We’re pleased to announce one addition and a few changes to FactSet line items.
For FactSet stocks, InterimMonths(X) will return a value of either 3 or 6 depending on whether a company reports quarterly or semiannually. (For Compustat it always returns a value of 3.) In addition, the behavior of these stocks has been changed to be exactly like those in the Compustat engines. For these stocks, odd-numbered quarters will return N/As.
This is important if you’re using quarterly numbers from the income statement or cash flow statement. For example, ROA%Q for a semiannual company will be about twice as high as ROA%Q for a quarterly company.
(Unfortunately, FactSet does not distinguish between companies that report annually, like PHG and FCAU, and companies that report quarterly, so that’s still an issue we’ll need to address. Those companies will return a value of 3 rather than 12.)
We have changed the following line items: PayablesChg, AccruedExp, CostG, Pr2CashFl, CashFlPS, GrossProfit, and derived functions like GMgn%. Some of these items will give NA for banks and insurance companies, which is deliberate on FactSet’s part.
Thanks Yuval. I know you guys are working hard on this stuff.
Question for you. How do you plan to handle these issues inside of a ranking system? Will we have to use Eval statements everywhere to test for InterimMonths and Financials? This seems incredibly messy. With respect to just the semiannual reporting issue, wouldn’t it make sense for you guys to make the adjustment in the background (basically divide Qtr #'s by 2 for companies which report semiannually). I’m sure you guys have thought through all this, but I’m curious about how you came to this solution.
For many years Compustat has treated semiannual reports as quarterly reports. For many years any time you saw a quarterly statement you had no idea whether the income reflected two quarters or one. We thought we would help you deal with this problem by making it easier for you to figure out which companies are semiannual and which are quarterly. FactSet gives us this data and Compustat does not. We are now giving it to you.
For many years Compustat has invented numbers to stand in for cost of goods and gross profit for companies (banks, insurance companies) that don’t report those numbers. Compustat’s numbers are solely their own calculations, which don’t make much sense. (For example, Compustat counts labor costs as part of cost of goods for banks but not for insurance companies.) So FactSet does not provide those numbers. Rather than trying to duplicate what Compustat did, which would be next to impossible and not even desirable, we are giving you the data that we have.
As for how to handle these issues in a ranking system, I suggest using Eval formulas.
I would like to come up with a better way to handle companies that report only annually and semiannually, and I’ve been tossing around some ideas. But that will have to wait until after the FactSet transition.
When all changes in Factset DB will be finished ??? Every day I re run my Sims results are not a little different. Sim run on 2020/05/28 and today 2020/05/30 (2 day later) are rather different. Any forecast?
We still have a lot of work to do. There are over a dozen bugs to fix, we haven’t yet implemented RBICS, and we still have institutional and insider data to load. I suggest rather than running and rerunning your sims you focus only on what we’ve already loaded and dig deeply into the differences between the two data sets.
It turns out that I was wrong about certain companies reporting annually. I was misled by a bug in the snapshot pages. We should be fine now. All the companies in the FactSet database report either semiannually or quarterly.
We now have a new function for this: ActualInterimDays(X). The X indicates how many periods ago you want. This doesn’t work for Compustat–it’ll always give you 91. But for FactSet it’ll give you the number of days between periods.