European Data: If Not Now, When?

Report a problem or error
1

Dear Marco & Partners.,

Honestly, the timing doesn’t get much better than this. Having proven themselves an abject failure and exercise in economic nihilism, the German-dictated, European policies of austerity-insanity are quickly coming to a close. ECB easing is firing up just as The Fed is telegraphing that it wants to raise rates. Importantly, European economies are relatively more export driven, and with the Euro finally (gasp…) weaking against the USD, it is a reasonably well-anchored bet to assume a period of improving conditions in Euro Land. If, like me, you find the risks of a Greek exit very low, it is time to back up the truck.

What do you think of the idea of letting us benefit from this opportunity on the Portfolio123 platform?

I would be prepared to join a group to invest in or lend to P123 in order to accelerate the launch of European CompuStat data. I have the impression that others would as well.

This is an exciting time. Let’s make good use of it!

A dedicated fan,

D

2

I support all your points entirely

3

Happy to hear that. Do you think it would help to create a Euro group that can commit to using the data and support P123 along the path? We could probably help with a number of things, including IFRS - US GAAP, understanding various European markets, data sanity checks, etc. If Marco thinks it would be helpful, I would sign up.

4

I believe Marco is aware that there are quite a few users from Europe and that there is demand for the product. I would be happy to join and participate in a group for that purpose because I think Euro data could be a great opportunity.

I think the key first is to understand what has and is keeping this from being developed. Is it compustat/data costs, would it have to be another data provider (reuters), developer workload, lack of interest? Is there any way in which we can help with workload, capital to hire more developers or externalize, etc? Hopefully Marco can shed some light.

Once that is understood, I think we could then try to help if possible.

5

Good questions.

@Marco, can you shed the light?

6

Perhaps to get this project going P123 could start with the LSE data only and see how much demand there really is for overseas market data. I have not seen many Canadian R2G models and wonder whether adding the Canadian data has been a worthwhile exercise for P123?

7

It certainly has to do with our small team which forces us to focus on a few projects at a time.

This past month and the next we’re focusing on some cleanup & user experience.

When we tried adding some of the latest features we realized how cluttered and disorganized we’ve become; with unfinished pages, stale looks, and more importantly, lack of meaningful help for new users. Our main “help” for new users is a 200+ page guide which is too long. The BOLD help system with short video tutorials was a flop and has been removed. In hindsight we should have known. None of us really likes video tutorials since it’s hard to follow along. And they are a pain to keep up to date. We are working on a much better solution using google slides (we will be accepting contributions of ~10 google slides mini tutorials from the community. I’ll put up a link to an example soon)

The R2G pages need to be redone, as was proposed a while back. This also means we need to add a couple of “power tools” to generate the statistics for the new pages (rolling three years test, end-value dispersion). We are also planning, as part of the site redesign, a simpler interface for users that are not intereseted in designing their own strategies.

This may be disappointing to some expert users, but I think when you see what’s coming it will please everyone.

Europe will soon follow. We want to make a good first impressions since that’s quite important over there :slight_smile:

8

Thanks for the update Marco. It seems the more you develop P123, the more ideas come out for improvement, etc. which is great.

Would you consider hiring contractors or things like elance to speed this process or other specific upgrades? As Durandus said, there would probably be enough users willing to commit to the subscription of EU data at a reasonable price, to cover the extra cost of development.

9

My thoughts:

  1. @Marco, the updates are all very welcome! However, I know from my own experience that clean-up efforts can easily take on a life of their own and swallow up new development. It is almost painful to have to stand on the sidelines while Eurolandia goes through a very important shift that will greatly benefit equities. This is happening at a time when it is harder and harder to find reasonable prices in the U.S… Offering European data now might indeed attrack a lot of new business to P123.

As iAvanti mentions, (a) it is likely that many users will commit in advance to a Euro data subscription (you have two right here, right now), and (b) perhaps that commitment would support the use of contractors / elancers.

  1. @Geov, I don’t think existing user interest in Canadian data is a good indicator of interest in Euro data. Canada is North American and tightly linked to / dominated by the U.S. market. On its own, Canada is a miniscule market in terms of market cap and liquidity (no disrespect intended, my dear Canuck Comrades). Granted Euroland is a heterogeneous set of markets, but jointly they are very large.
10

I like what P123 has been working on and think it is the right priority.
I am also interested in developed country stocks. I currently own a Vanguard ETF, VEA, to give me coverage for major European countries (and Japan).

Question: as a US based investor, how would I invest in Siemens or Roche, for instance, once P123 supports the data? I currently trade through Vanguard. I have not talked to them about this but wondered if others already have experience with any non-European based brokers.

I guess these would be non-ADRs? And how would I handle currency conversion and ARs that are affected by exchange rate fluctuations. I could see this to be very complicated. How would the data handle exchange rate conversions. I am trying to wrap my mind around this. Any comments are welcome.

11

David,
I think you should not feel any need to invest in Europe if you don’t have the wish to a priori. This would probably be more for European based investors who at the moment are “forced” to invest only in US stocks as the data is only available for US markets or for no-European investors interested in investing in EU markets.

I do not know about Vanguard, but I know that Interactive Brokers offers European and other markets and their commissions are very competitive. For currency handling, it would work exactly as it currently works for non US based investors who have the same “currency issue”, it is not complicated, but it is a bit long to write here, and you can usually find plenty of material about this on your broker page if they cover non-US stocks or simply on google. As I said, you should look into this only if you are interested in EU stocks, otherwise you could simply ignore it.

I would imagine the data would be grouped by currency and/or Country to limit complications, as it currently does for Canada, where all the data is in CAD.

In the same way that you currently have exposure via that fund to foreign markets, you could have exposure to the same markets but with a systematic strategy, and therefore potentially with better results than a passive investment.

12

The redesign has been going on for about a month and needs a little more time. Not much longer. The new site looks great, we think. Much easier to navigate, with drop-down menus everything is one click away, it’s less intimidating to new users with easily accessible step-by-step tutorials, and most importantly it is flexible to accomodate new releases. We can also modify the site depending on the user expertise. Very important when trying to capture the investor that just want to follow strategies so we don’t confuse them showing off features (natural geek tendency).

Programmers also need breaks once in a while from sharpe ratios and financial jargon, and love doing design stuff. In the big picture a couple of months is nothing. Note however that we have not stopped adding features for power users.

Canada was done for two simple reasons: 1. the data was “free” as it is included in the “North America” license - 2. it forced some re-architecture that will be used for Europe and others. There are still going to be challenges with currencies that we need to address since portfolios, transactions, etc, are not currency aware. Not a big deal now since transactions & positions in a portfolio are all in same country due to the universe. However with Books and manual transactions we will need to address this.

Thanks for your comments

13

You may want to run some test Sims using Europe ADRs until P123 adds the Europe universe. I use a buy rule; Universe($ADR)=true, and a Country rule;

Country(“AUT,BEL,BGR,HRV,CYP,CZE,DNK,EST,FIN,DEU,FRA,GIB,GRC,HUN,ISL,IRL,ITA,LVA,LIE,LTU,LUX,MLT,NLD,NOR,PLN,PRT,ROM,SVK,SVN,SPN,SWE,CHE,TUR,GBR”)=True

I include Turkey (TUR) and I don’t include Russia (RUS). You may want to adjust the country list to your own desires.

In the P123 data on 01/02/1999 there are 146 ADR stocks in my country list with AvgDailyTot(60) > $100K, and 86 stocks with AvgDailyTot(60) > $1mil.
On 02/14/2015 there are 85 stocks in my list with AvgDailyTot(60) > $100K, and 76 stocks with AvgDailyTot(60) > $1mil.

The countries in my list above are: Austria (AUT), Belgium BEL, Bulgaria BGR, Croatia HRV, Cyprus CYP, Czech Republic CZE, Denmark DNK, Estonia EST, Finland FIN, Finland FIN,
France FRA, Germany DEU, Gibraltar GIB, Greece GRC, Hungary HUN, Iceland ISL, Ireland IRL, Italy ITA, Latvia LVA, Liechtenstein LIE, Lithuania LTU, Luxembourg LUX, Malta MLT,
Netherlands NLD, Norway NOR, Poland PLN, Portugal PRT, Romania ROM, Slovakia SVK, Slovenia SVN, Spain ESP, Sweden SWE, Switzerland CHE, Turkey TUR, United Kingdom GBR

So far I haven’t found a Sim that approaches the return of my US Ports, but I haven’t tries in a few years.

14

Good advise. Thank you.

15

A few years ago there was an issue with ADRs. Not all fundamental factors were correct because the data was not presented in $US. Was this problem ever addressed? If not I would stay away from ADRs.

Steve

16

Denny,
Thanks for the suggestion but unfortunately, ADRs are not representative of the European market.
It would be like testing a system on 200 random US large cap stocks, not even the top 200, but a random sample of the S&P 500. I would certainly not base any study on that alone.

In addition, financials are not always reliable due to FX diferntials and slightly different accounting methodologies in some cases. Also, the accounts of the company are mostly in a different currency and their internal FX hedging policy is intended to obtain their results in that currency, adding ficticious volatility to its results via the adjustment of the accounts into USD.

ADR volumes are also relatively irrelevant since they represent a small portion relative to the volume of the stocks in their respective market. In the same way that Apple trades in Frankfurt in euros, it trades 50k shares a day on average on that exchange, a pittance vs what it trades on the US market, so volume data is not useful.

It is my suspicion as well that EU sims might not be as attractive as equivalent US based ones, the US is more of an efficient market in many ways, but who knows, hopefully we can find out soon. I believe that the increased benefits of diversification makes it worthwhile to invest in multiple markets, especially now that the US is expensive in relative terms to Europe and most other developed markets.
http://fingfx.thomsonreuters.com/2013/12/10/1424571cfa.htm
Best!!
iavanti

17

Dear Marco, dear P123 team,

When it comes to an additional fee for inclusion of European stocks, I guess the vast majority of European users would be willing to do that. Even if that fee is substantial.
ADRs are not sufficient as the overlap with the overall European stock universe is (very) limited.

Thank you very much for prioritizing this topic, if possible.

18

I agree with what Marco said earlier. This should help the site. After all as the site gets bigger it will be easier to fund additions and hire people to work on Europe, etc… First focus should be this in my opinion.

19

Looking forward to European data, however long it will take!

20

I’m a relatively new member, but I have two thoughts on this topic. First, I would be VERY excited to get European data. Second, compared to the other options out there Portfolio123 is years ahead. Marco and the team have done a wonderful job figuring out how to build Portfolio123. I would leave it to his judgment on the cadence of a rollout.