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?

  • Forward-looking receivables are calculated by aggregating all outstanding payments from all active contracts any given company has with the federal government of the United States. The receivables are calculated as a point in time historically using each of the contracts' end dates and presented with different time intervals.
  • If the point of time of analysis is the current date, the 3-months receivables would include the USD value of all outstanding payments of contracts that are about to end in the next 3 months from today calculated as per their contracts' end date.
  • The same logic goes behind the 6, 12, 36 and other time intervals. If the data user wants to see the aggregate value of all future outstanding payments to a company, they would then need to use the USD value of "all future receivables" figure.
  • For clients' convenience, the data feed also presents the backward-looking perspective of actual USD obligations made to date for the same time intervals under all active contracts.
202020212022202320240102030405060708091011120102030405060708091011120102030405060701020304050607080910111208091011120809101104050607Aggregations per time intervalTotal obligations and receivablesContracts30 Aug, 2021 - $5,11M25 May, 2023 - $4,34M21 May, 2021 - $3,26M16 Oct, 2022 - $0,81M01 Feb, 2021 - $2,12M6 months - $7,51M3 months - $4,08MTODAYSep 6, 20223 months - $1,04M6 months - $1,04MAll receivables - $12,33M01 Mar, 2022 - $0,5M30 Nov, 2022 - $0,23M31 Jan, 2022All obligated - $14,77M12 months - $14,13M12 months - $5,38M01 Nov, 2021 - $3,78M01 Nov, 2023 - $6,95MObligated to DateForward-Looking Receivables

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

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.

Request a Demo

We suggest you start with broader geographical coverage so you do not miss an opportunity. You can always change the setting during the trial period.
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