Add factor ETF correlation metrics

dbt_project/models/markets/factor_analysis_return.sql

@@ -0,0 +1 @@
+{{ calculate_market_analysis_return('stg_factor_etfs') }}

dbt_project/models/markets/factor_sector_correlation.sql

@@ -0,0 +1,285 @@
+{{ config(
+    description='Latest factor ETF performance and rolling correlation to sector, style, and thematic ETFs'
+) }}
+
+WITH factor_metadata AS (
+    SELECT *
+    FROM UNNEST([
+        STRUCT('VLUE' AS factor_symbol, 'value' AS factor_name),
+        STRUCT('QUAL' AS factor_symbol, 'quality' AS factor_name),
+        STRUCT('MTUM' AS factor_symbol, 'momentum' AS factor_name),
+        STRUCT('SIZE' AS factor_symbol, 'size' AS factor_name),
+        STRUCT('USMV' AS factor_symbol, 'minimum_volatility' AS factor_name)
+    ])
+),
+
+comparison_metadata AS (
+    SELECT *
+    FROM UNNEST([
+        STRUCT('XLK' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Technology' AS comparison_name),
+        STRUCT('XLC' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Communication Services' AS comparison_name),
+        STRUCT('XLY' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Consumer Discretionary' AS comparison_name),
+        STRUCT('XLF' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Financials' AS comparison_name),
+        STRUCT('XLI' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Industrials' AS comparison_name),
+        STRUCT('XLU' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Utilities' AS comparison_name),
+        STRUCT('XLP' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Consumer Staples' AS comparison_name),
+        STRUCT('XLRE' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Real Estate' AS comparison_name),
+        STRUCT('XLB' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Materials' AS comparison_name),
+        STRUCT('XLE' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Energy' AS comparison_name),
+        STRUCT('XLV' AS comparison_symbol, 'sector_etf' AS comparison_universe, 'Health Care' AS comparison_name),
+        STRUCT('SPY' AS comparison_symbol, 'broad_market_etf' AS comparison_universe, 'S&P 500' AS comparison_name),
+        STRUCT('QQQ' AS comparison_symbol, 'broad_market_etf' AS comparison_universe, 'Nasdaq 100' AS comparison_name),
+        STRUCT('DIA' AS comparison_symbol, 'broad_market_etf' AS comparison_universe, 'Dow Jones Industrial Average' AS comparison_name),
+        STRUCT('RSP' AS comparison_symbol, 'broad_market_etf' AS comparison_universe, 'S&P 500 Equal Weight' AS comparison_name),
+        STRUCT('IWM' AS comparison_symbol, 'style_etf' AS comparison_universe, 'Russell 2000' AS comparison_name),
+        STRUCT('IWD' AS comparison_symbol, 'style_etf' AS comparison_universe, 'Russell 1000 Value' AS comparison_name),
+        STRUCT('IWF' AS comparison_symbol, 'style_etf' AS comparison_universe, 'Russell 1000 Growth' AS comparison_name),
+        STRUCT('IYT' AS comparison_symbol, 'thematic_etf' AS comparison_universe, 'Transportation' AS comparison_name),
+        STRUCT('SOXX' AS comparison_symbol, 'thematic_etf' AS comparison_universe, 'Semiconductors' AS comparison_name)
+    ])
+),
+
+factor_prices AS (
+    SELECT
+        symbol AS factor_symbol,
+        exchange,
+        date,
+        adj_close,
+        SAFE_DIVIDE(
+            adj_close - LAG(adj_close) OVER (
+                PARTITION BY symbol, exchange
+                ORDER BY date
+            ),
+            LAG(adj_close) OVER (
+                PARTITION BY symbol, exchange
+                ORDER BY date
+            )
+        ) AS factor_daily_return
+    FROM {{ ref('stg_factor_etfs') }}
+    WHERE adj_close IS NOT NULL
+),
+
+sector_prices AS (
+    SELECT
+        symbol AS comparison_symbol,
+        exchange,
+        date,
+        adj_close,
+        SAFE_DIVIDE(
+            adj_close - LAG(adj_close) OVER (
+                PARTITION BY symbol, exchange
+                ORDER BY date
+            ),
+            LAG(adj_close) OVER (
+                PARTITION BY symbol, exchange
+                ORDER BY date
+            )
+        ) AS comparison_daily_return
+    FROM {{ ref('stg_us_sectors') }}
+    WHERE adj_close IS NOT NULL
+),
+
+major_index_prices AS (
+    SELECT
+        major_indices.symbol AS comparison_symbol,
+        major_indices.exchange,
+        major_indices.date,
+        major_indices.adj_close,
+        SAFE_DIVIDE(
+            major_indices.adj_close - LAG(major_indices.adj_close) OVER (
+                PARTITION BY major_indices.symbol, major_indices.exchange
+                ORDER BY major_indices.date
+            ),
+            LAG(major_indices.adj_close) OVER (
+                PARTITION BY major_indices.symbol, major_indices.exchange
+                ORDER BY major_indices.date
+            )
+        ) AS comparison_daily_return
+    FROM {{ ref('stg_major_indices') }} AS major_indices
+    INNER JOIN comparison_metadata
+        ON major_indices.symbol = comparison_metadata.comparison_symbol
+    WHERE major_indices.adj_close IS NOT NULL
+      AND comparison_metadata.comparison_universe != 'sector_etf'
+),
+
+comparison_prices AS (
+    SELECT
+        comparison_symbol,
+        exchange,
+        date,
+        adj_close,
+        comparison_daily_return
+    FROM sector_prices
+    UNION ALL
+    SELECT
+        comparison_symbol,
+        exchange,
+        date,
+        adj_close,
+        comparison_daily_return
+    FROM major_index_prices
+),
+
+latest_common_date AS (
+    SELECT MAX(factor_prices.date) AS as_of_date
+    FROM factor_prices
+    INNER JOIN comparison_prices
+        ON factor_prices.date = comparison_prices.date
+),
+
+joined_returns AS (
+    SELECT
+        factor_prices.factor_symbol,
+        comparison_prices.comparison_symbol,
+        factor_prices.date,
+        factor_prices.factor_daily_return,
+        comparison_prices.comparison_daily_return
+    FROM factor_prices
+    INNER JOIN comparison_prices
+        ON factor_prices.date = comparison_prices.date
+    CROSS JOIN latest_common_date AS latest
+    WHERE factor_prices.factor_daily_return IS NOT NULL
+      AND comparison_prices.comparison_daily_return IS NOT NULL
+      AND factor_prices.date BETWEEN DATE_SUB(latest.as_of_date, INTERVAL 365 DAY)
+        AND latest.as_of_date
+),
+
+rolling_correlations AS (
+    SELECT
+        latest.as_of_date,
+        joined_returns.factor_symbol,
+        joined_returns.comparison_symbol,
+        COUNTIF(
+            joined_returns.date >= DATE_SUB(latest.as_of_date, INTERVAL 90 DAY)
+        ) AS observations_3mo,
+        ROUND(CORR(
+            CASE
+                WHEN joined_returns.date >= DATE_SUB(latest.as_of_date, INTERVAL 90 DAY)
+                THEN joined_returns.factor_daily_return
+            END,
+            CASE
+                WHEN joined_returns.date >= DATE_SUB(latest.as_of_date, INTERVAL 90 DAY)
+                THEN joined_returns.comparison_daily_return
+            END
+        ), 4) AS corr_3mo,
+        COUNT(*) AS observations_1yr,
+        ROUND(CORR(joined_returns.factor_daily_return, joined_returns.comparison_daily_return), 4) AS corr_1yr
+    FROM joined_returns
+    CROSS JOIN latest_common_date AS latest
+    GROUP BY latest.as_of_date, joined_returns.factor_symbol, joined_returns.comparison_symbol
+),
+
+latest_factor_performance AS (
+    SELECT
+        symbol AS factor_symbol,
+        date,
+        pct_change_1mo,
+        pct_change_3mo,
+        pct_change_1yr,
+        std_diff_1yr
+    FROM {{ ref('factor_analysis_return') }}
+    QUALIFY ROW_NUMBER() OVER (
+        PARTITION BY symbol
+        ORDER BY date DESC
+    ) = 1
+),
+
+sector_performance AS (
+    SELECT
+        symbol AS comparison_symbol,
+        date,
+        pct_change_1mo,
+        pct_change_3mo,
+        pct_change_1yr,
+        std_diff_1yr
+    FROM {{ ref('us_sector_analysis_return') }}
+),
+
+major_index_performance AS (
+    SELECT
+        major_indices.symbol AS comparison_symbol,
+        major_indices.date,
+        major_indices.pct_change_1mo,
+        major_indices.pct_change_3mo,
+        major_indices.pct_change_1yr,
+        major_indices.std_diff_1yr
+    FROM {{ ref('major_indicies_analysis_return') }} AS major_indices
+    INNER JOIN comparison_metadata
+        ON major_indices.symbol = comparison_metadata.comparison_symbol
+    WHERE comparison_metadata.comparison_universe != 'sector_etf'
+),
+
+comparison_performance AS (
+    SELECT
+        comparison_symbol,
+        date,
+        pct_change_1mo,
+        pct_change_3mo,
+        pct_change_1yr,
+        std_diff_1yr
+    FROM sector_performance
+    UNION ALL
+    SELECT
+        comparison_symbol,
+        date,
+        pct_change_1mo,
+        pct_change_3mo,
+        pct_change_1yr,
+        std_diff_1yr
+    FROM major_index_performance
+),
+
+latest_comparison_performance AS (
+    SELECT
+        comparison_symbol,
+        date,
+        pct_change_1mo,
+        pct_change_3mo,
+        pct_change_1yr,
+        std_diff_1yr
+    FROM comparison_performance
+    QUALIFY ROW_NUMBER() OVER (
+        PARTITION BY comparison_symbol
+        ORDER BY date DESC
+    ) = 1
+)
+
+SELECT
+    CONCAT(
+        correlations.factor_symbol,
+        ':',
+        correlations.comparison_symbol,
+        ':',
+        CAST(correlations.as_of_date AS STRING)
+    ) AS factor_sector_key,
+    correlations.as_of_date,
+    correlations.factor_symbol,
+    factor_metadata.factor_name,
+    correlations.comparison_symbol,
+    comparison_metadata.comparison_name,
+    comparison_metadata.comparison_universe,
+    correlations.comparison_symbol AS sector_symbol,
+    comparison_metadata.comparison_name AS sector_name,
+    correlations.observations_3mo,
+    correlations.corr_3mo,
+    correlations.observations_1yr,
+    correlations.corr_1yr,
+    factor_performance.pct_change_1mo AS factor_return_1mo,
+    factor_performance.pct_change_3mo AS factor_return_3mo,
+    factor_performance.pct_change_1yr AS factor_return_1yr,
+    comparison_performance.pct_change_1mo AS sector_return_1mo,
+    comparison_performance.pct_change_3mo AS sector_return_3mo,
+    comparison_performance.pct_change_1yr AS sector_return_1yr,
+    ROUND(factor_performance.pct_change_3mo - comparison_performance.pct_change_3mo, 2) AS factor_sector_return_spread_3mo,
+    ROUND(factor_performance.pct_change_1yr - comparison_performance.pct_change_1yr, 2) AS factor_sector_return_spread_1yr,
+    factor_performance.std_diff_1yr AS factor_volatility_proxy_1yr,
+    comparison_performance.std_diff_1yr AS sector_volatility_proxy_1yr
+FROM rolling_correlations AS correlations
+LEFT JOIN factor_metadata
+    ON correlations.factor_symbol = factor_metadata.factor_symbol
+LEFT JOIN comparison_metadata
+    ON correlations.comparison_symbol = comparison_metadata.comparison_symbol
+LEFT JOIN latest_factor_performance AS factor_performance
+    ON correlations.factor_symbol = factor_performance.factor_symbol
+LEFT JOIN latest_comparison_performance AS comparison_performance
+    ON correlations.comparison_symbol = comparison_performance.comparison_symbol

dbt_project/models/markets/schema.yml

@@ -341,6 +341,99 @@ models:
         tests:
           - not_null
 
+  - name: factor_analysis_return
+    description: >
+      Daily OHLCV price data and rolling returns for US equity factor ETFs
+      covering value, quality, momentum, size, and minimum volatility.
+      Grain: one row per factor ETF symbol per exchange per trading day.
+    tests:
+      - unique_combination:
+          arguments:
+            combination_of_columns: ['symbol', 'exchange', 'date']
+    columns:
+      - name: symbol
+        description: Factor ETF symbol.
+        tests:
+          - not_null
+      - name: exchange
+        description: Exchange where the ETF is traded.
+        tests:
+          - not_null
+      - name: date
+        description: Trading date.
+        tests:
+          - not_null
+      - name: current_price
+        description: Current adjusted close price.
+      - name: current_volume
+        description: Current day's trading volume.
+      - name: pct_change_1mo
+        description: Percentage change from 1 month ago to current price.
+      - name: pct_change_3mo
+        description: Percentage change from 3 months ago to current price.
+      - name: pct_change_1yr
+        description: Percentage change from 1 year ago to current price.
+      - name: std_diff_1yr
+        description: Standard deviation of daily price differences over the past 1 year.
+
+  - name: factor_sector_correlation
+    description: >
+      Latest rolling correlations and relative performance spreads between
+      US equity factor ETFs and sector, broad market, style, and thematic ETFs.
+      Supports factor rotation, sector exposure, and thematic relationship analysis.
+    tests:
+      - unique_combination:
+          arguments:
+            combination_of_columns: ['factor_sector_key']
+    columns:
+      - name: factor_sector_key
+        description: Stable key for factor, sector, and as-of date.
+        tests:
+          - not_null
+          - unique
+      - name: as_of_date
+        description: Latest common trading date used for the correlation window.
+        tests:
+          - not_null
+      - name: factor_symbol
+        description: Factor ETF ticker symbol.
+        tests:
+          - not_null
+      - name: factor_name
+        description: Factor exposure represented by the ETF.
+        tests:
+          - not_null
+          - accepted_values:
+              arguments:
+                values: ['value', 'quality', 'momentum', 'size', 'minimum_volatility']
+      - name: comparison_symbol
+        description: Compared ETF ticker symbol.
+        tests:
+          - not_null
+      - name: comparison_name
+        description: Human-readable compared ETF name.
+      - name: comparison_universe
+        description: Compared ETF universe.
+        tests:
+          - not_null
+          - accepted_values:
+              arguments:
+                values: ['sector_etf', 'broad_market_etf', 'style_etf', 'thematic_etf']
+      - name: sector_symbol
+        description: Backward-compatible compared ETF ticker symbol.
+        tests:
+          - not_null
+      - name: sector_name
+        description: Backward-compatible compared ETF name.
+      - name: corr_3mo
+        description: Rolling 3-month daily-return correlation between the factor ETF and compared ETF.
+      - name: corr_1yr
+        description: Rolling 1-year daily-return correlation between the factor ETF and compared ETF.
+      - name: factor_sector_return_spread_3mo
+        description: Factor ETF 3-month return minus compared ETF 3-month return.
+      - name: factor_sector_return_spread_1yr
+        description: Factor ETF 1-year return minus compared ETF 1-year return.
+
   - name: sp500_companies_analysis_return
     description: >
       Daily OHLCV price data and rolling returns for S&P 500 companies.

dbt_project/models/markets/technical/schema.yml

@@ -26,6 +26,7 @@ models:
                   - fixed_income_etf
                   - currency_etf
                   - commodity_etf
+                  - factor_etf
                   - global_market
       - name: symbol
         tests: