Thomson Reuters launches new model to predict fund managers' stock picks
New York, February 20, 2012 - Thomson Reuters today announced that it has
introduced a model to predict which stocks fund managers are likely to buy and
sell from their portfolios. Â StarMine's Smart Holdings model forecasts
institutional investors' future buying and selling behaviour, identifying which
companies would become increasingly or less attractive to these investors over
the following quarter. This forms part of Thomson Reuters aims to help
professional Investment managers generate more profitable investment ideas and
mitigate risks, giving them an edge over their peers.
Smart Holdings combines several different Thomson Reuters content sets including
ownership data, corporate financial data and a proprietary, predictive measure
of analyst revisions, called SmartEstimates(®), to gauge how well a company is
aligned with the current preferences of institutional investors.
Dr Stephen Malinak, global head of intelligent analytics at Thomson Reuters,
said: "The main driver in our research was to determine what funds are likely to
do next, rather than reacting to what they have just done. The basic idea is
that we have reverse-engineered fund managers' stock selection processes to
predict what changes they are likely to make in their portfolios based on a
comparison of individual stocks to the fundamental characteristics they appear
to care most about."
StarMine Smart Holdings is based on the underlying hypothesis that fund managers
tend to buy companies with particular fundamental characteristics (such as
price-to-earnings, estimate revisions, or price momentum). StarMine Smart
Holdings determines which of 25 widely followed factors are currently important
to a given fund owner, and with what relative importance, to create a purchasing
profile for each fund.
This purchasing profile is then applied against 40,000 stocks globally to
determine which of them may be attractive to a given fund. Results are then
aggregated across funds to provide a gauge of a stock's attractiveness to the
current market preferences. The result is a predictive model that ranks stocks
on future increases or decreases in institutional ownership, indicating which
stocks will become increasingly or less attractive to investors. Eleven years of
data reveal that the Smart Holdings model produces consistent positive returns
globally.
The StarMine Smart Holdings model is provided as a daily data feed from Thomson
Reuters, as well as through a range of its desktops, such as Thomson ONE for
Investment Management and the newly-released, Datastream Professional.
About StarMine, SmartEstimates(®) and Smart Targets
Today Thomson Reuters provides equities and credit based alpha and risk factors
for investment managers as well as corporate investor relations teams. Thomson
Reuters has long been known for its enhanced sell-side forecasts, One example is
StarMine SmartEstimates, which predict the direction of earnings surprises with
a success rate of around 70% when the SmartEstimate significantly differs from
the consensus estimate. Smart Targets for corporate investor relations officers
calculate the likelihood that a fund will purchase or sell a given security
based on the fund's historical purchasing activity and profile, improving
targeting of institutional asset managers.
About Thomson Reuters
Thomson Reuters is the world's leading source of intelligent information for
businesses and professionals. We combine industry expertise with innovative
technology to deliver critical information to leading decision makers in the
financial, legal, tax and accounting, healthcare and science and media markets,
powered by the world's most trusted news organization. With headquarters in New
York and major operations in London and Eagan, Minnesota, Thomson Reuters
employs more than 55,000 people and operates in over 100 countries. For more
information, go towww.thomsonreuters.com
CONTACT
Clare Arber
Thomson Reuters
+44 20 7542 6256
clare.arber@thomsonreuters.com
This announcement is distributed by Thomson Reuters on behalf of
Thomson Reuters clients. The owner of this announcement warrants that:
(i) the releases contained herein are protected by copyright and
other applicable laws; and
(ii) they are solely responsible for the content, accuracy and
originality of the information contained therein.
Source: Thomson Reuters Corporation via Thomson Reuters ONE
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