Wall Street & Technology is part of the Informa Tech Division of Informa PLC

This site is operated by a business or businesses owned by Informa PLC and all copyright resides with them. Informa PLC's registered office is 5 Howick Place, London SW1P 1WG. Registered in England and Wales. Number 8860726.

Data Management

02:03 PM
Connect Directly

Standard & Poor’s Launches Global Backtest Database

Company says it's the first-ever international backtester

In response to demand for a tool that lets analysts conduct investment simulations based on international data at a client-specified date, Standard & Poor's Compustat is rolling out Compustat Snapshot, a backtest database of financial information on companies outside the U.S. and Canada. This new database lets quants extend the scope of their historical analysis and long-term backtesting models to international markets and enables more precise investment simulation by delivering a clear picture of reported data at a requested observation date.

Unlike a traditional global database, Compustat Snapshot contains all values obtained in the database production process -- original and changed data -- and shows a complete history, simplifying the process of re-creating investment scenarios, according to Standard & Poor's. Compustat Snapshot enables the development of scenarios that simulate actual international investment environments because it captures preliminary and final data when it becomes available. Compustat Snapshot also makes it possible to identify what item valued changed and when it changed. Modifications to corporate action information, such as company name, domicile and address changes, as well as exchange changes, can also be applied.

"There is an ever-increasing need for deep historical global data. Compustat Snapshot lets backtesters extend the reach of their historical models and conduct analysis beyond traditional borders," said Mitch Abeyta, managing director, Standard & Poor's Compustat. "This new database enables users to incorporate monthly snapshots of data into their models, thereby allowing understanding of what the market knew at a particular date and time. It also permits the factoring out of look-ahead bias and reduces lag assumptions with respect to international markets."

Register for Wall Street & Technology Newsletters
5 Things to Look For Before Accepting Terms & Conditions
5 Things to Look For Before Accepting Terms & Conditions
Is your corporate data at risk? Before uploading sensitive information to cloud services be sure to review these terms.