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rodbarcv2
Re: New engine released

My sims seem to be performing now like before the last big change, similar or better than Compustat. Only a few models performing a bit worse, so whatever Aaron and team fixed did the trick.

Also, I confirm that EPSExclXor is now performing like before.

Thank you,

May 20, 2020 6:18:07 AM       
Edit 1 times, last edit by rodbarcv2 at May 20, 2020 6:19:17 AM
test_user
Re: New engine released

Just a couple of small problems I've stumbled upon:

Using Factset, Si%shsout is N/A for some stocks (for example CSBR and ALLT).

For most (all?) stocks using Factset, PricetargetMean, PriceTargetHi and PriceTargetLo all return the same number.

May 20, 2020 6:28:01 AM       
atw
Re: New engine released

Hi Yuval,

Thank you very much for your reply regarding the difference between FactSet fundamentals and FactSet coverage, as well as your short interest-related update.

I believe differences between FactSet and CompuStat coverage are creating unexpected FRank function results. I don't think this is a problem - we wouldn't expect coverage between data providers to be exactly the same - but it looks like some re-calibrating is necessary.

Checking All Fundamentals, Legacy CompuStat coverage includes 6528 companies this morning.

Interestingly, new engine CompuStat coverage appears to include 6529 companies. It's only a difference of one company but how is that difference possible?

FactSet coverage is 8252 companies. If this is intended, FactSet is probably including a lot more "pink sheet" companies than CompuStat. If so, and as an example, a ranking rule that selects half of all companies with highest market cap would identify fewer but larger companies in CompuStat than in FactSet.

Does this make sense? Is there any general information available on FactSet's coverage vs. CompuStat's coverage?

It seems clear this difference in coverage could have profound consequence for screens, simulations, etc.

Thanks very much.

Hugh

May 20, 2020 10:48:55 AM       
yuvaltaylor
Re: New engine released

Hi Yuval,

Thank you very much for your reply regarding the difference between FactSet fundamentals and FactSet coverage, as well as your short interest-related update.

I believe differences between FactSet and CompuStat coverage are creating unexpected FRank function results. I don't think this is a problem - we wouldn't expect coverage between data providers to be exactly the same - but it looks like some re-calibrating is necessary.

Checking All Fundamentals, Legacy CompuStat coverage includes 6528 companies this morning.

Interestingly, new engine CompuStat coverage appears to include 6529 companies. It's only a difference of one company but how is that difference possible?

FactSet coverage is 8252 companies. If this is intended, FactSet is probably including a lot more "pink sheet" companies than CompuStat. If so, and as an example, a ranking rule that selects half of all companies with highest market cap would identify fewer but larger companies in CompuStat than in FactSet.

Does this make sense? Is there any general information available on FactSet's coverage vs. CompuStat's coverage?

It seems clear this difference in coverage could have profound consequence for screens, simulations, etc.

Thanks very much.

Hugh


Yes, some pink sheets, but a huge number of ADRs are now available in the US All Fundamentals database that weren't there before. With Compustat we had no data for such giant companies as Tencent Holdings, Novatek, Samsung, Prosus, WH Group, Reliance, Softbank, Hermes, Iberdrola, and Kering, not to mention hundreds of smaller ones. I've already started investing in some of these new ADRs--there are a lot of promising candidates.

The median market cap of Compustat All Fundamentals stocks is $289 million; the median market cap of FactSet All Fundamentals stocks is $208 million.

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

May 20, 2020 9:26:41 PM       
Chipper6
Re: New engine released

I've already started investing in some of these new ADRs.

Whatever happened with the six month quarters issue for ADR's, was it fixed?

May 21, 2020 9:25:34 AM       
atw
Re: New engine released

Thank you, Yuval. Having greater coverage should be good in the long run but definitely require some attention in FRank-like usage.

Related to Chipper's question immediately above, what is the default quarterly variable treatment of ADR's who report on a six month basis?

Hugh

May 21, 2020 12:47:37 PM       
Barn
Re: New engine released

There seems to be an issue with Market Cap on the Factset server. I was looking at several CAN stocks and I stopped after the first US stock did the same thing. All the compustat numbers are correct. The factset prices shown and the shares out numbers are the same as compustat so I'm not sure how you are calculating Market Cap differently between the two data sets??

CS = Compustat
FS = Factset

Market Cap
BEP.UN:CN
CS 12.19B
FS 21.02B

QSP.UN:CN
CS 26.57B
FS 33.59B

CHP.UN:CN
CS 3.75B
FS 8.46B wow

QSR (USA)
CS 15.76B
FS 24.45B

Just my $0.02 ... Actually I need that back for my port.
Barn

May 21, 2020 3:08:19 PM       
yuvaltaylor
Re: New engine released

I've already started investing in some of these new ADRs.

Whatever happened with the six month quarters issue for ADR's, was it fixed?


This has not yet been fixed, but it's on our agenda.

Just to be clear: some companies report semiannually rather than quarterly. On the Legacy server and for Compustat data on the current server we give quarters with odd numbers N/A and quarters with even numbers the semiannual number. For FactSet data, on the other hand, (0,qtr) is the latest statement, (1,qtr) is the statement before that, and so on. This behavior is problematic because (4,qtr) would be two years ago rather than one.

We need to come up with a solution for all semiannuals, and haven't done so yet. We're working on it. In the meantime we'll be changing the behavior of the FactSet server to be more like the Compustat servers.

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

May 21, 2020 7:59:51 PM       
DenisD47
Re: New engine released

There seems to be an issue with Market Cap on the Factset server.

...

CHP.UN:CN
CS 3.75B
FS 8.46B wow

Don't know about the others. But I'm guessing FS is correct for CHP.UN market cap. I reported this 18 months ago.

I think the shares outstanding for Choice Properties REIT (CHP.UN:CN) is too low. P123 shows 278 million shares outstanding (SharesCur, SharesQ, SharesFDQ). This is the number of trust units issued. However, there are also 390 million exchangeable units which are "economically equivalent" to the trust units. Shouldn't the number of shares be 668 million? I'm not sure if S&P is supposed to adjust for this type of situation or not.

The information is on page 91 and 92 of the 2018 Third-Quarter Report which can be found at:
http://www.choicereit.ca/English/investor-rel...al-reporting/default.aspx

My post quoted above: https://www.portfolio123.com/mvnforum/viewthread_thread,11472#!#66002

Added: FS has SharesQ >> SharesCur just like any dual share class stock. CS has SharesQ ~ SharesCur.

May 21, 2020 8:07:43 PM       
Edit 2 times, last edit by DenisD47 at May 21, 2020 8:26:49 PM
yuvaltaylor
Re: New engine released

There seems to be an issue with Market Cap on the Factset server. I was looking at several CAN stocks and I stopped after the first US stock did the same thing. All the compustat numbers are correct. The factset prices shown and the shares out numbers are the same as compustat so I'm not sure how you are calculating Market Cap differently between the two data sets??

CS = Compustat
FS = Factset

Market Cap
BEP.UN:CN
CS 12.19B
FS 21.02B

QSP.UN:CN
CS 26.57B
FS 33.59B

CHP.UN:CN
CS 3.75B
FS 8.46B wow

QSR (USA)
CS 15.76B
FS 24.45B


The difference lies in the number of shares. For most companies, the Compustat and FactSet numbers for Shares(0,Qtr) match. But for some, they don't at all. These companies are good examples.

Let's take BEP.UN:CN, for instance. Compustat says it has 179.02 million shares outstanding and FactSet says it has 308.68 million. I'm attaching the section of their latest quarterly report to show you where both numbers come from (the last two bold lines).

Attachment Screenshot_2020-05-21 BEP Q1 2020-EX 99 1 - bep-q1-2020-interim-report-vf2 pdf.png (53445 bytes) (Download count: 61)


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

May 21, 2020 8:28:50 PM       
Edit 2 times, last edit by yuvaltaylor at May 22, 2020 11:33:13 AM
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