I don’t think this is the proper handling. Opincttm(0,qtr,ZERONA) and Opincttm(1,qtr,ZERONA) should both show the six month number divided by 2. Otherwise, those factors over mktcap or ev or anything won’t be comparable to us and can numbers. That makes having all stocks in a universe problematic.
This is a great point. Having an all stock (EU, US, and CAN) isn’t even a prerequisite for this to be an issue. Since some European countries require quarterly reporting, even a full EU universe would be comparing apples on oranges.
In the current form, I don’t even think there would be a way to get consistent values for quarterly vs semiannual companies with the FALLBACK option. While OpcIncTTM(0,qtr,FALLBACK)/2 would get you quarterly values for semiannual reporting, it’d get you half the correct value for quarterly reporters.
We are introducing semiannual functions that should help with these and similar cases.
In the meantime, you can use an Eval function to determine if a stock is semiannual or not, and then treat it accordingly. The Eval function is Eval(InterimMonths(0)=6, . . .) If that’s true, then the stock reports semiannually.
I’m not sure what you meant by OpIncTTM(0,Qtr). Either you’re looking for TTM or for Qtr. If you meant OpInc(0,Qtr) and OpInc(1,Qtr), you are going to get numbers that are not comparable between semiannual and quarterly companies, of which there are plenty of both in Europe, as Dave points out. And Dave is right, fallback options won’t help. You really need to use the Eval function to get numbers that make sense.
Here are a few examples from my own ranking systems.
This counts the number of times the quarterly EPS is larger than the same quarter the previous year over the last 12 quarters. For semiannual companies, the number of quarters that could possibly fulfill this would be 6. So I double the count if it’s a semiannual company.
This ranks companies on the free cash flow ROA of their most recent reported quarter, using the sum of operating and investment cash flow as an alternative to the conventional free cash flow measure. For semiannual companies, I use only half of this sum so that it’s comparable to quarterly.
To follow up on this, I was able to set up a Margin account Roth IRA in IB and seems like I have the ability to submit international orders. For initial set up, I had to submit a request to access each individual country when submitting a stock from a new country for the first time and permission was granted almost instantaneously.
I looked at the return it gave in the Screen backtest in the p123 original page, and the beta page. I’m getting completely different results and can’t figure out why:
I see that the universes can contain somewhat different numbers of shares, but it should not be able to produce such different results. What am I not seeing?
I get some strange results using beta vs. the original p123 page
I looked at the return it gave in the Screen backtest in the p123 original page, and the beta page. I’m getting completely different results and can’t figure out why:
I see that the universes can contain somewhat different numbers of shares, but it should not be able to produce such different results. What am I not seeing?
I have run a number of different tests, with different unviers, ranking system, rules, and I always get different results in Screen backtest.
The starting universes shown in your image are very different. ‘United States (all listed stocks)’ contains ADRs and ‘United States Primary’ does not. If you want to use ‘United States Primary’ in Beta, then use the ‘United States’ universe in the Production site.
I’m very happy about the beta site so far, it’s easy to make a universe of the markets I need, and everything just works.
The only issue I’ve had so far is: Stolt-Nielsen Ltd. (SNI:NOR) has a forward dividend yield of 43,5 %, while most other sources say it should be roughly 4,5 %. I can’t find any information about a special dividend, so I wonder if something is wrong. Perhaps the issue is that the company is domiciled in Bermuda?
FactSet gives us two metrics IAD (Indicated Annual Dividend) and the actual Yield for current data. They should be equivalent but using IAD gives 43% yield. Definitely seems fx related . 1 USD= 0.1 NOK. We think we are doing everything right. Might be a FactSet issue. Still investigating
Thanks
NOTE: historically FactSet only gives us Yield together with the filings. It’s not great since companies usually announce changes in the middle of a period, but it’s all we got.
Yes, sorry Yuval, I was in the screen yesterday making some changes, to do some further testing
But, it may look like you are right anyway. There must be some disparity in the universes that I am unable to pick up in the two tests. I have tested it on R 1000, 2000,3000 and S&P 600, 400, 1500. Then I find only minor differences.
Congratulations to p123. This sounds like a big step forward.
Regarding the Beta site, I believe I am following your directions but I get a message saying “No Universe defined” when I try to run a Sim.
I see that message although I am choosing “Europe (incl Foreign Primary)” and choosing Euros as the currency and “MSCI Europe (IMEU NLD)” as the benchmark. I must be overlooking something obvious but can’t identify my error.
Also, what is the cleanest way to revert back to the old site from the beta site?
Hugh -
European data is only available to FactSet-based customers. If you’d like to add an additional subscription to FactSet data, please send an e-mail to me at yuval@portfolio123.com.