Rank date in screener

Research
1

Hi,

When I look at the log in the screener (using the Save Log / View Log option), I see that the Rank Dates are on Saturday. Does that mean that the screener uses the ranks as they are known after the Saturday full load, but before the update on Monday morning that is used to calculate the ranks for the weekly rebalances of ports and R2Gs?

I’m not implying that the screener rank date should be anything other than what it is now, I just want to make sure I understand how it works.

Thanks,
Peter

2

No. The early Monday update becomes the Saturday data when used in a historical simulation. Older point-in-time “Saturday” data before the daily updates (ie, when we swithced to Compustat few years ago) was built using Monday around 2AM to mirror what we do live. The “Saturday Data” could be called “Weekend data prior to market open”

3

Ok, thanks for the clarification!