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Asset Management

12:53 PM
Leslie Kramer
Leslie Kramer
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Standard & Poor’s Backtester Adds Portfolio Attribution Analysis to Decipher Strategic Market Exposure

Backtester's performance attribution and analysis functionality let analysts clearly determine the source of relative returns.

Standard & Poor's Compustat is releasing Version 1.9 of Standard & Poor's Backtester, its premier tool for quantitative research and portfolio strategy development. The new version features robust portfolio attribution, enhanced reporting and additional rules-setting capabilities. Standard & Poor's Backtester now allows analysts to better identify where alpha is being added to a portfolio by enabling them to drill down to the factors that make up their portfolio and decipher which are responsible for the portfolio's returns.

According to JP Tremblay, sr. director of product development for Compustat, the newest version's enhancements, not only enable investors and portfolio managers to assess whether a portfolio beats a benchmark, but also lets them assess the source of the relative return, allocation or superior stock selection. "Backtester enhancements provide additional transparency into understanding your strategy's market exposure before implementation, thus avoiding costly pitfalls," said Tremblay in the press release. "It opens the door for quantitative investors, portfolio managers and researchers who are not part of a large firm to have both the portfolio allocation and attribution analysis in one affordable platform," he said.

Tremblay further explained that the product's capabilities are unique because it integrates the portfolio constituent selection and performance analysis relative to a benchmark within an agile environment that maximizes the power of the Compustat database. "Accomplishing the same task with a competitive product is more labor-intensive and far less cost-efficient," Tremblay said. According to Standard & Poor's Compustat, the enhancements make the most of the robust functionality of portfolio analysis while capitalizing on the quality of the Compustat databases. "It fosters the strongest environment for selecting both the best securities and constructing the best portfolios," Tremblay added.

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