets at an aggregate level.

Aggregates financial and alternative data from:

  • 70,000+ securities
  • 127 countries
  • 200+ exchanges
  • 100 individual data items
  • 14 factor groups