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Quantonomics
Re: New data provider! Global stock data!

Marco and I had occasion, a few years ago when S&P started acting a bit nuts, to get sample FactSet data and do a deep dive. S&P calmed down a bit so we didn't see a pressing need to continue on with FactSet, but we had seen enough back then to recognize that FactSet would be a sensible alternative if we needed it. Now, we need it.


A bit is an understatement. I don't understand their strategy... So far they only seem to be pushing business away with their antics. Congrats on the move, Factset is the right choice.

Oct 14, 2019 5:03:52 PM       
Edit 1 times, last edit by Quantonomics at Oct 14, 2019 5:04:46 PM
philjoe
Re: New data provider! Global stock data!

One thing that will need to be added for global stocks is the ability to filter stocks based on exchange. Our brokerage accounts will not have access to every single exchange, especially in Europe. Ie. there is no point in designing a model that includes stocks we aren't able to buy.

Oct 14, 2019 6:02:55 PM       
mm123
Re: New data provider! Global stock data!

Very welcome news.

One question comes to mind - Will you have time to work with the FactSet data pre-launch? In other words, are you aiming for a transition from S&P to FactSet with as little disruption to our models as possible?

Oct 15, 2019 2:10:28 PM       
Quantonomics
Re: New data provider! Global stock data!

Very welcome news.

One question comes to mind - Will you have time to work with the FactSet data pre-launch? In other words, are you aiming for a transition from S&P to FactSet with as little disruption to our models as possible?


I think that's most likely going to be the case. When P123 moved from Reuters to S&P Global in 2013 (I think?), they conciliated most line items before releasing it. A couple were deprecated but it wasn't a big deal. I would expect this to be the same, but with less deprecation as most line items of S&P Global got an equivalent with Factset. However, I would expect the rank of each company to change about 10-15% between both data providers. This will most likely trigger a big rebalancing whenever your models are due to rebalance but that's normal. If you are running a fund tracking a strategy using P123, you most likely have to warn your clients about it.

Oct 15, 2019 2:52:02 PM       
Edit 1 times, last edit by Quantonomics at Oct 15, 2019 2:53:17 PM
Barn
Re: New data provider! Global stock data!

P123,

When you say we will have access to foreign markets via subscription, does that include Canada? Currently Canadian data is included in our subscription. So would Canadian data be grandfathered if it becomes a paid subscription? Also will this include Canadian ETF's?

I would also like to request that a list of factor changes be made at the appropriate time and be sticky'd in the forum for a while. I would imagine this won't be much more work considering you have already said you'll be doing a data comparison before the switch. While doing comparisons does that mean you'll be editing any factor descriptions if there are changes noted? I'm not sure how you'll keep the two data sets separate during the overlap period if there are factor changes but I'm sure you have a plan.

It sounds like factset will actually give us PIT updates faster than S&P so I'm looking forward to testing the effects of that.

Just my $0.02 ... Actually I need that back for my port.
Barn

Oct 15, 2019 3:09:26 PM       
yuvaltaylor
Re: New data provider! Global stock data!

P123,

When you say we will have access to foreign markets via subscription, does that include Canada? Currently Canadian data is included in our subscription. So would Canadian data be grandfathered if it becomes a paid subscription? Also will this include Canadian ETF's?


Nothing will change regarding Canada. It will still be included in our basic North American subscription.

I would also like to request that a list of factor changes be made at the appropriate time and be sticky'd in the forum for a while. I would imagine this won't be much more work considering you have already said you'll be doing a data comparison before the switch. While doing comparisons does that mean you'll be editing any factor descriptions if there are changes noted? I'm not sure how you'll keep the two data sets separate during the overlap period if there are factor changes but I'm sure you have a plan.


The plan is to have a beta site with FactSet data at the same time as our normal site with S&P data for a while before the switch. Thus users can compare both and get used to using the new data. I think it's a good idea that if any changes need to be made in how factors are calculated, we'll devote a special space on the forum for that, as well as putting a reference document in our resource library.

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

Oct 16, 2019 1:45:47 PM       
piard2
Re: New data provider! Global stock data!


Nothing will change regarding Canada. It will still be included in our basic North American subscription.
(...)
The plan is to have a beta site with FactSet data at the same time as our normal site with S&P data for a while before the switch.

These 2 points are important for many users, thanks. Even without investing in it, the Canadian market is a must for out-of-sample tests.

Oct 17, 2019 7:31:03 AM       
davidbv
Re: New data provider! Global stock data!

I will be interested in seeing what this looks like plotted in Factset versus what we have been using:
sma(5,0,#spepscny)>sma(21,0,#spepscny)

David

Oct 17, 2019 8:21:39 AM       
judgetrade
Re: New data provider! Global stock data!

wow!
Great News! Looking Forward for international stocks, it is going to be a blast.

In Terms of data Quality (PIT P123 like Quality like in the past, etc.) I trust you guys from p123 100%.
Go for it!!!!

And thank you a ton!!!!

Best Regards

Andreas

Oct 19, 2019 3:25:43 PM       
Edit 1 times, last edit by judgetrade at Oct 19, 2019 3:26:21 PM
mm123
Re: New data provider! Global stock data!

Will the FactSet data include information on foreign-domiciled large-cap OTC stocks? For example, there is no data currently for Tencent, among others. It would be helpful to have access to data for such stocks. Thanks.

Oct 21, 2019 6:27:16 PM       
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