• 12 Jul 2011

Finding Alpha in Ownership Data

Silhouette of climber on mountain Caption|REUTERSExtensive research has found that merely relying on the levels of current institutional investment fund holdings as they are reported to regulatory agencies produces little value. Recent research from the Thomson Reuters StarMine Quantitative Research team revealed that a model must be predictive of which stocks will be bought or sold by fund managers over the upcoming quarter.

This research is the basis of StarMine Smart Holdings, a new model for investors that goes beyond popular methods and uncovers a new behavior anomaly that can be exploited to generate statistically significant returns: fund managers exhibit herding behavior into different investing styles at different times. The StarMine Smart Holdings model focuses on where the crowd is headed, rather than where they have been.

Listen to the discussion on this cutting-edge research, which uses publicly available institutional and mutual fund holdings data to predict which stocks will gain or lose favor with institutional investors.

The Thomson Reuters Quantitative Research team, based primarily in San Francisco, California, is a small, diligent group of highly credentialed researchers - including PhDs from science and engineering backgrounds, Masters of finance and business, computer science specialists, and CFA candidates – whose primary focus is to create value-added content for Thomson Reuters clients.

Other current research initiatives include credit modeling, news and text mining, economics, private companies, factor timing, stock surveillance, news and sentiment indicators.

Learn more about our research: Listen in to a recent webcast from the Quantitative Research team.

Contact the StarMine Quantitative Research team.