Dear All,
As you may know, our data comes from one company Standard & Poors, but in reality it’s two companies: Compustat & CapitalIQ. We rely first & foremost on Compustat: if there’s no data in Compustat we do not care what’s in CapitalIQ. But there are many little nuances we’ve been learning to go across from Compustat to grab estimate data. Below please find changes we have done and are planning. For clarification “the past” and “the future” are in relation to a particular point in time (the as-of date)
1. Current estimates and revisions (the future)
Here we need to figure out what the current and next year is for a company, and extract the corresponding estimates (analysts report figures for many years and quarter, but most people just look at these: currY/Q and nextY/Q). To do this we use Compustat as the reference. If the last filing is Q3 of 2015, then the CurrY for estimates is 2015, NextY is 2016, CurrQ is 4-2105, NextQ is 1-2016. This keeps things aligned between Compustat and CapitalIq.
However it’s not ideal. Estimates are much more fluid. The “switch” from what is a CurrY and what is CurrQ should mirror the analysts, not the fundamentals. When a company reports, analysts react and adjust their estimates. If compustat takes time to process the filings some of the estimate ratios will be stale. More precisely: the CurrQ and CurrY will point to a past filing (according to the SEC) and NextQ and NextY are pointing the quarter in progress.
We are contemplating changing this and use CapitalIQ to determine what is the current Q and current Y, regardless of what Compustat has. This change should not be a major change if you are targeting large caps since large caps are processed on the same day by Compustat. So , for example, I don’t think the #SPEPSCURRY series will be affected much. But it may have a noticeable effect for small caps that can take days on the Compustat side to process.
2. Surprises/actuals/last estimates (the past)
What the company did vs what the analysts thought. We’ve corrected some long standing issues with surprises. The main problem there had to do with CapIq doing things different than Compustat, ADR ratios, and a new feature they released to go from one side to the other. Overall we don’t think this should have a major impact as relatively few companies are affected.
NOTE: Surprises DO NOT have the synchronization problem mention above. They are independent of Compustat.
Conclusion
We’ll discuss more internally about making the changes for (1): if having the fundamentals being in synch with the analysts is more important than having more timely estimates. They will never be both, so we need to decide what’s best for us.
Thanks