Bloomberg Launches Point-in-Time Economic Dataset for Quant Strategy Development | LeapRate | Online Trading Industry News, Broker Intelligence & Fintech Analysis
Bloomberg has introduced a new dataset giving quantitative researchers and systematic investors access to time-stamped historical economic data, enabling them to reconstruct past market conditions and backtest trading strategies with greater precision.
The Economic Releases and Surveys Point-in-Time dataset, available through Bloomberg Data License, covers more than 3,000 market-moving economic indicators and government auction events across over 100 economies, with historical observations extending back to 1997.
By presenting data as it appeared to market participants at the time of release, the dataset allows analysts to avoid the distortions introduced by subsequent data revisions — a longstanding challenge in macroeconomic research.
Angana Jacob, Global Head of Investment Research Data at Bloomberg, said the dataset enabled clients to model expectation formation in a point-in-time framework, capturing forecast updates, consensus evolution and full revision histories to build macro signals and cross-asset models that remain consistent from backtesting through to live trading.
The dataset comprises three components: a forward-looking calendar of scheduled economic events, an actuals and surveys module capturing published values and consensus forecasts with timestamps, and a changes module recording intraday updates to economist surveys ahead of releases.
Bloomberg said the new offering was sourced from the same underlying infrastructure as the Economic Calendars solution on the Bloomberg Terminal, ensuring consistency between desktop research and enterprise-scale production environments.
The launch extends Bloomberg’s existing Investment Research Data suite, which spans company financials, estimates, pricing, transaction analytics and sector-specific metrics.
