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yuvaltaylor
New data provider! Global stock data!

We are pleased to announce that we have entered into an agreement with Factset to supply us with data for stocks all over the world.

Beginning in the second quarter of 2020, all subscribers will be able to use not only the S&P data we have currently available, but also Factset’s data for North American stocks and ADRs. In the third quarter, we will make data for stocks on the European, Asian, and Australian exchanges available to any subscriber who wants to access that data (we have not set pricing yet, but it will be reasonable). We will be cutting off access to S&P data at the end of June 2020, by which time the transition to Factset will be complete.

Here are a few of the advantages subscribers will see:

  • Longer backtest periods. Rather than the current fifteen-year limit, ultimate-level subscribers will be able to access twenty years of data, and perhaps more.
  • Improved classifications. Factset uses its own classification system, RBICS, which will replace GICS. This classification system has a number of advantages over GICS. To quote Factset, RBICS offers “a comprehensive structured taxonomy to classify companies by what they primarily do. RBICS delivers a granular view for investors by classifying companies using a bottom-up approach according to the products and services they provide. By combining this approach with a top-level grouping based on companies’ behavior similarities and stock co-movement, FactSet RBICS delivers unprecedented precision.”
  • More data fields. We will be introducing more line items, more estimate items.
  • No license required for professionals. Professional users will no longer require a license with a data provider in order to access Portfolio123’s data.

The primary reason for the change was that S&P wanted to change the ground rules of our partnership to such a degree that it would have effectively put us out of business. S&P wanted to shorten our backtest period to ten years of fundamentals and five years of estimates; they wanted to require that all users, not just professionals, register with them for pre-approval; they wanted to require all professionals, no matter how low their AUM, to purchase a license from them (their going rate is around $20,000 a year). Switching database providers became not only desirable, but necessary.

As we transition to a new data provider, there will be bumps in the road. Many stocks will be reclassified in different industries. The dates on which announcements and statements became available will change. There may be a few fields that we will no longer be able to offer. The backtested performance of your models will change, sometimes drastically. But we will have all hands on deck to help our subscribers deal with these issues.

And our subscription prices will not increase. Our European and Asian/Pacific subscriptions will be priced comparably with our North American subscriptions, but subscribers to more than one region will receive substantial discounts.

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Oct 11, 2019 2:21:50 PM       
Jrinne
Re: New data provider! Global stock data!

No license required for professionals. Professional users will no longer require a license with a data provider in order to access Portfolio123’s data.


This could make it a very good thing—especially with access to an API which will hopefully become a priority. I assume the data downloads will be less restricted?

-Jim

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Oct 11, 2019 2:29:21 PM       
Edit 5 times, last edit by Jrinne at Oct 11, 2019 2:32:07 PM
wwasilev
Re: New data provider! Global stock data!

Oh, exciting times! So it sounds like the S&P data will still be available to subscribers. Is that right? If not, is there an anticipated end-of-life for the dataset?

PS
I hope your digital marketing guy starts soon and has input on naming things - "ultimate-level subscribers" sounds weird.

Walter

Oct 11, 2019 2:53:44 PM       
Jrinne
Re: New data provider! Global stock data!

Walter:

"We will be cutting off access to S&P data at the end of June 2020….."


I defer to Yuval for any corrections.

-Jim

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Oct 11, 2019 2:58:39 PM       
Edit 1 times, last edit by Jrinne at Oct 11, 2019 2:59:11 PM
wwasilev
Re: New data provider! Global stock data!

Oh, I missed that. Thanks! But in all fairness, I just got back from an eye exam and my pupils are still ultimately-dilated and everything appears super-duper fuzzy.

Oct 11, 2019 3:01:30 PM       
Edit 2 times, last edit by wwasilev at Oct 11, 2019 3:12:11 PM
Jrinne
Re: New data provider! Global stock data!

Yuval,

You mentioned estimates

Do you know what estimates are provided by Factset? I mean by this Thompson Reuters? I assume it is not CapitalIQ (and hope not Zacks).

Maybe Factset does it’s own.

Thanks

-Jim

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Oct 11, 2019 3:44:00 PM       
Edit 2 times, last edit by Jrinne at Oct 11, 2019 3:48:17 PM
yuvaltaylor
Re: New data provider! Global stock data!

Yuval,

You mentioned estimates

Do you know what estimates are provided by Factset? I mean by this Thompson Reuters? I assume it is not CapitalIQ (and hope not Zacks).

Maybe Factset does it’s own.

Thanks

-Jim


Yes, FactSet provides estimates that they collect themselves.

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Oct 11, 2019 4:17:14 PM       
Edit 1 times, last edit by yuvaltaylor at Oct 11, 2019 4:17:41 PM
jmh
Re: New data provider! Global stock data!

My initial reaction is sweet and sour. I appreciate there was no real choice considering S&P behavior. If anything, it did prove that the engine that the P123 team has setup is arguably better than ClariFI. In a weird way, well done!

Pros: finally Intl data at reasonable price

Questions / worries:
1) Is factset also PIT?
2) Is factset as reliable as S&P Compustat (particularly regarding PIT)
3) Closer to the time we will need to have detailed mapping from old -> new functions as well as GICS <-> RBICS. I have live strategies that use GICS codes so that will require some serious redoing
4) " The dates on which announcements and statements became available will change" -> if PIT data, how is this possible?
5) I assume we will still have ETFs -> how about the "virtual" ETF time-extension?
...

Finally thank you to the P123 team for giving us an early heads-up. I now know that I need to plan some time for updating my live strategies in Q2 2020!

Thank you

Jerome

Oct 11, 2019 4:28:11 PM       
yuvaltaylor
Re: New data provider! Global stock data!

My initial reaction is sweet and sour. I appreciate there was no real choice considering S&P behavior. If anything, it did prove that the engine that the P123 team has setup is arguably better than ClariFI. In a weird way, well done!

Pros: finally Intl data at reasonable price

Questions / worries:
1) Is factset also PIT?
2) Is factset as reliable as S&P Compustat (particularly regarding PIT)
3) Closer to the time we will need to have detailed mapping from old -> new functions as well as GICS <-> RBICS. I have live strategies that use GICS codes so that will require some serious redoing
4) " The dates on which announcements and statements became available will change" -> if PIT data, how is this possible?
5) I assume we will still have ETFs -> how about the "virtual" ETF time-extension?
...

Finally thank you to the P123 team for giving us an early heads-up. I now know that I need to plan some time for updating my live strategies in Q2 2020!

Thank you

Jerome

We don't have definitive answers to some of these questions yet. We do know that FactSet has a very good reputation. But we have to study the data closely in order to determine what drawbacks this data has over S&P's, if any. I can, however, explain a few things.

We will definitely map all old GICS codes to the new RBICS codes. But the mappings will not be entirely exact, and there will be many cases in which the components of an industry will change drastically. For example, let's say company ABC and XYZ are both in the entertainment industry according to GICS. Those companies might be in two completely different industries under RBICS.

What I meant about "the dates on which announcements and statements became available will change" is this: Let's say company XYZ announces its earnings on November 14, S&P takes five days to process this and changes their data on November 19, and Factset only takes two days and changes their data on November 16. So our database currently reflects the data changing on November 19 (with November 14 through 18 as "stale statement" days), and down the road the data change will be on record as taking place on November 16 instead.

The ETF time-extensions will remain in our database because we created those ourselves.

- Yuval

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Oct 11, 2019 4:48:51 PM       
gs3
Re: New data provider! Global stock data!

I suggest to launch a beta site with new data as early as possible so that p123 can get help from existing user on the testing. And as user to get hands on data as well. Thanks for the effort and communication.

-gs3

Oct 11, 2019 5:50:40 PM       
Edit 1 times, last edit by gs3 at Oct 11, 2019 5:51:36 PM
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