Standard & Poor's Backtester version 1.6 Is Now Available!
Standard & Poor's Backtester 1.6 was released on May 19, 2008 and includes the following features:
Factor Test Enhancements:
The ability to handle "each fractile" as a unique portfolio
Regression analysis - multiple regression analysis capability allows you to test the predictive power of your scoring model on future returns
The ability to express factor weights as expressions to vary factor weights over time
A new Factor Test report - includes detailed information on the holdings in each portfolio between two points in time
Additional Enhancements:
New Trading Rules/Entry Rules
Enhanced Sector Weight Constraints
Ability to express position fill price as an expression
Learn more...
New Data and Platforms Available Through Compustat Xpressfeed in June 2008
SFAS 157 and SFAS 159 Disclosure Data Incorporated into Compustat Database
Compustat will introduce 11 new SFAS 157 & 159 supplemental data items (annual and quarterly). The new items provide the ability to assess the relative reliability of fair value measurements over time for a particular company, as well as relative to peer institutions. In order to provide additional details and visibility, Compustat will also deliver analyst notes and transparency for Level 3 assets and liabilities.
Compustat Snapshot
Institutional investors and portfolio managers who want to extend the scope of their backtesting models to the international markets will be able to take advantage of Compustat Snapshot, Compustat's new global backtesting database, which offers historical snapshots of Compustat global data for any given date. This new database will consist of annual and interim fundamental data from the income statement, balance sheet and cash flow statment for approximately 26,000 active and inactive non-North American companies. In addition, it will include corporate action information, as well as issue-level information. This data set will alleviate such backtesting challenges as restatements and look-ahead biases.
Increased Korean Company Population
Standard & Poor's Compustat continues its commitment to covering the world markets by increasing its Korean company population in its database. Through a recent agreement with the Korean Listed Companies Association (KLCA), Compustat has begun to provide fundamental and market data for companies incorporated in Korea. The first set of KLCA data that has been incorporated into Compustat database focuses on industrial consoliated Korean companies currently listed on the Korea Exchange (KRX) with market capitalization greater than US$10 million. Annual fundamental and market data is from 1993 forward. With the growth of Compustat's Korean company data, Standard & Poor's has taken another step towards making Compustat the global leader in fundamental and market data.
Additional Enhancements
Compustat will provide index-level data for 3800 MSCI Equity Indices, which are widely used in the global equity markets. These benchmark indices serve as performance gauges and research tools. By integrating MSCI index level data into the Compustat database and platforms, users will be able to follow equity market performance in developed and emerging markets, but will not have to use their own technical resources to bring the data into their templates and models.
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.
