Thomson Reuters has released the StarMine Combined Alpha Model (CAM), a model that combines all the available StarMine equity alpha models into one comprehensive and powerful alpha-generating signal.
The weights assigned to each model vary by region. Thus, StarMine CAM recognises the fact that some regions, such as the US and Japan, are more value focused while in Developed Europe and Asia ex-Japan momentum plays a larger role. The model intelligently handles missing data and makes use of all available StarMine alpha models for a given security.
StarMine CAM provides investment managers with a resourceful factor to help create market-beating portfolios – a factor that distils an enormous quantity of data down to a single score for 30,000 stocks globally every day.
“Clients often ask us ‘what is the best way to combine the StarMine signals?’ We now have our best answer to that question – use StarMine Combined Alpha,” says Dr George Bonne (pictured), director of quantitative research at Thomson Reuters.
Over the last ten years, StarMine has created a number of unique and valuable quantitative equity alpha models to help take advantage of observed market anomalies and human behaviours. Every StarMine model is based on strong economic intuition and supported by a plethora of academic research as well as StarMine’s own rigorous research, backtests and robustness testing. The StarMine models used in StarMine CAM are Analyst Revisions, Relative Valuation, Intrinsic Valuation, Price Momentum, Earnings Quality, Smart Holdings, Insider Filings (US only), and Short Interest (US only). StarMine CAM is StarMine’s best performing alpha model to date.
“We are delighted to be able to combine our content to create a solution that simplifies our clients’ daily tasks in support of their global businesses,” says Debra Walton, chief content officer at Thomson Reuters. “This represents another step forward in our ongoing commitment to connect and enable the global financial community by harnessing our data and analytics in new ways that add greater value.”
StarMine CAM is currently available through Thomson Reuters Eikon, the premier desktop platform for financial professionals, and will be available as a datafeed through DataScope Select in the near future. Thomson Reuters DataScope Select is the strategic data delivery platform for non-streaming content globally. The platform is a full cross-asset offering with intelligently linked data for all Thomson Reuters DataScope content including reference data, corporate actions, legal entity data, end-of-day/intra-day pricing and evaluated pricing services.
