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New engine released: changes to PEGs and some new functions

Dear all,

We have released a new engine. There have been some necessary architectural improvements which should have no observable effect, and there have been changes & additions to factors listed below.

PEG factors

Our PEG factors have always been a bit unclear and confusing. We originally wanted to expose the two different prevailing methods to calculate PEG which involve either using a long-term growth rate (from the analysts) or a shorter-term growth rate (calculated from next year estimates compared to trailing). The naming convention we chose was confusing and the algorithms they used also had some inconsistencies.

To remove any possible confusion, we deprecated the PEG and PEGY factors, and we now have very explicit names only:

PEGLT - uses long-term growth rates
PEGLTY - uses long-term growth rates and includes Yield
PEGST - uses short-term growth rates
PEGSTY - uses short-term growth rates and includes Yield

In addition, if your systems use PEG or PEGY, they still work but will now correspond to PEGLT & PEGLTY respectively. Please also see the updated documentation for more information.

Changes for FactSet users

StaleStmt now works as expected. StlaeStmt is TRUE (1) if there's newer data out there more recent than what we have in the databases. (this is due to the lag from vendors to process the data)

We have added ProjPENTM (next twelve months) to complete the set of ProjPECurFY and ProjPENextFY.

Ticker & CoName

You can now also use wildcards for Ticker & CoName. Use ‘?’ to match any single character and ‘*’ to match any set of characters. So, for example:

Ticker("I?") will match IO, IP, IX, etc.
Ticker("IB*") will match IBM, IBA, IBKR, etc.

We added a new function to screen for Company Names similar to Ticker called CoName("name1,name2,..."). You can use wildcards as well.

Let us know of any issues
Thank You!

Portfolio123 Staff.

Sep 10, 2020 5:30:59 PM       
Re: New engine released: changes to PEGs and some new functions

More detail on the short-term PEG? Something I wrote up many years ago:

A 1-year PEG value can be mathematically shown to be nonsense.
That's because both the P/E ratio and the growth rate are based on the same
thing -- current earnings. They cancel each other out, leaving just price
versus the change in earnings.

That is, given:

P = Current price
EPS0 = Latest 12-month EPS
EPS1 = Forecast 12-month EPS

We get:

------ ------
PEG = ---------------- = ----------------- = -------------------
EPS1 EPS1 - EPS0 100 * (EPS1 - EPS0)
100 * ---- - 100 100 * -----------


#1: Given: Stock = $9
EPS = $6
Estimated EPS = $7
Then: P/E = $9 / $6 = 1.5
Growth rate = $7 / $6 = 16.7%
PEG = 1.5 / 16.7 = 0.09

#2: Given: Stock = $9
EPS = $1
Estimated EPS = $2
Then: P/E = $9 / $1 = 9
Growth rate = $2 / $1 = 100%
PEG = 9 / 100 = 0.09

I know which stock I'd rather own!

Sep 11, 2020 10:03:20 AM       
Re: New engine released: changes to PEGs and some new functions


Thank you for this irrefutable mathematical proof!!!

Probably puts the final nail in the coffin of PEG (for me).

The other problem I have noted with PEG (in addition to your post now) is there are too many NAs for my ports.

Much appreciated.



From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Sep 11, 2020 10:56:31 AM       
Edit 3 times, last edit by Jrinne at Sep 11, 2020 11:06:15 AM
Re: New engine released: changes to PEGs and some new functions

We use NextY EPS for short term peg, not Forecast 12-month EPS, and we calculate the growth rate by adjusting for how many quarter till the end of NextY.

But thanks for the feedback. I'm not a fan of PEGs anymore either. They can be very volatile too since they are based on EPS.

Much prefer forward looking Pr2SalesNTM now.

Portfolio123 Staff.

Sep 11, 2020 12:52:02 PM