Quantitative research and trading

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Latest news, insight and academic research

May 22nd

Read Our Blog: Analyst Performance Measurement and Improving Equity Valuations

How do you account for the differences in analysts’ estimating capabilities and correct for their biases to ensure accurate valuations?

May 14th

Investing and Advisory Content Catalogue

Explore the data you need to make informed decisions: coverage, differentiators, delivery platforms, update frequencies and available history for Thomson Reuters Investing and Advisory Datafeeds.

May 1st

Watch the video: Using Thomson Reuters StarMine Signals for Country Selection

In this video, Tim Gaumer, Director of Fundamental Research at Thomson Reuters, introduces StarMine Research Note, and explains why the aggregated StarMine signals demonstrate strong predictive power and consistent ability to sort country proxies and outperform their benchmark on quintile spread.

May 1st

Download Report: Using Thomson Reuters StarMine Signals for Country Selection

The StarMine® quantitative alpha models provide robust stock selection factors. In this research note, we examine the performance of StarMine signals when aggregating market capitalization-weighted average StarMine signals on country indices and exchange-traded funds (ETFs).

April 10th

Explore our new data: Bitcoin Sentiment Data Feed

Thomson Reuters launched Bitcoin Sentiment Data Feed for Trading and Risk Management. Thomson Reuters MarketPsych Indices v3.0 also includes one of the broadest fixed income and sovereign debt coverage in the marketplace.

March 26th

Webinar: Identifying Global Market Inefficiencies

Join Thomson Reuters and Sohnke Bartram, Professor of Finance, Warwick Business School, April 26th for a special webinar where Sohnke will present the results from his study of equity market efficiency.

March 14th

Webinar: Sector Sentiment Indicators with Thomson Reuters MarketPsych Indices

Join our webinar on March 28th to learn how to build sector sentiment indicators and how these indicators relate to the prices, volatity and trading volumes of sector ETFs.

March 13th

Global Market Inefficiencies

Read the academic research paper by Söhnke M. Bartram and Mark Grinblatt where they use point-in-time accounting data to estimate monthly fair values of more than 25,000 stocks from 36 countries over more than two decades. Authors find out that trading on deviations from fair value yields statistically and economically significant risk-adjusted returns in most regions.

March 13th

New I/B/E/S Point In Time helps reduce forward-looking and survivorship bias

Forward-looking and survivorship biases are issues that you face when performing the backtesting of your investment strategies.  We recreate daily snapshots of a historical database using an array of dates and timestamps alongside the original and revised data. We provide an ongoing company coverage database that never expires, even if the company has been delisted. The new addition to our market leading and oldest estimates database joins our Point In Time series for both economics and fundamentals data allowing you to backtest with confidence.

March 13th

“Sector News Sentiment Indices”

In their new white paper Dr. Svetlana Borovkova and Philip Lammers present the sector-based news sentiment indices, which track the current media sentiment about particular sectors. The sentiment index for a selected sector has a natural relationship to the basket of stocks of publicly traded companies operating in this sector or the corresponding sector’s ETF. Authors demonstrate the added value of such sentiment indices in sector-rotation investment strategies.

Webinars

Improving investment strategies with sentiment analysis

Building sector and country sentiment indicators with Thomson Reuters MarketPsych Indices
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