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yuvaltaylor
Re: New engine released

OK, on to the next issue I've noticed in my strategies.

A strategy that ranks stock by a custom shareholder yield formula produces substantially different (over 3% in terms of annual return) results on the Current Engine between Compustat and Factset. The custom formulas is:

((DivPaid(0,ann)+( EqPurch(0,ann)-EqIssued(0,ann)))/mktcap)*100

The custom formula is used in a custom ranking which is then used in the strategy. The strategy it is used in is "QEDGE: Large Stocks SHY Top 25 - 04".

I tried to see if there was any big discrepancies in the individual stocks but didn't really notice anything.

Paul

Paul, I'm afraid there's not enough information here for me to investigate. Is that the only formula that chooses what stocks the simulation holds and what it buys and sells? Or are there other ranking systems, rules, etc. which might account for the difference? A number of the fundamentals are quite different between Compustat and FactSet.

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

May 19, 2020 5:43:55 PM       
yuvaltaylor
Re: New engine released

What is the difference between FactSet Fundamentals and FactSet Coverage?

Also, will p123 be changing data providers for short interest information? If so, will that go live on the new engine prior to July 1st?

Thank you.

Hugh

FactSet fundamentals are things like NetIncBXor and CapEx. FactSet coverage determines which stocks are in the All Fundamentals universe.

We will be changing data providers for short interest information but I don't know if that will be before or after July 1st at this point, and I'm not sure whether or not users will be required to pay extra for that information. We're working on getting answers to those questions.

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

May 19, 2020 5:46:00 PM       
yuvaltaylor
Re: New engine released

Can someone restate what the settings mean for the below. I have gotten confused on what the different combinations mean and how to use them for running current rules as well as a backtest. thanks. David V

See the first post here: https://www.portfolio123.com/mvnforum/viewthread_thread,12249

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

May 19, 2020 5:47:14 PM       
yuvaltaylor
Re: New engine released

Since last weekend (which got the engine to use FactSet estimates), many of my sims that rely on sentiments are performing much worse with FactSet. For example, take "core: sentiment" and "basic: sentiment" ranks from portfolio123. The ranking graphs are different between Current Compustat and Current FactSet. (Current Compustat and Legacy Compustat look the same).

I didn't have a chance to go through the factors / formula used in these ranking, is this something that can be investigated by p123 team?

You should expect substantial differences. All the data providers count different analysts and have different methods of parsing those analysts' numbers.

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

May 19, 2020 5:49:06 PM       
Edit 1 times, last edit by yuvaltaylor at May 19, 2020 8:27:24 PM
rodbarcv2
Re: New engine released

One of my models are not running at all, it uses Toronto Stock Exchange Universe, and it cannot find any stock during a 5 years simulation that meets this rule: EPSExclXor(0,qtr)>0 and EPSExclXor(1,qtr)>0 and EPSExclXor(2,qtr)>0 and EPSExclXor(3,qtr)>0 (last 4 quarters of earnings above breakeven). On Compustat it works fine (an on FactSet before this weekend change, it was working fine too).


Thoughts?

May 19, 2020 6:19:58 PM       
wwasilev
Re: New engine released

Is there anyway to check in a log file whether Current-Compustat/Use or Current-FactSet/Use was chosen for a simulation? I'm see some rather large differences between the two data sources. That's something new and I think it started recently - maybe today. But since I switch between the two often, it's hard to confirm which results belong to each setting. Not having fun today.

Walter

May 19, 2020 6:36:45 PM       
Edit 3 times, last edit by wwasilev at May 19, 2020 6:38:46 PM
yuvaltaylor
Re: New engine released

One of my models are not running at all, it uses Toronto Stock Exchange Universe, and it cannot find any stock during a 5 years simulation that meets this rule: EPSExclXor(0,qtr)>0 and EPSExclXor(1,qtr)>0 and EPSExclXor(2,qtr)>0 and EPSExclXor(3,qtr)>0 (last 4 quarters of earnings above breakeven). On Compustat it works fine (an on FactSet before this weekend change, it was working fine too).


Thoughts?

There's a new bug and EPSExclXor is giving N/A no matter what quarter you choose. We'll get this fixed ASAP.

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

May 19, 2020 8:31:15 PM       
DenisD47
Re: New engine released

Looks like DivPaidTTM is not working for Canadian REITs tonight in the screener using Factset.

Universe All Fundamentals - Canada
GICS(REIT)
DivPaidTTM > 0

Gives 2 REITS out of 39. Most DivPaidTTM are 0 or NA. This worked some days ago.

May 19, 2020 9:36:40 PM       
aschiff
Re: New engine released

Denis,
Many of the FactSet fundamentals were messed up around 5PM CT (7:50 hours ago). This was an unintended side-effect of work being done which will allow us to further address differences in FactSet fundamentals and make them behave more similarly. They should be back to normal by 4AM CT (in 3:10 hours). Thank you for your patience as we scramble to correctly implement all of the necessary features by the end of June.

Aaron
Portfolio123 Staff

May 20, 2020 12:49:32 AM       
Edit 3 times, last edit by aschiff at May 20, 2020 12:53:12 AM
paulnovell
Re: New engine released

Yep. I turned on and off all the other rules to isolate the performance difference to just that custom formula. I just ran it again and the Factset numbers got worse. Hopefully, this is because the 'FactSet fundamental are messes up...." right now....

Paul

May 20, 2020 2:23:48 AM       
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