Update engine with new FactSet-only functions

Dear All,

A new engine has been released. To switch to the new engine, click on your picture in the upper right hand corner of this page and select “Current” then pick either “Compustat” or “FactSet”.

If you pick “Compustat” & “Use Prelim”, you should see no differences with the “Legacy” engine which is still the default.

When you choose “FactSet”, you will have access to these new functions:

[size=3]ConsEstMean (item[, period, weekAgo])
ConsEstHi(item[, period, weekAgo])
ConsEstLow(item[, period, weekAgo])
ConsEstCnt(item[, period, weekAgo])
ConsEstMedian(item[, period, weekAgo])
ConsEstStdDev(item[, period, weekAgo])
ConsEstUp(item[, period, weekAgo])
[/size]
item: #EPSY, #EPSQ, #EPSNTM, #SALEY, #SALEQ, #EBITDAY, #CAPXY, #FCFY, #LTG, #PT
period: 0-4 (0 is current, 1 is next, etc.)

For example, CurFYEPSMean is equivalent to ConsEstMean(#EPSY, 0) and NextFYEPSMean is equivalent to ConsEstMean(#EPSY, 1).

[size=3]ConsRec(rec_stat[, weekAgo])[/size]

rec_stat: #AvgRec, #RecCnt, #BuyCnt, #OverCnt, #HoldCnt, #UnderCnt, #SellCnt

I will add these to the website reference tomorrow.

I will add some examples as well to this thread tonight.

Thanks

Does that mean “NextFYEPSMean” is deprecated when using New Engine > Facset and we have to adjust any formulas using those for the new functions?

I’ve made a public screen that exposes the consensus recommendations here: https://www.portfolio123.com/app/screen/summary/242193?mt=1

It’s kind of fun to play around with. You’ll see the number of analysts that give every company buy, sell, and in-between ratings. I hope someone will find this useful . . .

No, we have no plans to deprecate the old factors and functions. These new ones give users a lot more options. I’m especially keen to explore NTM (next twelve months) as a possible alternative to CurFY and NextFY.

Hi Yuval,

I think it would be a good idea to keep CurFY and NextFY functions around for a bit. MANY analysts and investors think in terms of this year’s numbers whether in the 1st or 4th quarter. Similarly with next years.

With the myriad of changes occurring, I think it would be a mistake to assume the new functions will outperform the old. This is a good example when both could be more meaningful than either.

Hugh

I’d like to reiterate that we’re NOT planning to deprecate any of the old functions.

Thank you, Yuval. My bad - I read your previous post too quickly. Glad to hear that the old standby’s will still be around.

Hugh

Rankings using the new factset engine this morning are including short interest. Does that mean a solution has been identified and implemented? Or is it blending compustat data?

We are still using Compustat data for the short interest.

What does the “Cons” in ConsEstMean stand for? thanks,

Spaceman,

I am guessing it stands for consensus. Just a guess (obviously) and I welcome any corrections.

Best,

Jim

Quick note

These consensus functions only pull in FactSet data even if you point your engine to Compustat. This is pretty handy since you can compare the values and it’s helping us find issues. See image below. With the engine set to Compustat I charted these factors for ABT

CurFYEPSMean
ConsEstMean(#EPSY)

As you can see there’s a big jump in 2003. This is due to the ABBV spinoff. While Factset , like Compustat, has point in time estimates they adjust all past values when splits/spinoffs occur. This makes it easier in the present to chart a smooth graph but requires adjustments with a point in time engine. Compustat is the opposite.

We are adjusting Factset data for splits, but just figured out we also need to adjust for special dividends due to spinoffs.


Marco,

Could you explain how the new revision ratio factors work? I’ve discovered that ConEstDn has been implemented, even though it wasn’t in your original post. And I learned by trial and error that the acceptable parameters for “weekAgo” in up/down revisions are 0-3. But I’m not certain what periods these values refer to. I’m intrigued by the increased granularity these factors offer, so I’d like to be clear on how they’re working.

Thanks.

Not sure how ConsEstDn & ConsEstUp work yet. We’re just exposing whatever they give us. I think we need to add up all the values they give us during a period to replicated something like “Up revisions past week”

FWIW, my best guess based on the pattern of the data was that the “weekAgo” parameters designated cumulative periods: 0, the latest four weeks; 1, three weeks excluding the latest week; 2, two weeks excluding the latest 2 weeks; and 3, four weeks ago. But that seems counter-intuitive, so I will be curious to see what you find.

Wrote about this in another thread, but wanted to mention it on this thread as well. I am seeing significantly more Turnover (~400% more) in Sentiment based models using the FactSet Estimate data as opposed to the Compustat Estimate data. Not sure what would cause this, but think it might be something worth looking in to.

All,

With regard to estimates we should rule out a simple possibility.

It is a simple truth that doing a sim with look-ahead bias will perform well (falsely).

This (from FactSet) is also true (I assume they know):

“The traditional FactSet Estimates Database uses the “Research Date,” or the market date of the broker contribution, to calculate the consensus. This exposes a look-ahead bias because most research dates are T-1 day of the broker contribution’s “Input Date,” or the date when the contribution was collected into the database. Clients have the option to use the “Input Date” to calculate their consensus to eliminate the look-ahead bias of including contributions in a consensus before the date they were collected.”

I submit that P123 probably chose the PIT data if given a choice or that perhaps the default “option” is to have it be PIT and that this “option” was selected as the default.

It may be that FactSet uses a different method than CapitalIQ. FactSet data can be PIT. I will have to see evidence before I believe that Capital IQ uses the same method as FactSet’s PIT method.

Summary: make sure this is not a good thing that P123 would want to take credit for. I cannot be sure which “option” was selected but perhaps there is general agreement that PIT data is a good thing.

FactSet link: FactSet on PIT consensus estimates

Best,

Jim

Jim,

Appreciate your thoughts on this. In my opinion, what I am seeing is most likely caused by something different than just the Input or Research Date issue.

There appears to be significantly more volatility in the Estimate Data provided by FactSet which is born out in a significant increase in the rate of change in the relative ranking of Stocks based on Sentiment (which is based on the Estimate Data). I am not sure why the Date used would have much impact on the rate of change of rank for the stocks in question (P123 LargeCap Universe). For me this increased volatility is not a positive outcome as it seems to both significantly increase Turnover (a huge pain) and significantly decrease Performance.

My question is why would the Estimate data be more volatile? Does FactSet update Estimate data more regularly than Compustat? Does FactSet have fewer analysts per company than Compustat thereby making Consensus Estimates more volatile? Or is it some kind of Data Provider to P123 interface difference. I believe the cause is important to understand.

I will try to spend a little more time on this today digging in to the underlying data, but would be curious to hear from any P123 staff before then if there is a known issue.

Thanks,

Daniel

Daniel,

I suspect your impression is correct and a better reason will present itself.

Be aware that you will probabLy leave a position A WEEK EARLIER (or possibly enter it later) when there is a discrepancy between the PIT and traditional data. And this effect could be significant if there are preferred days for reporting by analysts. It would be surprising if there are not preferred days for estimates as there are clear preference for the days that companies report

Again your belief is probably correct but this fact is why I post here. Furthermore, I think others are asking questions about the data discrepancies.

I submit that P123 should call FactSet if it does not know which option it took (or find out if there is no longer an option) and should think about sharing that information with us.

And again, this could only be good for P123. Unquestionably good if it is confirmed to be the PIT option. And either the data is more or less like we have been using (okay) or it is better (great). Win-win-win. I would leave it alone otherwise.

Best,

Jim

That makes sense. thank you