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Institutional ownership data: Quantitative research results
23 June 2021
Research Signals - June 2021
IHS Markit's Equity Point-in-Time Ownership data provides daily
insights into global institutional and fund owned security
positions, flow of funds and activity globally across developed and
emerging markets. Ownership is sourced from 13Fs, global mutual
funds, daily ETF holdings, annual reports, and major stakeholder
exchange announcements for equity securities. We combine our
Research Signals team's quantitative research capability with key
elements of this proprietary data, specifically looking for factors
that are drivers of stock price performance. In total, we introduce
17 factors capturing ownership concentration, changes in holdings,
institutional and hedge fund holdings and liquidity flow
ratios.
Our research reveals varying effects of institutional ownership
on stock returns across regions; for example, we find Hedge fund
holdings was a positive signal across most developed and emerging
markets, along with greater institutional ownership, particularly
in the US and emerging Asia
Closer inspection of rank correlations between three main
ownership factors and key drivers from the Research Signals factor
library suggests low commonality in general, with the exception of
measures of large cap, high volume stocks with low borrowing costs
in the securities lending market, demonstrating the uniqueness of
the signals
Using the ownership factors as an overlay with our Value
Momentum Analyst Model, we demonstrate additional monthly alpha
across developed markets in the US (9.1 bps), Europe (20.0 bps) and
Pacific (5.0) regions
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