IHS Markit Revs Alt Dataset of Auto Sales, Production Data

IHS Markit has released a new set of stock selection and strategy signals for the automotive industry that provides a suite of “alternative” datasets for traders and analysts following the sector, based on data collected by the IHS business prior to its merger with Markit, originally for use outside the financial industry.

The data—developed by the Research Signals service within IHS Markit’s equities data and analytics group—comprises 32 factors covering more than 30 auto manufacturers from around the globe, with more than 10 years of historical data. The factors include data on sales, production, vehicle registration, manufacturing volumes, pricing and market share, as well as factors such as “electrification”—a firm’s move towards electric vehicle production—and plant utilization. The vendor collects the data from state and regional governments, vehicle manufacturers, and other industry sources.

Under market share, the vendor provides metrics for year-on-year change in production output, monthly trend in China market share, and monthly change in sales in a manufacturer’s dominant market. Under sales and revenue factors, the vendor provides monthly trend in estimated revenue, year-on-year change in estimated revenue, trend in three-month sales growth, three-month unit sales surprise, monthly trend in sales growth, unit sales surprise, year-on-year change in unit sales, and year-on-year change in US market share. Under production, the vendor providers year-on-year change in life cycle, plant utilization, monthly trend in production growth, and monthly change in electric ratio.

Users can access the data as a feed of scores, via a web-based research platform that allows them to dig into the underlying data and models, or via pre-packaged research reports.

Officials say the decision to release the automotive dataset followed an exercise conducted at the start of this year to identify potential datasets from among the legacy IHS content—which may have been used within their ow industries to support marketing and supply chain decisions—that had broader potential for use by financial firms to support investment decisions.

IHS Markit picked the automotive data as its first focus based in part on this exercise, because it felt the sector would provide the best initial results, and also because when it sought feedback from clients, the vendor found “a couple of funds that were looking specifically for data in this industry,” possibly motivated by market forces such as the timing of tariffs and the disruption of the industry by Tesla and other electric vehicle manufacturers, says Chris Hammond, executive director of Research Signals.

“We went out to a set of our systematic trading clients and asked for feedback on our hypothesis and approach. Some of the key feedback we were looking for was whether this was unique, and whether they would value it highly for their research—and the feedback has been very good,” says David Riehl, executive director of the equities data and analytics group.

While firms may be able to source the data themselves, these types of datasets are typically not structured well for use in quantitative strategies—for example, they may be unstructured, and may have limited historical data available.

“The value-add is that we’ve already done all the hard work of sourcing, maintaining, and creating research based on the data,” which involves capturing and structuring data held in different databases, combining that with forecasts and analyst documents, and mapping them to company identifiers, then using those to derive traditional thematic signals as well as proprietary specialty signals that can easily be used as a direct input to systematic traders’ algorithms, Riehl says. “People can take one of our models off the shelf and test it to see whether it can generate alpha for them on its own—maybe to supplement their proprietary models… or to test whether their own models are unique or differentiated.”

Beyond the automotive data, Riehl says there are a number of different initiatives at various stages of development throughout the vendor to leverage datasets from the former IHS business in products and services aimed squarely at the former Markit business’ financial clients.