Alpha Factor Library

All daily history for AFL is now available via Snowflake. Request more information or contact your relationship manager for details.

A collection of pre-calculated global equity selection signals. These signals, or factors, each represent a simple investment strategy supported by academic or industry research.

Market Intelligence

At S&P Global Market Intelligence, we understand the importance of accurate, deep and insightful information. Our team of experts delivers unrivaled insights and leading data and technology solutions, partnering with customers to expand their perspective, operate with confidence, and make decisions with conviction.

The Alpha Factor Library helps uncover new methods to generate alpha potential through an advanced stock selection signal database built using global point-in-time data. Analyze top-down macroeconomic regimes, drill down into industry-specific signals and trends, and quickly incorporate ideas into fundamental and quantitative portfolio construction processes.

  • Access over 600 stock selection and industry-specific signals spanning seminal academic literature and the latest practitioner expertise, coupled with S&P Global Market Intelligence’s Quantamental Research articles.
  • Leverage complete global coverage for over 50,000 securities, including both Developed & Emerging Markets and country-specific universes with historical coverage back to 1987.
  • Robust screening enables users to quickly query across the entire factor library and build user-specific reports, including investment screens and candidate lists from a catalog of proven alpha signals.
  • Compare the strength and consistency of each signal across all economic sectors, S&P Dow Jones Indices, and Russell Indices®.
  • Allows users to upload their own factors and create custom multi-factor models through a private factor library interface.
Frequency
Ad Hoc
Latency
Daily
Coverage Type
Company
Coverage
50,000
History
1987
Earliest Significant Coverage
1987
Point In Time
Yes
Point In Time Description
Daily PIT Factor values
Data Source
IDC (equity price), Compustat Snapshot, CIQ Premium Financials, CIQ Estimates, CIQ Ownership
Field Count
100s
Estimated Size
230
Added
Enhanced
2022-08-16

Industries

  • Financials
  • Real Estate
  • Energy and Utilities
  • Materials
  • Healthcare
  • Industrials
  • Consumer
  • Technology, Media & Telecommunications

Geographic Coverage

  • Global

Delivery

  • Desktop
  • Cloud
  • Feed

Research & Insights

Support