Event Agenda

An introduction to MarketQA™ - our solution for data integration, normalization and analysis - will be followed by:

Backtesting Without Bias
Marcus C. Bogue III, PhD, Chairman & Founder of Charter Oak Investment Systems
Sridharan Raman, Director of Quantitative Research, Thomson Reuters

In the world of quantitative investing, researchers constantly search for new factors producing high returns with minimal risk. Wouldn’t you like the ability to back test with a comprehensive database that represents reality?

Together, Dr. Bogue and Mr. Raman will discuss innovative approaches to eliminate look-ahead and survivorship bias, while illustrating extensive research on the vast number of restatements to the balance sheet, income statement and cash flow statement. Additionally, they will prove how backtesting with a combination of inaccurate data and availability assumptions significantly skews results.

The conclusions are based on the Reuters Fundamentals Point in Time database, a necessary tool for all quantitative money managers for global analysis utilizing categorized data.

Generating Reliable Long-Term Growth Forecasts & Equity Valuations with Stephen Malinak, PhD, Director of Quantitative Research, StarMine

Dr. Malinak will present the findings of StarMine's latest research on long-term growth projections, intrinsic value, and relative value. StarMine's research suggests that combining these factors provides a more complete perspective on a stock's value.

StarMine's study of sell-side estimates uncovered persistent patterns of optimism bias. The predictable nature of these biases allows for an intelligent adjustment that reduces forecast error, resulting in a more reliable stream of long-term earnings growth projections. These projections can then be applied to derive better estimates of intrinsic value.

On the relative valuation front, P/E ratios have tended to be the most popular metric for assessing relative value. However, there are several other ratios, both forward- and backward-looking, that could and arguably should be considered. Dr. Malinak will describe StarMine's research into which ratios add incremental value to P/E, and how StarMine has intelligently blended these ratios into one overarching assessment of relative value.