21 July 2018
Visit www.avoka.com

Thomson Reuters rolls out 'Point in Time' tool for backtesting

07 December 2017  |  2824 views  |  0 Source: Thomson Reuters

Thomson Reuters has further strengthened its solutions portfolio for quantitative analysis with the launch of I/B/E/S Point in Time (Point in Time), which offers the buy-side another powerful tool for financial backtesting and historical analysis.

Point in Time is built on the Thomson Reuters I/B/E/S Quantitative File System and I/B/E/S historical databases.

Forward-looking bias in investing occurs when investment professionals incorrectly assume they knew something at a particular point in time. Point in Time introduces the concept of a point date, which is the date of the file that the data appeared in. By utilizing a point date, a client could be able to see exactly when that data was known – eliminating the need for a lag or to make time assumptions about the data. A user of Point in Time can follow all changes in EPS and Recommendations throughout time since no data is overwritten or deleted – a particularly useful tool when watching for recommendation scale changes. Point in Time users can see the changes as they happen and see what the scale was before the change and what the recommendation scale became after.

“Rather than create a whole new set of products, Point in Time builds off the robustness of Thomson Reuters I/B/E/S and gives buy-side professionals a back-testing solution that is both reliable and free from bias,” said Austin Burkett, global head of Quant and Feeds, Thomson Reuters. “Combined with our other investment products, Thomson Reuters is delivering a powerful range of products that could drive value and results in the investment management process for the quant community.”

Point in Time has extensive market coverage including 80,000 companies from over 100 countries. Thomson Reuters has a global focus and ensures that data, methodology, and collection rules are consistent; i.e., one database and one methodology for all companies, irrespective of geography.

Point in Time also helps eliminate “survivorship bias,” which occurs when performance backtests have incomplete data. This happens when the universe of available companies only represents the present. Thomson Reuters provides an ongoing company coverage database that never expires, even if the company has been delisted, empowering a user to backtest with confidence. The I/B/E/S Point in Time product is a daily snapshot database of the QFS and History files with a daily time series starting in Jan 1, 2000. I/B/E/S Point in Time also has data with activation dates as early as January 1980.

Thomson Reuters has introduced a time series of the Expected Report date for a company. By utilizing this feature, a user can see companies who have a history of delaying reports and if this correlates negatively or positively with their earnings. 

Comments: (0)

Comment on this story (membership required)

Related company news


Related blogs

Create a blog about this story (membership required)
Visit info.nice.comVisit iliad-solutions.com/Visit http://go.jumio.com/finextraAd

Who is commenting?

Top topics

Most viewed Most shared
Calmejane quits Lloyds Bank to join SocGenCalmejane quits Lloyds Bank to join SocGen
13071 views comments | 6 tweets | 7 linkedin
Hong Kong plans September go-live for blockchain-based trade financeHong Kong plans September go-live for bloc...
10667 views comments | 9 tweets | 17 linkedin
Mastercard enlists Worldpay to push Vocalink's Pay by Bank appMastercard enlists Worldpay to push Vocali...
9851 views 19 comments | 15 tweets | 30 linkedin
IBM to test dollar-pegged 'stablecoin'IBM to test dollar-pegged 'stablecoin'
6958 views comments | 4 tweets | 14 linkedin
Bringing about new systems and faster payments globallyBringing about new systems and faster paym...
6799 views comments | 2 tweets | 7 linkedin

Featured job

Find your next job