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April 07, 2014

Thomson Reuters StarMine Model Predicts US Stock Performance Based on Company Insider Filings

Stock-ranking system with outperformance, extensive coverage, low correlations and well-suited to post Sarbanes-Oxley era

NEW YORK – Thomson Reuters, the world’s leading source of intelligent information for businesses and professionals, today announced the launch of the StarMine Insider Filings Model US, based on the trades and holdings of company insiders to rank US stocks by under/out performance. It uses the sentiment of company insiders on the future prospects of their company, as reflected by their stock transactions and ownership, to indicate likely performance across the coming months.

The StarMine Insider Filings Model US uses publically-available insider filings to assess two dimensions of insider sentiment: how many insiders are buying or selling company securities, and how much they are buying and selling. The launch of the model reflects Thomson Reuters role to connect and enable the global financial community by helping professional investment managers generate more useful investment ideas and mitigate risks, giving them an edge over their peers.

“As financial institutions face increased regulatory pressures and demands, we strive to offer the most intuitive and efficient products to help streamline workflow,” says Hugh Genin, Quantitative Research manager at Thomson Reuters. “The StarMine Insider Filings Model leverages StarMine’s expertise along with the vast information resources of Thomson Reuters to build a successful product that has excellent performance and is well-suited to the post- Sarbanes-Oxley era.”

Specifically formulated to address the challenges of building effective insider filing trading models in the post-Sarbanes-Oxley regime, the StarMine Insider Filings Model US has outperformed a basic insider trading benchmark by 2.1% annually. It benefits from Thomson Reuters database of insider filings that extend back to before electronic trading, as well as StarMine’s rigorous back-testing methodology. Furthermore, its low correlation to other indicators means that it can be successfully combined with other models for more powerful analysis.

The US Insider model is one component of the StarMine Smart Money suite of models available in Thomson Reuters Eikon, which leverage information about the actions of various groups of informed investors, including short sellers, institutions, and corporate insiders. Other models in the Smart Money suite include the StarMine Short Interest model, which ranks stocks most/least likely to outperform based on number of shares shorted, and the StarMine Smart Holdings model, which ranks stocks based on the predicted future increase, or decrease, in institutional ownership.

Please contact us for further information, including a summary of the methodology behind StarMine’s Insider Filings Model US.


Thomson Reuters

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