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marco
Re: New data provider! Global stock data!

We should have the filings since we're getting global data. Pretty sure that's the reason we don't have any data from S&P now. Would have to be converted to USD though as the only data appears to be in Chinese Yuan.

Portfolio123 Staff.

Oct 22, 2019 3:34:54 PM       
philjoe
Re: New data provider! Global stock data!

Has there been any updates on this process? Is it still on track for Q2 2020?

Nov 9, 2019 5:56:12 AM       
marco
Re: New data provider! Global stock data!

Q2 2020 is for the first phase : switching North America to Factset. We should be able to start Europe middle of Q2 then AsiaPac Q3. From what I've seen so far these are conservative estimates.

Portfolio123 Staff.

Nov 9, 2019 8:09:23 AM       
mm123
Re: New data provider! Global stock data!

Thanks for update Marco. Will the FactSet historical data be point-in-time, i.e., no look-ahead bias?

Nov 9, 2019 12:42:59 PM       
marco
Re: New data provider! Global stock data!

PIT depends on the dataset. Dead companies are there. Estimates should be ok. Their taxonomy is ok too I think.

The financial statements is where we will have to make some assumptions. The main issues is they only have "two buckets" for statements. In one goes the as-reported in the other restated values (if any). This means -- 1) preliminary reports are overwritten when final numbers come out 2) if company restates a period multiple times only the last one survives. There are also some lesser issues with the effective dates , but they key ones there: when a company first reported and the filing date (also easily attainable from SEC).

We're watching the data live to learn more on how to make better assumptions. Factset officially recommends simply lagging the Q's 30 days and 10-K 45 days. I believe there are much better assumptions, like based on the company itself. For example: companies are pretty consistent as far as which items they include in a preliminary report. We could basically create a stencil for each company to re-create a prelim report .

We're also keeping track of changes that would be lost thereby creating our own PIT version starting now. Going forward the prelim data won't be lost.

This is what we have so far.

Portfolio123 Staff.

Nov 9, 2019 5:10:12 PM       
mm123
Re: New data provider! Global stock data!

Ok, thanks, good to know you're watching this closely. I wonder if it might be worth keeping a small sample of your existing preliminary data (assuming that's ok) in order to compare it to FactSet's data and manage the latter accordingly.

Nov 9, 2019 7:23:55 PM       
jmh
Re: New data provider! Global stock data!

Hi Marco,

The main issues is they only have "two buckets" for statements. In one goes the as-reported in the other restated values (if any). This means -- 1) preliminary reports are overwritten when final numbers come out 2) if company restates a period multiple times only the last one survives.


Sorry - can you clarify that, pls.

This seems to imply that it is not PIT?

Or are you saying that there are 2 buckets and the 1st one is never overwritten (the 2nd one can be if there are several restatements) so it is more a matter of knowing on which date you look into the 1st vs the 2nd bucket.

Thank you

Jerome

Nov 10, 2019 5:45:48 AM       
InspectorSector
Re: New data provider! Global stock data!

As Reported is point in time, Most Recent is not. I think what Marco is saying is that As Reported includes preliminary and incomplete data sets that need to be handled in a rational fashion. This is complicated by the restatement of results after the fact.

Nov 10, 2019 6:18:59 AM       
marco
Re: New data provider! Global stock data!

Both buckets are overwritten. The "as-reported" bucket is first filled with whatever is on the prelim report, it is then updated with the SEC filing, and that's were it stops. The "restated" bucket is created/updated any time a period is restated. Both buckets have reasonable dates that can be used to expose/hide them during a backtest.

Factset fundamentals can't be called PIT for the reason that the data is overwritten. But I feel it will be more than ok, and we'll use all our expertise to make it as good as it can be.

BTW... Factset provides some studies comparing "PIT vs lagged" analysis showing that it produces similar results. Might be self-serving, cherry picked studies, but I'll post them soon.

Portfolio123 Staff.

Nov 10, 2019 11:20:18 AM       
jmh
Re: New data provider! Global stock data!

OK - Thank you Marco for this more detailed explanation.

1) I guess we will only know the magnitude of the differences once we get to run side by side a few sims with factset data vs S&P data (large caps, reasonable trading freq at first, as small caps might show greater variations).

Bottomline -> -because of S&P behavior- we do not really have a choice in terms of moving to factset, it is about making the best of what is available. I have full trust in you and the P123 team.

2) Question -> could you guys keep your S&P code infrastructure somewhere ready to use? I am thinking long term if some of us are willing to pay for S&P data but using the P123 engine rather than Clarify. Would that be possible?

Thank you,

Jerome

Nov 10, 2019 11:56:54 AM       
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