Standard & Poor’s Compustat, the leader in high quality fundamental data and corporate information, have launched the newest version of Standard & Poor’s Backtester, the flexible desktop application designed to test investment strategies back in time.
The enhanced factor testing capabilities, including regression analysis, will enable a user to uncover predictive and linear relationships between factors and holding period returns, thus discovering the significance a factor may play in the fund or portfolio.
“Standard & Poor’s understands that portfolio and fund managers use backtesting to discover alpha generating factors that will help develop and execute winning strategies. Backtesting and portfolio analytical tools typically focus on either mathematical models or portfolio simulation. Standard & Poor’s Backtester offers a very well rounded, premier tool for both quantitative research and portfolio strategy development. These enhancements provide multiple dimensions to grade performance results and a more in-depth analysis of the risk-adjusted returns of each fractile,” says JP Tremblay, Standard & Poor’s senior director of Product Development, Compustat.
The Standard & Poor’s Backtester, version 1.6 release includes new, sophisticated functionality, as well as enhancements that increase its usability. Regression, a key ingredient in quantitative analysis, has been added to the Factor Test component. Portfolio managers and other investment analysts will benefit from Standard & Poor’s Backtester’s increased diversity of capabilities, as well as the ability to be more creative in adapting their portfolios to a changing economic climate.