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Re: FactSet beta site v1.0, NOW LIVE

I use some old naming conventions for some of my models such as ItemA(ATot,0) and ItemQ(CIAC,0). These are appearing as NAs with Factset, but we're showing up with compustat. I think it is due to the ItemA, ItemTTM, ItemQ, etc needing to be mapped for FactSet data. Can anyone confirm these will be mapped to FactSet as they were with the switch to Compustat?

Jun 28, 2020 9:36:17 PM       
dkalmuk
Re: FactSet beta site v1.0, NOW LIVE

It seems the PIT method may not be feeding through for rolling tests - just noticed that if I run a sim through a rolling test with / without prelims it's still showing exactly the same results (even though manual runs of the sim show differences).

Good catch. We'll get that fixed.


Any eta on when it will be fixed? Hoping to re-verify systems that have real money in them that seem to behave better without prelims (but the rolling tests seem to always default to use prelims).

Jun 28, 2020 9:38:55 PM       
yuvaltaylor
Re: FactSet beta site v1.0, NOW LIVE

Thanks Yuval - I appreciate the response, unfortunately i think many of use that us EV in our simulations have seen fairly large differences, almost always in a reduction in alpha.

One thing that would be very helpful for me (and possibly others) would be a way to use the data from Factset to recreate a close approximation to the EV value we had from the compustat data. The EV calculation isn't that hard only only has a couple of elements (mrkt cap, debt, preferred equity, minority int, and cash&equiv). If someone on the P123 team that can see both sets of data could look at each element and help identify the differences between compustat and factset then it seems reasonable that we could use the FactSet data to get back to a similar EV value as what we had before (for example you mentioned some differences in cash accounting - it seems like if Factset has not included some things could we add those back in etc)

It would have to be someone who can see the differences in the data and help us construct the equivalent EV formula. Is this something that P123 could help us with?


The major difference is CashEquivQ. Paul, Riccardo, and I all spent a significant amount of time trying to figure out how to get a CashEquiv number from FactSet data that would make sense and cover a wide variety of different companies. We tried all sorts of things and where we ended up is what we have now. Believe me, we took this problem very seriously, and the solution we came up with is, we believe, a very good one.

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

Jun 28, 2020 9:57:41 PM       
yuvaltaylor
Re: FactSet beta site v1.0, NOW LIVE

I use some old naming conventions for some of my models such as ItemA(ATot,0) and ItemQ(CIAC,0). These are appearing as NAs with Factset, but we're showing up with compustat. I think it is due to the ItemA, ItemTTM, ItemQ, etc needing to be mapped for FactSet data. Can anyone confirm these will be mapped to FactSet as they were with the switch to Compustat?


I'm afraid that ItemA, ItemTTM, and ItemQ are particular to Compustat and will not be mapped to FactSet. We have discussed this internally a great deal and have concluded that, since we are not exposing the actual FactSet item codes, and since a number of internal formulas involve combinations of FactSet codes, it would be impracticable to enable ItemA etc for FactSet users.

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

Jun 28, 2020 10:05:54 PM       
dkalmuk
Re: FactSet beta site v1.0, NOW LIVE

Another issue I've stumbled on.... had an REIT trading system that traded amongst a fixed ticker list of CAD REITs. One of those was DRG.UN:CN which the system held until that REIT was acquired and went private last fall. Re-running that system sim tonight it appears that it no longer finds DRG.UN:CN at all historically and therefore no longer holds it the same timeframe it used to. I confirmed this with a screen as well - that this symbol is no longer picked up in past years at all.

Any indications on why this might be occurring? My concern is whether this is a one-off / symbol mismatch type of thing, or whether this might be occurring with a wider set of stocks that are no longer active due to corporate actions, bankruptcy or similar.

Jun 28, 2020 10:18:24 PM       
judgetrade
Re: FactSet beta site v1.0, NOW LIVE

Hi, just wanted to give an update on success on the new data:

Try Rank > X (like 98) as a buy rule (sell rule < 70) on a multy factor ranking system in a micro cap trading system with about 20 Stocks. What can happen is, that the system often does not find the full amount of stocks and it sits partly in cash. But this can be a good thing bc. if small cap stocks are not highly ranked (so the thesis), the market might not in good shape. If you hedge with TLT (50% of port) that can produce very, very nice capital curves I was not able to obtain with the old data vendor (I tried 10000 Times, results where not good!).

Exclude Financials and force OTCs out of the universe (even when you have selected not OTC Univers) !Universe(OTC)

I was able to create very high sortino ratios (as high as 3.77!!) with the new data!!!

Also try small cap trading system on industries like tech, staple + healthcare and combine with buy rank > 98 (or a bit lower).

Very, very interesting capital curves.

Still resarching, but for one day of work this looks very interesting!

Thank you and best Regards

Andreas

Jun 29, 2020 6:38:29 AM       
Edit 1 times, last edit by judgetrade at Jun 29, 2020 6:39:33 AM
yuvaltaylor
Re: FactSet beta site v1.0, NOW LIVE

Another issue I've stumbled on.... had an REIT trading system that traded amongst a fixed ticker list of CAD REITs. One of those was DRG.UN:CN which the system held until that REIT was acquired and went private last fall. Re-running that system sim tonight it appears that it no longer finds DRG.UN:CN at all historically and therefore no longer holds it the same timeframe it used to. I confirmed this with a screen as well - that this symbol is no longer picked up in past years at all.

Any indications on why this might be occurring? My concern is whether this is a one-off / symbol mismatch type of thing, or whether this might be occurring with a wider set of stocks that are no longer active due to corporate actions, bankruptcy or similar.


It's impossible for us to answer this without knowing the rules of your screen. It's possible that with Compustat data it passed all the rules and with FactSet data it failed one or more of them. If you put DRG.UN:CN^19 in a list and run a screen on that list with All Fundamentals - Canada as your universe, it shows up fine.

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

Jun 29, 2020 7:58:20 AM       
brett
Re: FactSet beta site v1.0, NOW LIVE

thanks Andreas

Jun 29, 2020 8:11:22 AM       
dkalmuk
Re: FactSet beta site v1.0, NOW LIVE

Another issue I've stumbled on.... had an REIT trading system that traded amongst a fixed ticker list of CAD REITs. One of those was DRG.UN:CN which the system held until that REIT was acquired and went private last fall. Re-running that system sim tonight it appears that it no longer finds DRG.UN:CN at all historically and therefore no longer holds it the same timeframe it used to. I confirmed this with a screen as well - that this symbol is no longer picked up in past years at all.

Any indications on why this might be occurring? My concern is whether this is a one-off / symbol mismatch type of thing, or whether this might be occurring with a wider set of stocks that are no longer active due to corporate actions, bankruptcy or similar.


It's impossible for us to answer this without knowing the rules of your screen. It's possible that with Compustat data it passed all the rules and with FactSet data it failed one or more of them. If you put DRG.UN:CN^19 in a list and run a screen on that list with All Fundamentals - Canada as your universe, it shows up fine.


Thanks - it must just be a symbol mismatch then - when I was debugging I was simply using a Ticker("DRG.UN:CN") rule with no other filters.

Jun 29, 2020 10:15:34 AM       
Edit 1 times, last edit by dkalmuk at Jun 29, 2020 10:15:59 AM
Doug
Re: FactSet beta site v1.0, NOW LIVE

I apologize if this has been asked. Are there any new data sets with Factset that we didn't have before? For example, different insider trading data, revision data, etc? If so, is there a list somewhere?

Thanks. I greatly appreciate everyone's efforts with the transformation!

Doug

Jun 29, 2020 4:17:08 PM       
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