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pdemartino
Re: FactSet beta site v1.0, NOW LIVE

NFLX's EbitdaTTM is totally different between dbs.


Yes, it is. We're showing the correct numbers, they just calculate it differently. I wish that I could say more, but the S&P site doesn't go into much detail about their calculation.

Apr 17, 2020 10:13:54 AM       
sglinski
Re: FactSet beta site v1.0, NOW LIVE

When I run with the Compustat Vendor on the beta site, I get very different results than running on the regular site (with either "use prelim" or "exclude prelim"). Reason?

Apr 17, 2020 11:11:19 AM       
yuvaltaylor
Re: FactSet beta site v1.0, NOW LIVE

Ok, some Compustat/Factset sims have pretty similar results. One that doesn't seems to be b/c of the Close(0)/EVPS factor. To get rid of any share count issues. I decided to look at MktCap/EV. In many cases, the results are similar but there are exceptions like HUM. Why is the EV so different between the two DBs?

HUM:
Compustat:
EV=37,792.4013
Mktcap=46,704.4013

FactSet:
EV=48,764.4822
MktCap=46,704.4822


Good catch! Compustat has HUM with over $15 billion in cash and equivalents, while FactSet has it with only $4 billion. It looks like we might have accidentally switched Cash and CashEquiv. We'll fix it ASAP.

This is now fixed. But it doesn't help with HUM. FactSet has CashEquivQ as NA for HUM, as well as for hundreds of other stocks, most of them in the financial sector. So HUM's EV, the way we calculate it from FactSet financials, is now even higher than it was last night.

It's not that FactSet is wrong and Compustat is right. It's that Humana's balance sheet claims a huge number of securities as "investment securities" and therefore current assets, but those securities look to Paul and me (and to FactSet) like long-term securities, and therefore should not all be classified as cash and equivalents. NA is probably more correct than $10.4 billion (which is what Humana reports as short-term investments).

At any rate, it looks like we need to change our fallback formula for EV. If CashEquivQ is NA we'll need to look at CashQ instead.

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

Apr 17, 2020 11:17:11 AM       
Edit 1 times, last edit by yuvaltaylor at Apr 17, 2020 11:19:14 AM
geov
Re: FactSet beta site v1.0, NOW LIVE

Georg , Portfolio seems ok for me in the screener. Where do you see the problem ?

Marco, this simple sim does not work on the new platform, with Compustat or Factset data.

Buy: Eval( Ticker("SPY") & Portfolio(1451475),ticker("SPY"),ticker("ief"))
Sell: nodays>12

Attached are sims on current and new platform.

Attachment Timer with current P123 website.png (171620 bytes) (Download count: 182)


Attachment Timer with new P123 website.png (217516 bytes) (Download count: 183)


Apr 17, 2020 11:34:36 AM       
wwasilev
Re: FactSet beta site v1.0, NOW LIVE

Thanks Yuval, I appreciate the update and will try a resim today.

Walter

Apr 17, 2020 11:37:44 AM       
wwasilev
Re: FactSet beta site v1.0, NOW LIVE

There's something wrong with WeeksToQ. Under the beta site, it's returning NA for almost all stocks - and that's with either Compustat or Factset selected. The non-beta site still returns proper (non-NA) values.

Apr 17, 2020 12:03:03 PM       
tissa123
Re: FactSet beta site v1.0, NOW LIVE

This will impact EV/EBITDA and other important ratios. Is there any solution ?

Apr 17, 2020 12:36:54 PM       
Barn
Re: FactSet beta site v1.0, NOW LIVE

I use the TSX as a benchmark in the port sim but when I run the sim I get the following error:

Invalid benchmark 51425 for portfolio

Funny I've tried SPY as well and get a similar error.

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

Apr 17, 2020 1:57:00 PM       
yuvaltaylor
Re: FactSet beta site v1.0, NOW LIVE

This will impact EV/EBITDA and other important ratios. Is there any solution ?


We're going to recalculate EV so that if CashEquivQ = NA, it falls back to CashQ. If both are N/A, EV will simply not reflect the reported cash that Compustat deducts.

This is going to mostly affect banks. And you should NEVER use EV for banks.

But it affects some other companies too. Take JNJ, for instance. Their most recent 10K lists $17.3 billion in "cash and cash equivalents." FactSet gives this as N/A because JNJ does not tell us which of these are true cash equivalents and which are "current marketable securities," i.e. "highly liquid investments with stated maturities of greater than three months from the date of purchase." For all we know, that $17.3 billion could be all in high-yield junk bonds. Do you really want to subtract all these investments when calculating EV? It might be more prudent to consider the EV of JNJ as simply its market cap plus its debt.

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

Apr 17, 2020 2:15:01 PM       
yuvaltaylor
Re: FactSet beta site v1.0, NOW LIVE

I noticed some differences calculating important ratios that depend on some important factors. For example AAPL's EBITDA TTM and Cash & Equiv TTM differ in each database.


The differences in the case of AAPL are negligible, less than 1%. There is necessarily going to be some differences in data between vendors.

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

Apr 17, 2020 2:20:30 PM       
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