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gsq_esg_midsmall_cap_short_term_price_predictor

gsq_esg_midsmall_cap_short_term_price_predictor by G&S Quotient

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Dataset Name: gsq_esg_midsmall_cap_short_term_price_predictor


Group: esg
Vendor: G&S Quotient
Data Starts at: 2017-12-01 00:00:00
Data Currently Ends at: 2022-07-01 00:00:00, contact sales for full data set.
Symbol Set: US Mid 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. (underlying field is nc_publish_date_actual)
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.