European universes, liquidity and dayslate

General
1

Greetings all,

I’ve noticed that setting a minimum volume rule for European stocks has a way larger impact on the amount of remaining companies than for equivalent US based universes:

For example, for the US:

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image1455×268 17.5 KB

For Europe:

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image1456×265 17.2 KB

The same goes for setting a rule based on the number of days the filing is late, for example dayslate < 22 removes about 5% of US stocks, but removes about 35% of European stocks within the universe I tried it on.

This seems to mean that the number of remaining companies to chose from is rather low in Europe (I get about 1100 stocks) if you want to invest in companies that are at least somewhat liquid and do not have large dayslate numbers.

I was wondering how others have dealt with this. Do you loosen the restrictions in your Universe for Europe? Or would you say I been too strict in my Universe rules in the first place?

Best,

Victor

2

Using the LoopMin function can have some unintended consequences. For example, take a look at Orpea (ORP:FRA). It normally trades about a million shares a day. But on October 24 and 25 it didn’t trade at all because of a temporary suspension by the AMF (Autorite des marches financiers). So it’s excluded from your screen. But yes, a much larger percentage of European stocks have low volume.

DaysLate should not be used with European stocks. It’s based on filing deadlines established by the SEC for US companies. The filing deadlines for European companies are very different: they get four months after the end of the fiscal year to file their reports. See the ESMA’s Article 4. The SEC gives US companies only 60, 75, or 90 days, depending on the size of the company. For interim reports, it’s more complicated: the ESMA gives companies three months for semiannual reports; the US gives companies 40 or 45 days for quarterly reports. So applying US deadlines to European companies is going to give you rather odd results.

1 Like
3

Yuval,

  1. Is DaysLate applicable for Canadian stocks?
  2. What do you suggest to exclude late filers within the Canadian and European universes?
1 Like
4
  • Is DaysLate applicable for Canadian stocks?

No. See https://www.osc.ca/en/industry/companies/reporting-issuer-and-issuer-forms/filing-due-dates-calendar-annual-and-interim-filings-reporting-issuers for the actual due dates. Also, DaysLate should not be used with ADRs either.

  • What do you suggest to exclude late filers within the Canadian and European universes?

For quarterly filers, I’d use something like DaysSince(PeriodDateQ) > 182. Just make sure to exempt semiannual companies (InterimMonths(0)=6).

6

If InterimMonths(0) is NA, should I assume that the filing period is 3 months or 6 months?

EDIT: Never mind. NA in this case means that there are no financials to report.

BTW, the documentation for DaysLate is no longer accurate now that the SEC has revised the filing deadline rules.

7

What are the revisions? I didn’t know about them, and I’m not finding them through an internet search. Thanks!

8

Yuval,

U.S. Stocks
By SEC regulation, there are 3 types of companies regarding 10-K and 10-Q deadlines:

  1. Large Accelerated filer (Float>$700M): 60 days annual, 40 days interim.
  2. Accelerated Filer (float >$75M): 75, 40.
  3. Smaller Reporting Company (float<$75M OR SalesA < $100M): 90, 45.

The definitions of these three types of companies were changed on March 12, 2020. See here.

These rules are for US companies.

U.S. listed “foreign private issuers” file form 20-F (annual report); due 4 months after fiscal year end.

In addition, foreign private issuers are not required to file quarterly statements, but are instead required to file interim financials (I think it’s usually for 6 month periods) on form 6-K whenever required by the issuer’s home country regulator and stock exchange.

The interim deadline for foreign issuers is often 3 months after period end (around 92 days) in many developed markets such as Europe. But if the home country has no deadline (such as a tiny and/or “emerging” country), there would be no interim filing requirement at all.

10

Thanks so much for the SEC rules. I’ll try to make sure DaysLate conforms to them and change the documentation accordingly.

I would think it would be !Country("USA") and Universe("NOOTC").

11

Thanks, but it’s not precisely enough for my purposes.

All five letter tickers ending with F or Y are foreign issue. Is there a way to screen for five letter ticker symbols ending with ‘F’?

Ticker(“*F”) finds all stocks ending with the letter F. But this includes stocks like Ford (ticker F), Capital One Financial (COF) etc.

Is there a way to count the number of characters in a ticker symbol (like the LEN() function in Excel)?

12

You could use:

Ticker("????F")
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Note that Ticker("????F^??") would have to be included to match inactive tickers in backtests. Also be aware that we don’t have ticker history integrated, so it won’t always be accurate around stocks with ticker changes.