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

I think that the FactSet TTM numbers for BTI are counting the prior 4 "quarters", but each "quarter" is really six months. I am doing more research on this.

EDIT: Some other ADRs are also showing Sales TTM numbers double the Sales Annual for FactSet. But many are not.

You are absolutely correct. For companies with semiannual reports TTM is counting them each as quarters in FactSet. We will be rolling out a fix for this tomorrow.

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

Apr 23, 2020 10:09:57 PM       
yuvaltaylor
Re: FactSet beta site v1.0, NOW LIVE

Yesterday there was a difference in how KEEPNA was handled by the beta site and the production site. For certain factors it was incorrectly going to 0 on the beta site, which would lead to different numbers for ROI. This has now been fixed. The actual formula for ROI is 100 * (NetIncBXor(0, TTM, KEEPNA) + IntExp(0, TTM, KEEPNA) * .65) / ((EqTot(0, QTR, KEEPNA) + DbtTot(0, QTR, KEEPNA) + EqTot(4, QTR) + DbtTot(4, QTR)) / 2) Let me know if you're still seeing differences. I checked all the stocks in the S&P 500 and didn't see any. If you do see differences, then try to isolate which of these variables is causing them, please. Thank you for being so diligent about this.


Thanks Yuval, I think I have traced it down. The difference appears to be in the data (which isn't surprising). What is a little interesting to me is that there is a big difference between IncAftTax and NetIncBXor, and by looking at the Line-Item reference you would expect them to be similar for most securities.

Indeed, on the production server if you pull up the Fundamental Chart and compare NetIncBXor(0,TTM,KEEPNA) with IncAftTax for "DHT" you will see that they are basically identical over the last 10 years.

That is not the case for the beta test server. If you look closely at the same Fundamental Chart comparison over the last 10 years for "DHT" you will see some pretty significant differences between NetIncBXor and IncAftTax that are not present on the production server. Indeed, for the data in question (10/15/2013) the NetIncBXor = -45.39 while the IncAftTaxTTM = -114.47. (On the production server NetIncBXor = IncAftTaxTTM = -114.47.)

Do you guys have any thoughts as to the reason for the differences? Are NetIncBXor and IncAftTax being mapped in a different fashion on the beta server than on the production server, or does FactSet include something in NetIncBXor that Compustat does not?

Thanks,

Daniel

Good observation. We're checking into this. We may have the wrong FactSet code for NetIncBXor, but I'm not sure yet.

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

Apr 23, 2020 10:25:39 PM       
yuvaltaylor
Re: FactSet beta site v1.0, NOW LIVE



Thanks Yuval. Is the plan to load FactSet's estimates during the beta tests? If so, any ballpark timeframe that we can expect that?


Rod

Probably in the next week or two.

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

Apr 23, 2020 10:27:05 PM       
Chipper6
Re: FactSet beta site v1.0, NOW LIVE

Thank you guys for all the work you are putting into this thing to make it work for us.

VOXX is showing preferred shares (PfdEquityQ) on FactSet but not on Compustat. The most recent financial statement for VOXX claims that there are no preferred shares, although there are some class B convertible shares.

Apr 24, 2020 11:57:42 AM       
aschiff
Re: FactSet beta site v1.0, NOW LIVE

Georg,

I looked into your issue and identified and corrected what was going on.
Now there should only be one noticeable difference in your Portfolio backtests: variable slippage has been changed to always be computed starting from the day before the transaction date. I'm looking to see if this is intentional or needs to be corrected.

Thanks for bearing with us on this!

Aaron
Portfolio123 Staff

Apr 24, 2020 2:56:08 PM       
Edit 1 times, last edit by aschiff at Apr 24, 2020 3:02:47 PM
yuvaltaylor
Re: FactSet beta site v1.0, NOW LIVE


Do you guys have any thoughts as to the reason for the differences? Are NetIncBXor and IncAftTax being mapped in a different fashion on the beta server than on the production server, or does FactSet include something in NetIncBXor that Compustat does not?

Thanks,

Daniel

Good observation. We're checking into this. We may have the wrong FactSet code for NetIncBXor, but I'm not sure yet.

Indeed, we were using the wrong FactSet code for NetIncBXor. This will be fixed shortly.

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

Apr 24, 2020 3:12:30 PM       
dnevin123
Re: FactSet beta site v1.0, NOW LIVE

awesome! thanks Yuval

Apr 25, 2020 8:53:46 AM       
Chipper6
Re: FactSet beta site v1.0, NOW LIVE

I think that the FactSet TTM numbers for BTI are counting the prior 4 "quarters", but each "quarter" is really six months. I am doing more research on this.

EDIT: Some other ADRs are also showing Sales TTM numbers double the Sales Annual for FactSet. But many are not.

You are absolutely correct. For companies with semiannual reports TTM is counting them each as quarters in FactSet. We will be rolling out a fix for this tomorrow.

Looks good now, thanks!

Apr 26, 2020 8:50:18 AM       
dnevin123
Re: FactSet beta site v1.0, NOW LIVE

I took 20 high dividend yield companies and compared them based on their Quality Rank (using the old P123 Quality Ranking system). The intent was to see how much difference there was between the Production and Beta server for each of the factors that make up the Quality Ranking system. In general, there were more differences than I would have expected. In interest of brevity I'll focus on one of the tickers for now (WDR). For WDR there is a significant difference in OpMgn%TTM and IntCovTTM. This is all being driven by a difference in the reported Operating Income for WDR between the two servers starting in ~January 2017 (prior to that the reported numbers appear to be the same.) A quick summary of the Income Stmt as reported at the present time is as follows

Production Server
SalesTTM = 1089.201
OpIncTTM = 182.820
NetIncBXorTTM = 114.992

Beta Server
SalesTTM = 1070.550
OpIncTTM = 107.687
NetIncBXorTTM = 114.991

Note that the Sales and Net Income numbers are basically the same, but the Operating Income number is off by ~75%. Not sure what the cause of this would be... probably just unavoidable differences between the two systems, but I figured I would highlight it to you guys anyway.

Thanks,

Daniel

Apr 26, 2020 10:42:15 AM       
philjoe
Re: FactSet beta site v1.0, NOW LIVE

When will additional datasets be moved over to FactSet? My udnerstanding is that its only fundamental data so far, but nothing else?

Apr 26, 2020 11:46:24 AM       
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