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

I am unable to run simulations on either Compustat or Factset.

For example, on https://beta.portfolio123.com/port_summary.jsp?portid=1596353 I am getting invalid benchmark error, no matter which benchmark I chose. For https://beta.portfolio123.com/port_summary.jsp?portid=1589247 I am getting invalid uid in PriceHistory.

I only tested these 2 so far.

Thanks for the bug reports. We are handling them all and will notify everyone as soon as these issues are fixed.

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 2:28:38 PM       
yuvaltaylor
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?


Please give us some concrete examples so that we can fix this. Thanks!

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 2:29:38 PM       
tissa123
Re: FactSet beta site v1.0, NOW LIVE

It seems that in the case of NFLX besides Ebitda, NetPlant and Payables are very different too.

Apr 17, 2020 2:29:58 PM       
sglinski
Re: FactSet beta site v1.0, NOW LIVE

Here are the details on "very different results:"

Original Site Sim Results: 22% Annual Return, 1.38 Sharpe:
https://www.portfolio123.com/port_summary.jsp?portid=1606266

With Compustat "Use Prelim" on Beta Site 10% Annual Return 0.74 Sharpe:
https://beta.portfolio123.com/port_summary.jsp?portid=1606405

With Compustat "Exclude Prelim" on Beta Site 11% Annual Return, 0.79 Sharpe:
Same Portid as above

With Factset "Use Prelim" on Beta Site 7% Annual Return, 0.44 Sharpe:
Same Portid as above

With Factset "Exclude Prelim" on Beta Site 4% Annual Return, 0.19 Sharpe:
Same Portid as above

Apr 17, 2020 2:56:14 PM       
pdemartino
Re: FactSet beta site v1.0, NOW LIVE

There are going to be differences looking at specific companies. If the EBITDA is substantially different then there pretty much have to be other differences with that company as well.

You can replace EBITDA with nearly any of the accounting lines. To paraphrase Mr. Rogers, everything fits together because it's all one piece. If you change, say, Payables then something else has to be changed in order to get to the big Total Assets/Total Liabilities+Total Shareholders Equity line being equal.

And that's assuming no changes to some lines that I thought were sacrosanct. I looked and there are some companies with different Sales lines, for example. By the time that you get to net income everything's in the air, but I expected Sales to be more or less equal. (The differences are probably because of differing treatments of unusual variable costs, by the way.)

Apr 17, 2020 3:07:40 PM       
piard2
Re: FactSet beta site v1.0, NOW LIVE

Happy to start some tests. My first 2 questions:
1/ SI%float is still available when choosing Factset provider. Where does it come from? Have you found a solution or is it still Compustat data that will disappear in the transition?
2/ My CEF sims don't change at all when switching to Factset. Do CEF fundamental data really come from Factset? (Yield, NAVDisc, NAVDiscAvg(), NAV%Chg12M etc...)

Apr 17, 2020 3:47:16 PM       
Edit 1 times, last edit by piard2 at Apr 17, 2020 4:04:12 PM
tissa123
Re: FactSet beta site v1.0, NOW LIVE

There are going to be differences looking at specific companies. If the EBITDA is substantially different then there pretty much have to be other differences with that company as well.


Paul, I don't know why but probably these differences are making roughly a 10% underperformance in my rolling backtest.

Apr 17, 2020 5:07:18 PM       
Edit 1 times, last edit by tissa123 at Apr 17, 2020 5:10:19 PM
yuvaltaylor
Re: FactSet beta site v1.0, NOW LIVE

Happy to start some tests. My first 2 questions:
1/ SI%float is still available when choosing Factset provider. Where does it come from? Have you found a solution or is it still Compustat data that will disappear in the transition?
2/ My CEF sims don't change at all when switching to Factset. Do CEF fundamental data really come from Factset? (Yield, NAVDisc, NAVDiscAvg(), NAV%Chg12M etc...)

SI%Float is not a fundamentals item so we're still getting Compustat numbers for that. Ditto with the CEF data. The only things on the website that are different between Compustat and FactSet are the fundamental line items and things derived from those.

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 6:24:23 PM       
EbenezerScrooge
Re: FactSet beta site v1.0, NOW LIVE

Any sign of these line items in the factset datastream?

SpcItems
ExpNonOp

Could you publish a complete list of line items from compustat and factset and how you are mapping p123 functions to each?

The corollary being, which p123 functions are we currently using that will map to nothing (no data for an line item) in the FactSet data?

If factset is missing a line item is the beta site mapping to the compustat line item? Don't do that (re: SI%Float @Yuval above), so we can see what we will have when compustat goes away.

Plunge into the heat of battle and keep your heart at the lotus feet of the Lord.

Apr 17, 2020 11:51:06 PM       
atw
Re: FactSet beta site v1.0, NOW LIVE

Are subscribers now seeing similar results when running simulations on the existing p123 site vs. running simulations in the Compustat with preliminary data option on the Beta site? (Results from simulation run on the existing p123 site should be substantially the same as results from simulations in the Compustat with preliminary data option on the Beta site, correct?)

Additionally, have subscribers noticed unexpected results today when running simulations in the existing p123 site vs. simulation results run on identical models in the existing p123 site earlier in the week or last week?

Thank you.

Hugh

Apr 18, 2020 1:19:55 AM       
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