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feat: add factor ETF correlation metrics
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‎dbt_project/models/markets/factor_analysis_return.sql‎

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{{ calculate_market_analysis_return('stg_factor_etfs') }}

‎dbt_project/models/markets/factor_sector_correlation.sql‎

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{{ config(
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description='Latest factor ETF performance and rolling correlation to sector, style, and thematic ETFs'
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) }}
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WITH factor_metadata AS (
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SELECT *
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FROM UNNEST([
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STRUCT('VLUE' AS factor_symbol, 'value' AS factor_name),
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STRUCT('QUAL' AS factor_symbol, 'quality' AS factor_name),
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STRUCT('MTUM' AS factor_symbol, 'momentum' AS factor_name),
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STRUCT('SIZE' AS factor_symbol, 'size' AS factor_name),
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STRUCT('USMV' AS factor_symbol, 'minimum_volatility' AS factor_name)
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])
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),
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comparison_metadata AS (
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SELECT *
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FROM UNNEST([
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STRUCT('XLK' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Technology' AS comparison_name),
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STRUCT('XLC' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Communication Services' AS comparison_name),
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STRUCT('XLY' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Consumer Discretionary' AS comparison_name),
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STRUCT('XLF' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Financials' AS comparison_name),
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STRUCT('XLI' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Industrials' AS comparison_name),
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STRUCT('XLU' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Utilities' AS comparison_name),
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STRUCT('XLP' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Consumer Staples' AS comparison_name),
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STRUCT('XLRE' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Real Estate' AS comparison_name),
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STRUCT('XLB' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Materials' AS comparison_name),
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STRUCT('XLE' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Energy' AS comparison_name),
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STRUCT('XLV' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Health Care' AS comparison_name),
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STRUCT('SPY' AS comparison_symbol, 'broad_market_etf' AS comparison_universe, 'S&P 500' AS comparison_name),
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STRUCT('QQQ' AS comparison_symbol, 'broad_market_etf' AS comparison_universe, 'Nasdaq 100' AS comparison_name),
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STRUCT('DIA' AS comparison_symbol, 'broad_market_etf' AS comparison_universe, 'Dow Jones Industrial Average' AS comparison_name),
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STRUCT('RSP' AS comparison_symbol, 'broad_market_etf' AS comparison_universe, 'S&P 500 Equal Weight' AS comparison_name),
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STRUCT('IWM' AS comparison_symbol, 'style_etf' AS comparison_universe, 'Russell 2000' AS comparison_name),
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STRUCT('IWD' AS comparison_symbol, 'style_etf' AS comparison_universe, 'Russell 1000 Value' AS comparison_name),
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STRUCT('IWF' AS comparison_symbol, 'style_etf' AS comparison_universe, 'Russell 1000 Growth' AS comparison_name),
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STRUCT('IYT' AS comparison_symbol, 'thematic_etf' AS comparison_universe, 'Transportation' AS comparison_name),
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STRUCT('SOXX' AS comparison_symbol, 'thematic_etf' AS comparison_universe, 'Semiconductors' AS comparison_name)
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])
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),
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factor_prices AS (
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SELECT
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symbol AS factor_symbol,
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exchange,
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date,
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adj_close,
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SAFE_DIVIDE(
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adj_close - LAG(adj_close) OVER (
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PARTITION BY symbol, exchange
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ORDER BY date
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),
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LAG(adj_close) OVER (
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PARTITION BY symbol, exchange
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ORDER BY date
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)
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) AS factor_daily_return
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FROM {{ ref('stg_factor_etfs') }}
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WHERE adj_close IS NOT NULL
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),
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sector_prices AS (
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SELECT
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symbol AS comparison_symbol,
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exchange,
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date,
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adj_close,
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SAFE_DIVIDE(
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adj_close - LAG(adj_close) OVER (
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PARTITION BY symbol, exchange
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ORDER BY date
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),
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LAG(adj_close) OVER (
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PARTITION BY symbol, exchange
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ORDER BY date
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)
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) AS comparison_daily_return
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FROM {{ ref('stg_us_sectors') }}
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WHERE adj_close IS NOT NULL
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),
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major_index_prices AS (
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SELECT
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major_indices.symbol AS comparison_symbol,
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major_indices.exchange,
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major_indices.date,
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major_indices.adj_close,
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SAFE_DIVIDE(
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major_indices.adj_close - LAG(major_indices.adj_close) OVER (
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PARTITION BY major_indices.symbol, major_indices.exchange
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ORDER BY major_indices.date
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),
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LAG(major_indices.adj_close) OVER (
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PARTITION BY major_indices.symbol, major_indices.exchange
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ORDER BY major_indices.date
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)
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) AS comparison_daily_return
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FROM {{ ref('stg_major_indices') }} AS major_indices
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INNER JOIN comparison_metadata
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ON major_indices.symbol = comparison_metadata.comparison_symbol
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WHERE major_indices.adj_close IS NOT NULL
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AND comparison_metadata.comparison_universe != 'sector_etf'
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),
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comparison_prices AS (
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SELECT
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comparison_symbol,
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exchange,
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date,
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adj_close,
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comparison_daily_return
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FROM sector_prices
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UNION ALL
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SELECT
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comparison_symbol,
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exchange,
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date,
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adj_close,
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comparison_daily_return
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FROM major_index_prices
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),
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latest_common_date AS (
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SELECT MAX(factor_prices.date) AS as_of_date
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FROM factor_prices
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INNER JOIN comparison_prices
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ON factor_prices.date = comparison_prices.date
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),
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joined_returns AS (
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SELECT
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factor_prices.factor_symbol,
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comparison_prices.comparison_symbol,
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factor_prices.date,
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factor_prices.factor_daily_return,
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comparison_prices.comparison_daily_return
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FROM factor_prices
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INNER JOIN comparison_prices
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ON factor_prices.date = comparison_prices.date
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CROSS JOIN latest_common_date AS latest
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WHERE factor_prices.factor_daily_return IS NOT NULL
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AND comparison_prices.comparison_daily_return IS NOT NULL
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AND factor_prices.date BETWEEN DATE_SUB(latest.as_of_date, INTERVAL 365 DAY)
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AND latest.as_of_date
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),
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rolling_correlations AS (
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SELECT
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latest.as_of_date,
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joined_returns.factor_symbol,
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joined_returns.comparison_symbol,
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COUNTIF(
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joined_returns.date >= DATE_SUB(latest.as_of_date, INTERVAL 90 DAY)
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) AS observations_3mo,
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ROUND(CORR(
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CASE
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WHEN joined_returns.date >= DATE_SUB(latest.as_of_date, INTERVAL 90 DAY)
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THEN joined_returns.factor_daily_return
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END,
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CASE
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WHEN joined_returns.date >= DATE_SUB(latest.as_of_date, INTERVAL 90 DAY)
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THEN joined_returns.comparison_daily_return
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END
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), 4) AS corr_3mo,
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COUNT(*) AS observations_1yr,
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ROUND(CORR(joined_returns.factor_daily_return, joined_returns.comparison_daily_return), 4) AS corr_1yr
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FROM joined_returns
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CROSS JOIN latest_common_date AS latest
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GROUP BY latest.as_of_date, joined_returns.factor_symbol, joined_returns.comparison_symbol
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),
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latest_factor_performance AS (
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SELECT
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symbol AS factor_symbol,
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date,
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pct_change_1mo,
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pct_change_3mo,
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pct_change_1yr,
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std_diff_1yr
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FROM {{ ref('factor_analysis_return') }}
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QUALIFY ROW_NUMBER() OVER (
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PARTITION BY symbol
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ORDER BY date DESC
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) = 1
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),
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sector_performance AS (
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SELECT
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symbol AS comparison_symbol,
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date,
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pct_change_1mo,
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pct_change_3mo,
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pct_change_1yr,
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std_diff_1yr
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FROM {{ ref('us_sector_analysis_return') }}
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),
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major_index_performance AS (
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SELECT
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major_indices.symbol AS comparison_symbol,
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major_indices.date,
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major_indices.pct_change_1mo,
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major_indices.pct_change_3mo,
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major_indices.pct_change_1yr,
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major_indices.std_diff_1yr
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FROM {{ ref('major_indicies_analysis_return') }} AS major_indices
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INNER JOIN comparison_metadata
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ON major_indices.symbol = comparison_metadata.comparison_symbol
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WHERE comparison_metadata.comparison_universe != 'sector_etf'
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),
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comparison_performance AS (
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SELECT
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comparison_symbol,
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date,
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pct_change_1mo,
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pct_change_3mo,
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pct_change_1yr,
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std_diff_1yr
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FROM sector_performance
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UNION ALL
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SELECT
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comparison_symbol,
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date,
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pct_change_1mo,
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pct_change_3mo,
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pct_change_1yr,
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std_diff_1yr
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FROM major_index_performance
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),
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latest_comparison_performance AS (
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SELECT
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comparison_symbol,
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date,
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pct_change_1mo,
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pct_change_3mo,
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pct_change_1yr,
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std_diff_1yr
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FROM comparison_performance
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QUALIFY ROW_NUMBER() OVER (
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PARTITION BY comparison_symbol
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ORDER BY date DESC
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) = 1
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)
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SELECT
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CONCAT(
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correlations.factor_symbol,
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':',
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correlations.comparison_symbol,
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':',
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CAST(correlations.as_of_date AS STRING)
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) AS factor_sector_key,
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correlations.as_of_date,
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correlations.factor_symbol,
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factor_metadata.factor_name,
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correlations.comparison_symbol,
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comparison_metadata.comparison_name,
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comparison_metadata.comparison_universe,
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correlations.comparison_symbol AS sector_symbol,
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comparison_metadata.comparison_name AS sector_name,
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correlations.observations_3mo,
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correlations.corr_3mo,
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correlations.observations_1yr,
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correlations.corr_1yr,
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factor_performance.pct_change_1mo AS factor_return_1mo,
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factor_performance.pct_change_3mo AS factor_return_3mo,
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factor_performance.pct_change_1yr AS factor_return_1yr,
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comparison_performance.pct_change_1mo AS sector_return_1mo,
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comparison_performance.pct_change_3mo AS sector_return_3mo,
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comparison_performance.pct_change_1yr AS sector_return_1yr,
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ROUND(factor_performance.pct_change_3mo - comparison_performance.pct_change_3mo, 2) AS factor_sector_return_spread_3mo,
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ROUND(factor_performance.pct_change_1yr - comparison_performance.pct_change_1yr, 2) AS factor_sector_return_spread_1yr,
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factor_performance.std_diff_1yr AS factor_volatility_proxy_1yr,
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comparison_performance.std_diff_1yr AS sector_volatility_proxy_1yr
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FROM rolling_correlations AS correlations
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LEFT JOIN factor_metadata
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ON correlations.factor_symbol = factor_metadata.factor_symbol
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LEFT JOIN comparison_metadata
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ON correlations.comparison_symbol = comparison_metadata.comparison_symbol
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LEFT JOIN latest_factor_performance AS factor_performance
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ON correlations.factor_symbol = factor_performance.factor_symbol
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LEFT JOIN latest_comparison_performance AS comparison_performance
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ON correlations.comparison_symbol = comparison_performance.comparison_symbol

‎dbt_project/models/markets/schema.yml‎

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tests:
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- not_null
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- name: factor_analysis_return
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description: >
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Daily OHLCV price data and rolling returns for US equity factor ETFs
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covering value, quality, momentum, size, and minimum volatility.
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Grain: one row per factor ETF symbol per exchange per trading day.
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tests:
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- unique_combination:
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arguments:
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combination_of_columns: ['symbol', 'exchange', 'date']
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columns:
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- name: symbol
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description: Factor ETF symbol.
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tests:
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- not_null
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- name: exchange
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description: Exchange where the ETF is traded.
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tests:
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- not_null
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- name: date
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description: Trading date.
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tests:
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- not_null
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- name: current_price
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description: Current adjusted close price.
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- name: current_volume
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description: Current day's trading volume.
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- name: pct_change_1mo
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description: Percentage change from 1 month ago to current price.
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- name: pct_change_3mo
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description: Percentage change from 3 months ago to current price.
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- name: pct_change_1yr
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description: Percentage change from 1 year ago to current price.
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- name: std_diff_1yr
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description: Standard deviation of daily price differences over the past 1 year.
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- name: factor_sector_correlation
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description: >
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Latest rolling correlations and relative performance spreads between
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US equity factor ETFs and sector, broad market, style, and thematic ETFs.
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Supports factor rotation, sector exposure, and thematic relationship analysis.
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tests:
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- unique_combination:
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arguments:
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combination_of_columns: ['factor_sector_key']
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columns:
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- name: factor_sector_key
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description: Stable key for factor, sector, and as-of date.
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tests:
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- not_null
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- unique
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- name: as_of_date
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description: Latest common trading date used for the correlation window.
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tests:
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- not_null
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- name: factor_symbol
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description: Factor ETF ticker symbol.
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tests:
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- not_null
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- name: factor_name
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description: Factor exposure represented by the ETF.
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tests:
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- not_null
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- accepted_values:
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arguments:
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values: ['value', 'quality', 'momentum', 'size', 'minimum_volatility']
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- name: comparison_symbol
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description: Compared ETF ticker symbol.
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tests:
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- not_null
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- name: comparison_name
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description: Human-readable compared ETF name.
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- name: comparison_universe
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description: Compared ETF universe.
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tests:
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- not_null
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- accepted_values:
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arguments:
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values: ['sector_etf', 'broad_market_etf', 'style_etf', 'thematic_etf']
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- name: sector_symbol
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description: Backward-compatible compared ETF ticker symbol.
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tests:
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- not_null
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- name: sector_name
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description: Backward-compatible compared ETF name.
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- name: corr_3mo
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description: Rolling 3-month daily-return correlation between the factor ETF and compared ETF.
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- name: corr_1yr
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description: Rolling 1-year daily-return correlation between the factor ETF and compared ETF.
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- name: factor_sector_return_spread_3mo
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description: Factor ETF 3-month return minus compared ETF 3-month return.
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- name: factor_sector_return_spread_1yr
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description: Factor ETF 1-year return minus compared ETF 1-year return.
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- name: sp500_companies_analysis_return
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description: >
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Daily OHLCV price data and rolling returns for S&P 500 companies.

‎dbt_project/models/markets/technical/schema.yml‎

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- fixed_income_etf
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- currency_etf
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- commodity_etf
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- factor_etf
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- global_market
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- name: symbol
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tests:

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