URGENT - CloseAdj ( ) Deprecated - More Information Please

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1

I have custom formula factors built with line items that use CloseAdj as the price input. I was more than a little surprised to find that CloseAdj has been deprecated.

  1. Could we please receive a clear and detailed explanation regarding the background to the deprecation? The error message hints at serious “look ahead bias” issues. Please explain in detail.

  2. Which price input should be used in place of CloseAdj?

  3. We need CloseAdj to be re-activated long enough to conduct backtest audits on the custom formula factors that now must be re-built and re-tested.

Thanks in advance for attention to this matter.

D

CloseAdj Deprecated P123 Clip.PNG

2

  1. if you rank by: Close(0)/CloseAdj(0) , higher is better, it will give high scores to stocks that have had “good” split in the future (a “good split” being 2:1 for ex.). And vice-versa it will give bad scores to stocks that had a reverse-split in the future. I other words you will be picking stocks that had good splits well ahead of when they actually happened, something that could not be know at the time.

  2. Just use Close() with line item functions from FUNDAMENTALS->STATEMENTS & FILINGS. These line item functions are point-in-time and so is Close(). The older, deprecated ItemQ,ItemA, and ItemTTM should no longer be used. They are left-overs from Reuters days, and are fully adjusted for future splits. During the transition to Compustat we mapped them to Compustat line items and introduced the CloseAdj() to allow creating your own ratios.

  3. Can you provide an example of your formulas?

Thanks