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

Noticed that FactSet BUD has DbtTotQ of $0. That'd be nice. Compustat has $100B. Though it bounces around oddly in Compustat, too.
Best,
Scrooge

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

Apr 18, 2020 1:39:27 AM       
EbenezerScrooge
Re: FactSet beta site v1.0, NOW LIVE

I don't believe Howmet Aerospace HWM is in the SP500 and it doesn't have 42mm employees. FactSet beta is showing these.

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

Apr 18, 2020 2:11:34 AM       
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...)

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.

Thanks for your answer Yuval.
Maybe you don't see a stock's SI%float and a CEF's NAV growth or discount as fundamentals, but they are not technical either. Is there a plan to get data about short interest and CEFs before Q3 or must we already throw away models in which they are used? The sooner we know it the better if we must go out at best of such trading strategies. Your migration and your communication should be driven by use cases and user's risk, not database constraints.

Apr 18, 2020 3:06:13 AM       
Edit 5 times, last edit by piard2 at Apr 18, 2020 5:22:17 AM
Hedgehog
shock Re: FactSet beta site v1.0, NOW LIVE

I am also receiving the "invalid uid in PriceHistory" error for the following port https://beta.portfolio123.com/port_summary.jsp?portid=1606334

Also getting the "Invalid uid in PriceHistory" on some existing Simulated Strategies on all four datasets, i.e. Compustat and Factset both with or without Prelim.

Did some tests:
1. Created a new default simulation on the beta site called "Factest - New " --> OK
2. Changed an existing simulation to default simulation, same as 1., "Factest - Based on old " --> ERROR
3. Created a new simulation with import from 2. "Factest - Based on old - Copy " --> ERROR

Any idea?

Apr 18, 2020 5:51:17 AM       
mbclark
Re: FactSet beta site v1.0, NOW LIVE

Just one data point from me, but sims for the main ranking system I use across Compustat, Factset with prelim and Factset excluding prelim are all fairly similar. In fact the Factset options actually have better backtests than Compustat. This is for a multi factor ranking system that is not particularly innovative, mostly a "greatest hits" album of various academic papers.

Not sure what learning I should take from that other than a little bit of relief that my backtest results are not a function of me somehow having over optimized to some quirk of the Compustat data set.

Apr 18, 2020 6:41:28 AM       
tissa123
Re: FactSet beta site v1.0, NOW LIVE

I ran rollback backtesting in each data vendor and it seems that the greater differences come from before 2009.

Apr 18, 2020 9:02:34 AM       
yuvaltaylor
Re: FactSet beta site v1.0, NOW LIVE

To be very brief, there are two explanations for why results are different between the regular site and the beta site using Compustat and Use Prelims.

1. Preliminaries are treated differently in the beta site than on the regular site. That's not going to change. That will affect results. Basically, we found certain things wrong with how P123 had been processing preliminary results, and those are being corrected on the beta site.

2. There are bugs, which we are working to fix.

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

Apr 18, 2020 5:34:57 PM       
yuvaltaylor
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.

FactSet gives a lot more NAs for SpcItems than Compustat does. I suggest adding IsNA to all your SpcItems rules. That's what I'm doing. Instead of SpcItemsTTM, use IsNA(SpcItemsTTM,0).

It looks like ExpNonOp is missing. We'll fix that. That's a bug.

We'll be making a spreadsheet available so that users can see the Compustat to FactSet mapping.

The goal is to have NO current P123 functions that will map to nothing in the FactSet data. Whether that goal is achievable or not remains to be seen.

All fundamental line items are FactSet if you use FactSet on the beta site. SI%Float is not a fundamental line item, so the beta site defaults to Compustat, like it does with all non-fundamental line items. As additional FactSet data gets incorporated into the beta site, that will change.

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

Apr 18, 2020 5:51:55 PM       
yuvaltaylor
Re: FactSet beta site v1.0, NOW LIVE

Noticed that FactSet BUD has DbtTotQ of $0. That'd be nice. Compustat has $100B. Though it bounces around oddly in Compustat, too.
Best,
Scrooge

Check BUD's FactSet DbtTotQ using the "Exclude Prelim" setting. That has the right number. I'm not sure why it has zero in the "Use Prelim" setting.

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

Apr 18, 2020 6:09:23 PM       
yuvaltaylor
Re: FactSet beta site v1.0, NOW LIVE

I don't believe Howmet Aerospace HWM is in the SP500 and it doesn't have 42mm employees. FactSet beta is showing these.

Somehow we accidentally added three zeros to all the empl numbers. We'll fix that.

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

Apr 18, 2020 6:11:34 PM       
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