Dataset Name: gsq_esg_large_cap_short_term_price_predictor
Group: esg
Vendor: G&S Quotient
Data Starts at: 2013-01-02 00:00:00
Data Currently Ends at: 2022-07-01 00:00:00, contact sales for full data set.
Symbol Set: US Large Cap Equities
Asset Class: Equity
Data Update Time(s): 9:00 AM EST
Data Update Frequency: day
CloudQuant long-short backtest results show the following:
| Sharpe Ratio | Total Return | Alpha Return | Beta Return |
|---|---|---|---|
| 0.97 | 13.81 | 2.47 | -2.41 |
G&S Quotient ESG dataset covers 1500 US Equities. A proprietary machine learning model calculates a daily 'Short-term Price Predictor Score'. This score targets a 5-day return and is suited to 5 to 20-day hold strategies.
G&S Quotient collects more than 300 ESG data points daily for over 1,500 US equities. These are distilled down to 76 G&SQ Measures(tm), daily point-in-time. A proprietary machine learning model calculates a daily G&SQ 'Short-term Price Predictor Score(tm)'. The score is calibrated with 5-day return as target, and ideally suited for 5 to 20-day hold strategies. There are six distinct ESG datasets available.
Data Contained in this Dataset
| Column | Type | Description |
|---|---|---|
| _seq | uint | Internal sequence number used to keep data rows in order |
| timestamp | string | Timestamp of the Data - America/New York Time. |
| muts | uint64 | Microseconds Unix Timestamp. An integer representation of a timestamp with microsecond precision that can be compared directly to other timestamps. |
| Date | string | This is the data-date. The underlying G&SQ datapoints are updated till the end-of-day (i.e. 23:59:59 hours EST) of the score-date. |
| Score | double | G&SQ Measure Outcome Values Percentile Ranks: Column 3 to 78. 76 G&SQ Measure ™ Outcome Values percentile ranks are presented on a daily point-in-time basis with corresponding column names. Please refer to the data dictionary for Dataset1 (G&SQ Measure ™ |
| Population_Index_Constituents | string | Population Index Constituents |
| symbol | string | Trading Symbol or Ticker |
| ISIN | string | International Securities Identification Number. An international code which identifies a securities issue |
| CUSIP | string | Committee on Uniform Security Identification Procedures identifier owned by American Bankers Association operated by Standard and Poor's, requires CUSIP license. |