Dear All,
The beta site on which you can compare Compustat to FactSet fundamentals is now live. You can access it here: [size=3]https://beta.portfolio123.com[/size]
Once you sign in, click on your picture in the upper right-hand corner of your screen. You’ll see options for Data Vendor—Compustat or FactSet—and for PIT Method , which I’ll explain below.
If you choose Compustat as your Data Vendor, you should see pretty much what the regular P123 website offers. If you choose FactSet as your data vendor, all fundamental data will be what FactSet has provided us rather than what Compustat has provided us.
The stocks themselves will remain the same. The beta site does not represent universes created with Factset data (we do not expect the universes to differ much). Estimates are also still from CapitalIQ, as well as all remaining datasets. Little by little we’ll be adding other Factset datasets to the beta site.
RBICS is on the beta site, but for informational purposes only. In other words, you can look up a company’s RBICS code or the companies in an RBICS category, as explained here—https://www.portfolio123.com/mvnforum/viewthread_thread,12240—but we haven’t yet incorporated in ranking yet.
As for the PIT Method, here’s how it works.
For Compustat, “Use Prelim” reflects what we have now. Preliminary announcements are exposed when Compustat processes them. “Exclude Prelim” enables you to completely exclude preliminary announcements so that only data from complete statements from filing is exposed. NOTE: this is a brand new feature that did not exist before.
For FactSet, it’s a similar behavior from March 2020 onwards. The main difference for Factset lies when doing historical backtests since we had to make some compromises. The main problem lies in that Factset creates only one record for the as-reported period. This record is first populated with pre-announcement data (if the company pre-announces). When the SEC filing is processed, that record is overwritten, therefore Factset no longer has the original preliminary data.
The handling of preliminary data is the main problem with Factset in the context of a point in time database. NOTE: going forward, we at Portfolio123, are keeping the preliminary data so this will not be an issue for historical data starting around March 2020.
Luckily Factset does give us two key dates for past filings: when the preliminary data was first announced (“News Date”) and when it was filed with the SEC (“File Date”). When you choose “Use Prelim” we expose the final data on the News Date + one day. This means that some data points may suffer from look-ahead biases. Depending your strategy, this may not matter much since many important items are usually always reported in press releases.
If you want a more conservative backtest approach you can choose to “Exclude Prelims” which will expose the data on the File Date + one day. NOTE: this may still suffer from a minor look-ahead bias since Factset may have taken a few days , or even weeks , to process the filing. We hope to revisit this later when we learn more about typical delays.
Lastly, if Factset has neither File Date nor News Date we lag the data 30 days for interims and 45 days for annuals. This is very rare and happens mostly with older periods. We have a new command for these instances, LaggedStmt, which will read true if the statement has been lagged.
As you play with the site, I’m sure a variety of questions will come up. Please don’t hesitate to post them below and we’ll do our best to answer them.
Thank You