IvyDB Beta enables academic researchers to more accurately study equity investment risks/returns, factor investing with forward-looking implied betas on top 500 SPY constituents and single-name US securities
OptionMetrics, a financial data and analytics provider for institutional investors and academic researchers worldwide, is making the world’s first implied beta dataset – IvyDB Beta – available to academic researchers conducting research on equities, systematic risk, factor investing, and other topics. The comprehensive implied beta dataset includes the top 500 SPY constituents and market capitalization single-name US securities from January 2007 onwards and provides a prospective view of the market's perception of systematic risk, a departure from traditional historical beta.
OptionMetrics IvyDB Beta can be used by researchers to perform research on:
- Factor-based strategies and investment models
- Sentiment for equities alongside corporate, macroeconomic, and/or global events
- Low volatility, equity long/short, market neutral strategies, and stat/arb pairs trading
IvyDB Beta is used by institutional investors, quants, risk managers, hedge fund managers, researchers, and other financial professionals for risk modeling and factor investing. It enables them to price-in impacts of potential future corporate earnings, FOMC developments, CPI announcements, and other events, that could impact equity trading alpha and risk.
While historical beta has traditionally been used to price securities, assess systematic risk and expected returns for equities, the capital asset pricing model (CAPM) used in calculating it is retrospective and sluggish in incorporating new information. Conversely, using implied betas can more accurately price in systematic risk across securities.
“Due to growth in options trading over the last 20 years, there is a great deal of information that can be gleaned on equities by examining options data. IvyDB Beta is a first-of-its-kind dataset giving academic researchers and financial professionals reliable forward-looking equities data. It creates tremendous opportunity for researchers to broaden studies, deepen insights, and more accurately assess potential risk/rewards in markets and trading strategies,” said OptionMetrics CEO David Hait, Ph.D.
IvyDB Beta is part of OptionMetrics’ suite of options, futures, and equities data products that includes: IvyDB US, comprehensive US options data, covering 10,000+ underlying stocks and indices from 1996 onward, considered the “gold standard” in academic research; IvyDB Europe, IvyDB Canada, and IvyDB Asia databases; IvyDB Signed Volume to assess directional options trading; IvyDB Futures to assess optionable futures, and real-time Dividend Forecast Data.
Learn more about leveraging implied betas in “The Implied Bet Against Beta (IBAB) Factor: A New Frontier for Low-Volatility Investing.”
Contact William Ko for a demo of IvyDB Beta or for more details.
About OptionMetrics
With 20+ years as the premier provider of historical options and implied volatility data, OptionMetrics distributes its IvyDB options, futures, beta, and dividend forecast databases to leading portfolio managers, traders, quantitative researchers at 300+ corporate and academic institutions worldwide to construct and test investment strategies, perform empirical research, and assess risk. www.optionmetrics.com, LinkedIn, Twitter
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