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Quantitative Finance · Glosario

¿Qué es Restatement, data vintage, backfill bias?

También llamado: restatement · data vintage · backfill bias

Definition 3.5 Research Craft: Predictors, Backtests, Measurement, Portfolios · Capítulo 3 — Point-in-Time Data and the Biases

A restatement is a later published change to a value already released: a company restating an earlier quarter’s accounts, a statistical agency revising a figure. A data vintage is the whole history of a series as it was published at one knowledge time. Backfill bias arises when history is added to a database after the fact, typically when a fund or a vendor’s new coverage enters with its past returns: the entrants chose to enter because their past was good, and the backfilled history was never available in real time.

The US payroll change for September 2008 in each of the 36 monthly vintages after it: -159, -284, -403, then the benchmark revisions of February 2009 (-321), February 2010 (-458) and February 2011 (-434); -451 in today’s vintage (dashed). Data: Federal Reserve Bank of Philadelphia, Real-Time Data Set for Macroeconomists (BLS data). — Figure 3.3. The US payroll change for September 2008 in each of the 36 monthly vintages after it: $-159$ , $-284$ , $-403$ , then the benchmark revisions of February 2009 ( $-321$ ), February 2010 ( $-458$ ) and February 2011 ( $-434$ ); $-451$ in today’s vintage (dashed). Data: Federal Reserve Bank of Philadelphia, Real-Time Data Set for Macroeconomists (BLS data).

Monthly US payroll changes in 2008–2009 as first published and as known today. The first releases understated the losses of 2008 by 1.7 million jobs in total. Data: Federal Reserve Bank of Philadelphia, Real-Time Data Set for Macroeconomists (BLS data). — Figure 3.4. Monthly US payroll changes in 2008–2009 as first published and as known today. The first releases understated the losses of 2008 by 1.7 million jobs in total. Data: Federal Reserve Bank of Philadelphia, Real-Time Data Set for Macroeconomists (BLS data).

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