Markit, a financial information services company, and Data Explorers, a provider of data, analysis and insight into short-selling, today announced the launch of the Markit Data Explorers US Sector Sentiment Index.
The Markit Data Explorers US Sector Sentiment Index (Markit DX) is an investment strategy index developed by the two companies to reflect sector level sentiment derived from securities lending and short-selling information. The index is designed to be used for portfolio benchmarking purposes as well as for the development of index-linked products such as index mutual funds, exchange traded funds, structured products and index futures and options.
Stephan Flagel, managing director and head of Indices at Markit, said: “The Markit Data Explorers US Sector Sentiment Index is the first of its kind and will provide portfolio managers with a single, transparent tool to track stock sentiment relating to sectors. The index will not only enhance the portfolio benchmarking process but will also serve as the basis for new products such as ETFs.”
Markit determines the overweight or underweight for each sector within the index using the Data Explorers Sentiment Signal (DNS) which captures the sentiment relating to a security. A high DNS reflects negative sentiment or an increasing amount of short positions relative to long positions, indicating a desire to underweight a particular security in a portfolio. The index will be rebalanced on a monthly basis in order to reflect current market sentiment for each sector.
Donal Smith, ceo of Data Explorers, said: “Our collaboration with Markit presents an excellent way for us to offer unique insights on global stock sentiment derived from Data Explorers’ securities lending and short-selling data. Clients will benefit from transparency to short-selling activity enabling them to better address sentiment shifts.”
The combination of Markit’s rules-based, objective index methodology with Data Explorers’ data provides a unique indicator of sector sentiment. Markit owns, calculates, manages and distributes the index. The US Sector Sentiment Index is the first in a family of indices and European, Asian and Latin American indices will be added in due course.
