For quantitative investment/portfolio managers who model portfolio strategies by means of backtesting, understanding underlying investment relationships can present problems. The solution? The Standard & Poor's BacktesterTM.
This robust and intuitive analysis tool gives you multiple dimensions on which to grade portfolio performance. Multiple regression features can help you understand what factors are significant in predicting returns, the relative weight or significance of each factor to the whole, and the sustainability of the model over time. In addition, Standard & Poor's Backtester has the capabilities to help you determine the predictive relationships underlying the factors and subsequent returns of the models you construct.
With Standard & Poor's Backtester you can access:
Multiple Regression Capabilities
Develop Blended Strategies, such as the 130/30 fund strategy
Enhanced Factor Test Algorithm
Portfolio Comparison Report
New Default Options
Enhanced Factor Model
Backtesters want the ability to enter an expression and with Standard & Poor's Backtester, this functionality comes standard, leading to a more customized way to trade your portfolio. Standard & Poor's Backtester also includes the ability to vary the contribution of investment factors in time, allowing you to use market signals or optimal weights generated in other tools and dynamically change the factor model over the life of your simulation.
With Standard & Poor's Compustat® Historical and Unrestated Quarterly Databases and the Research Insight analytical engine as the foundation, the Backtester tool gives you the knowledge to gauge the effectiveness of your investment strategy while filtering out restatements, avoiding look-ahead bias, handling corporate actions and preventing survivorship bias.
Interested in learning more? You can register for Srikant Dash’s white paper on benchmarking 130/30. For more information regarding Standard & Poor's Compustat data solutions or to request a personal demonstration, call 1300-792-553 or email us.
Analytic services and products provided by Standard & Poor’s are the result of separate activities designed to preserve the independence and objectivity of each analytic process. Standard & Poor’s has established policies and procedures to maintain the confidentiality of non-public information received during each analytic process.
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