July 21, 2015
Thomson Reuters Releases StarMine Combined Alpha Model
NEW YORK/LONDON – Thomson Reuters, the world’s leading source of intelligent information for businesses and professionals, today announced the release of the StarMine Combined Alpha Model (CAM), a model that combines all the available StarMine equity alpha models into one comprehensive and powerful alpha-generating signal. The weights assigned to each model vary by region. Thus, StarMine CAM recognizes the fact that some regions, such as the US and Japan, are more value focused while in Developed Europe and Asia ex-Japan momentum plays a larger role. The model intelligently handles missing data and makes use of all available StarMine alpha models for a given security.
StarMine CAM provides investment managers with a resourceful factor to help create market-beating portfolios – a factor that distils an enormous quantity of data down to a single score for 30,000 stocks globally every day.
“Clients often ask us ‘what is the best way to combine the StarMine signals?’ We now have our best answer to that question – use StarMine Combined Alpha,” said Dr. George Bonne, director of quantitative research at Thomson Reuters.
Over the last ten years, StarMine has created a number of unique and valuable quantitative equity alpha models to help take advantage of observed market anomalies and human behaviours. Every StarMine model is based on strong economic intuition and supported by a plethora of academic research as well as StarMine’s own rigorous research, backtests and robustness testing. The StarMine models used in StarMine CAM are Analyst Revisions, Relative Valuation, Intrinsic Valuation, Price Momentum, Earnings Quality, Smart Holdings, Insider Filings (US only), and Short Interest (US only). StarMine CAM is StarMine’s best performing alpha model to date.
“We are delighted to be able to combine our content to create a solution that simplifies our clients’ daily tasks in support of their global businesses,” said Debra Walton, chief content officer at Thomson Reuters. “This represents another step forward in our ongoing commitment to connect and enable the global financial community by harnessing our data and analytics in new ways that add greater value.”
StarMine CAM is currently available through Thomson Reuters Eikon, the premier desktop platform for financial professionals, and will be available as a datafeed through DataScope Select in the near future. Thomson Reuters DataScope Select is the strategic data delivery platform for non-streaming content globally. The platform is a full cross-asset offering with intelligently linked data for all Thomson Reuters DataScope content including reference data, corporate actions, legal entity data, end-of-day/intra-day pricing and evaluated pricing services.
Today, Thomson Reuters provides leading-edge StarMine and SmartEstimates models and analytics that are designed to be used by financial professionals globally to generate alpha and manage risks. Thomson Reuters has long been known for its enhanced sell-side forecasts. One example is StarMine SmartEstimates, which was created to help predict the direction of earnings surprises and has a success rate of approximately 70% when the SmartEstimate significantly differs from the consensus estimate.
Thomson Reuters is the world's leading source of intelligent information for businesses and professionals. We combine industry expertise with innovative technology to deliver critical information to leading decision makers in the financial and risk, legal, tax and accounting, intellectual property and science and media markets, powered by the world's most trusted news organization. Thomson Reuters shares are listed on the Toronto and New York Stock Exchanges. For more information, go to www.thomsonreuters.com.