December 07, 2017

Thomson Reuters Drives Greater Backtesting and Historical Analysis with Launch of I/B/E/S Point in Time

New solution helps reduce forward-looking and survivorship bias in the buy-side community

NEW YORK – 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 can 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.

Point in Time is one of several products Thomson Reuters offers to assist in facilitating better quantitative backtesting and another product in Thomson Reuters “point in time” solutions portfolio.  Other products include Worldscope Fundamentals and Reuters Fundamentals, both of which offers “as of” content to support backtesting investment strategies.  Earlier in 2017, Thomson Reuters launched QA Point, a cloud-based application that enables asset managers to utilize quantitative approaches in making investing decisions, designed to assist in creating increased productivity, better results, and accelerated internal collaboration among investment professionals.

Thomson Reuters

Thomson Reuters is the world’s leading source of news and information for professional markets. Our customers rely on us to deliver the intelligence, technology and expertise they need to find trusted answers. The business has operated in more than 100 countries for more than 100 years. Thomson Reuters shares are listed on the Toronto and New York Stock Exchanges. For more information, visit www.thomsonreuters.com.

 

CONTACT

Brian Bertsch 
+1-646-223-5985
brian.bertsch@thomsonreuters.com