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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.

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.

Yes, the plan is to get all FactSet data loaded onto the beta site. But it's a lot of work and it's taking some time. And we don't know yet whether or not we'll be able to expose short interest data. It likely won't be from FactSet, but we're looking into other data providers for it.

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 6:15:34 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.

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.

You da' bomb Yuval. Keep up the good work.
Scrooge

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

Apr 18, 2020 7:08:49 PM       
Edit 4 times, last edit by EbenezerScrooge at Apr 18, 2020 7:14:31 PM
atw
Re: FactSet beta site v1.0, NOW LIVE

Could you say more, please, about the errors you have discovered on the existing site?

A number of my simulations are showing staggeringly different results on the existing site vs. ComputStat with preliminary data. It's very concerning.

Thank you.

Hugh

Apr 18, 2020 8:28:14 PM       
enisbe
Re: FactSet beta site v1.0, NOW LIVE


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 on your strategy, this may not matter much since many important items are usually always reported in press releases.

Marco/Yuval - If I use Exclude Prelim from FactSet data how much is this a problem compared to Compustat data? As of right now my sims are actually doing better if using Exclude Prelim option with FactSet. There are probably two reasons why this might be the case. Either there is a strong look-ahead bias in my sims and/or the FactSet data is actually better data.

I was actually expecting somewhat improved performance in the sims when I heard we were switching to FactSet giving the data is not point in time anymore. I am just wondering how much is this real and how is it not.

Apr 18, 2020 9:33:39 PM       
EbenezerScrooge
Re: FactSet beta site v1.0, NOW LIVE

OpIncQ, OpInc(1,QTR), OpIncTTM, CashEquivQ, EBITTTM are not coming through on factset for smaller? financials?
e.g. NWLI,LNC
But they are coming through for SCHW.

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

Apr 18, 2020 10:01:06 PM       
Edit 2 times, last edit by EbenezerScrooge at Apr 18, 2020 10:04:57 PM
rodbarcv2
Re: FactSet beta site v1.0, NOW LIVE

Hi Yuval,

Please keep us posted here as the bugs are fixed. I just tried to run a diffetent sim on the beta site, and got a different error on this one: UnhandledExceptionHandler: EXCEPTION_ACCESS_VIOLATION

Sim:

https://beta.portfolio123.com/port_summary.jsp?portid=1490690

Thanks

Apr 19, 2020 6:21:56 AM       
regallow
Re: FactSet beta site v1.0, NOW LIVE

No apparent execution problems so far for me with stock screens and ETF sims on the beta site, but consistently get "Invalid uid in PriceHistory" error re-running existing stock sims. Made a new, simple stock sim and it worked.

When I duplicated a non-beta stock sim's settings and rules without using the sim copy method, the error "In Rule 2: ReqContext: UserUid not initialized" happened. There was no Rule 2 by name. The error disappeared when custom series used in a buy and sell rule were updated and saved on the beta site.

I see some very significant differences in ranking performance results between Compustat and FactSet but haven't delved deeply into that concern yet because of sim failures.

Bob
"Logic is a systematic method of coming to the wrong conclusion with confidence." - Unknown

Apr 19, 2020 5:07:24 PM       
dnevin123
Re: FactSet beta site v1.0, NOW LIVE

Any update on the "invalid uid in PriceHistory" error? It was one of the first errors mentioned on this thread and hasn't been commented on.

I have had some luck recreating simulations with said error from scratch and getting them to run on the beta site.

Apr 20, 2020 8:07:02 AM       
yuvaltaylor
Re: FactSet beta site v1.0, NOW LIVE

We are working on fixing all the bugs. There are lots of them, so please be patient.

Once the bugs are fixed there will still be some minor differences between the regular site and the beta site with Compustat and "Use Prelim" checked. We realized when setting up the beta site that we had one flag for all preliminary data. We should have had two: one for interim data and one for annual data. So an annual may have been incorrectly flagged as preliminary during the first three quarters and erroneously fallen back. That has been fixed on the beta site and has not yet been fixed on the regular site. It was important for us to see how the beta site was working before applying the fix to the regular site.

As you can see, this is a work in progress. So please be patient with us.

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

Apr 20, 2020 9:03:13 AM       
atw
Re: FactSet beta site v1.0, NOW LIVE

Hi Yuval,

Thank you very much for your update. Let me make sure I understand what you are saying.

1) Is there a difference in meaning between preliminary data and interim data?

2) Does p123's error mean that preliminary annual data was backdated in p123 so that simulations and backtests believed this data was available up to one year before it really was?

3) Are these backdating errors limited to annual CompuStat data only or do they affect such p123 functions as "ttm" and/or other non-CompuStat data such as estimates, short interest or institutional ownership?

Thank you.

Hugh

Apr 20, 2020 12:14:24 PM       
Edit 1 times, last edit by atw at Apr 20, 2020 12:14:47 PM
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