What Does the Feed Offer?
Forward-Looking Receivables per Ticker
Provides exact government contracts receivables up for obligation by the US federal government for over 3000 ticker-mapped publicly-listed government suppliers.
USD Obligations To-Date per Ticker
Provides an aggregation of all USD obligations made to-date as a point-in-time by the US federal government for over 3000 ticker-mapped publicly-listed government suppliers.
Use cases
Providing the basis for a powerful quantitative analysis on ticker level for companies heavily dependent on government sales that could be modeled against earnings expectations
Building strong revenue predictions and monitoring the mid-term effect of any major contract
"Unexpected Government Receivables" Signal used to predict cross-sectional returns for major suppliers to US federal government
How Are Forward-Looking Receivables Calculated?
Investment Application
Mapped to tickers of publicly-listed companies
Dynamic analysis of stock prices of companies involved in the US federal government sector
The global public procurement contract awards data is new to the financial industry
Enables the building of strong revenue predictions and the monitoring of the mid-term effect of any major contract
Ongoing research for US and EU government contracts indicates a statistically significant relationship between material contract awards and subsequent sales surprise and stock price movements
The "Unexpected Government Receivables" signal can be used to predict cross-sectional returns for major suppliers to US federal government
Data Report Card
Length of History
From 2010 onwards
Data Frequency
Daily. Upon request, there can be weekly and monthly updates
Data Quality
Well-structured, cleaned and aggregated data in one standard format (incl. parent and subsidiaries corporate database)
Data Collection Method
Contract information is scraped from government publications and procurement websites, harmonized, cleaned and mapped to awardee companies
Data Reporting Lag
Minimum one day; depends on source and contract specifics
Documentation Quality
Fully Available
Coverage within Asset Range
Equity capital scope of analysis
Market Awareness of Data
Innovative model to predict relationship between stock price and material government contract awards
Additional Pre-Processing
Harmonization across records, company mapping. Each contract is mapped to a specific vendor firm. These mappings include stock tickers, company names and government identifiers
Unexpected Government Receivables signal
The "Unexpected Government Receivables" (UGR) signal is an original research on the effect of new contract awards (surprise/additional government receivables) outside the receivables from already awarded contracts.
Utilizing the database of forward-looking receivables of publicly listed suppliers to US federal government between 2012 and 2020, it represents backtesting of multiple trading strategies that go long on firms with government receivables and short on the rest of the market
Utilizing the database of forward-looking receivables of publicly listed suppliers to US federal government between 2012 and 2020, it represents backtesting of multiple trading strategies that go long on firms with government receivables and short on the rest of the market
Backtesting
We scale
the forward-looking government receivables for each stock at the end of each month by the stock’s market capitalization.
We extract
the unexpected component of receivables by subtracting the average forward-looking receivables for each firm over the past year and dividing by their standard deviation over the same period.
We test
the performance of our strategies by calculating their Sharpe ratios and estimating alphas with respect to various factor models controlling for market, size, value, momentum, profitability, and investment equity factors.
Results
In all cases
the strategies perform extremely well and achieve annualized Sharpe ratios between 0.77 and 1.27, a range that spans between double and just over triple the historical Sharpe ratio of the market portfolio of 0.35-0.40.