Thomson Reuters launches point in time fundamentals datafeed

Source: Thomson Reuters

Thomson Reuters has launched a new datafeed called Reuters Fundamentals Point in Time. Developed in partnership with Charter Oak Investment Systems, Point in Time provides accurate, unbiased information that was available to the market and could have affected a price movement, thus triggering an investor's buy or sell decision.

Built on the Reuters Fundamentals standardised database, Point in Time provides a daily snapshot of the fundamentals historical database by utilizing a combination of each company's period end date and filing date. The database avoids look-ahead bias in a model by utilising only the data known at the time. More importantly, it eliminates the necessity to create and apply lag assumptions, which are used to determine when the data could have been available; however, lag assumptions do not hold true for all companies at all times. Point in Time is global in coverage and includes all delisted historical companies.

"The quant or fund manager is in need of accurate and up-to-the minute fundamentals market data. Point in Time offers a complete back testing package and has the ability to generate results much more quickly than other databases," said Albert Lojko, global head content strategy, data management and delivery, Thomson Reuters. "It's now possible to look back and see accurate financial data and historical stock prices line up with the information that investors actually had at the time they made the decision to buy or sell, and then analyze whether the he quant or fund manager's investment strategy is likely to succeed," said Lojko. 

When collecting data in Reuters Fundamentals, Thomson Reuters is one of the only firms to use four templates - one each for Banks, Insurance, Utilities and Industrial companies for Point in Time. Financials cannot be collected for all companies using a single template as similar items may be interpreted in various manners depending on the industry a company operates in. Point in Time's market coverage includes 47,000 active companies and 15,000 inactive companies from over 100 countries. Point in Time provides data back to 1989 and will soon be available through MarketQA and QA Direct.

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