EFF – ETF Fundamental Features

DATASET OVERVIEW

ETFLogic’s ETF Fundamental Features (EFF) produces a set of 23 daily features for over 500 US-Listed ETFs. The ETF universe is constrained to US equity funds. The features are backwards-looking fundamental single-stock metrics that are averaged up to the ETF using our proprietary basket weights database.

The fundamental metrics are balance-sheet, income statement and cash-flow ratios such as Debt-To-Equity, Price To Sales and Quick Ratios. Each feature in the dataset incorporates the latest underlying fundamentals as reported to the SEC and is normalized for different accounting standards. In addition, we combine our expertise in the creation, redemption and market-making processes, collation of ETF composition data from dozens of data sources and hundreds of checks and balances to ensure the highest quality of data provided.

Why ETFLogic’s ETF Fundamental Features?

EFF is a unique and novel dataset that provides up-to-date fundamentals for ETFs while focusing on data integrity and timeliness. EFF features can be used for ETF screening, ETF peer grouping or as an input into systematic trading strategies. As market dynamics shift, having a differentiated feature-set that can explain ETF returns ensures proper portfolio positioning.

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