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Shipping factors - Uncovering the impact of imports and exports

18 November 2021

Research Signals - November 2021

The IHS Markit Maritime & Trade division provides a real-time source for ship movements data and documents combined with trade data and commodity movements. Research Signals has tapped specifically into the Bill of Lading data, a source of detailed import and export data that can provide timely information on company economic activity measured by shipping trends. In total, we introduce 48 factors derived from four underlying import and export data items including shipping volume, shipping weight, shipping value and total shipments, along with measures of sector/industry relative shipping activities and the relationship of shipping levels to sales.

  • Sector Relative Monthly Import Shipping Volume was a top performing factor in the US, with an average monthly spread of 0.26% between top and bottom ranked names, while Standardized Unexpected Quarterly Export Shipping Volume was a key contributor in Developed Europe (0.13%) and Developed Pacific (0.51%)
  • Rank correlations between three representative Shipping factors and key style measures from the Research Signals factor library indicate very low commonality, demonstrating the uniqueness of this alternative data source and its added value to quantitative strategies
  • In a portfolio application using two newly introduced factors, we screen for stocks with a strong link between imports and sales and demonstrate 1.9% annual outperformance since 2010 for those stocks with increasing imports relative to those with a decline

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