Thank you, I will try to do the suggested approach to determine if it’s related to fundamentals or not first, and then try to pinpoint specific factors or data in the stock driving these divergences.
How is PEG calculated, or how should we be calculating PEG?
One of the factors on one of the sims that are driving the most discrepancies is PEG. Take for example, TAP (Molson Coors Beverage Co). In Compustat, PEG is 0.43. In FactSet, PEG is 4.81.
Daniel it’s working for me now with a minor discrepancy in IncAftTaxTTM between Compustat and Factset. See my screen (ID: 240780). Your screen is set to private so I couldn’t look at it.
Yesterday there was a difference in how KEEPNA was handled by the beta site and the production site. For certain factors it was incorrectly going to 0 on the beta site, which would lead to different numbers for ROI. This has now been fixed. The actual formula for ROI is 100 * (NetIncBXor(0, TTM, KEEPNA) + IntExp(0, TTM, KEEPNA) * .65) / ((EqTot(0, QTR, KEEPNA) + DbtTot(0, QTR, KEEPNA) + EqTot(4, QTR) + DbtTot(4, QTR)) / 2) Let me know if you’re still seeing differences. I checked all the stocks in the S&P 500 and didn’t see any. If you do see differences, then try to isolate which of these variables is causing them, please. Thank you for being so diligent about this.
Talk for yourself. It’s important if you are managing an international equity strategy with ADRs and you want for example to exclude countries with too much inflation, corruption, etc.
Thanks Yuval, I think I have traced it down. The difference appears to be in the data (which isn’t surprising). What is a little interesting to me is that there is a big difference between IncAftTax and NetIncBXor, and by looking at the Line-Item reference you would expect them to be similar for most securities.
Indeed, on the production server if you pull up the Fundamental Chart and compare NetIncBXor(0,TTM,KEEPNA) with IncAftTax for “DHT” you will see that they are basically identical over the last 10 years.
That is not the case for the beta test server. If you look closely at the same Fundamental Chart comparison over the last 10 years for “DHT” you will see some pretty significant differences between NetIncBXor and IncAftTax that are not present on the production server. Indeed, for the data in question (10/15/2013) the NetIncBXor = -45.39 while the IncAftTaxTTM = -114.47. (On the production server NetIncBXor = IncAftTaxTTM = -114.47.)
Do you guys have any thoughts as to the reason for the differences? Are NetIncBXor and IncAftTax being mapped in a different fashion on the beta server than on the production server, or does FactSet include something in NetIncBXor that Compustat does not?
The formula for PEG is very complicated, Rod. But it essentially depends on four numbers: price, EPSExclXORTTM, NextFYEPSMean, and LTGrthMean. You’ll notice that only EPSExclXORTTM is going to be different between FactSet and Compustat at the moment because we haven’t yet loaded FactSet’s estimates on our servers. So that’s the number you want to look at when you notice differences in PEG. I’ll pretty much guarantee you that every time you see a significant difference in PEG between FactSet and Compustat you’re seeing a significant difference in EPSExclXorTTM.
EPSExclXorTTM is calculated very differently by Compustat and FactSet in many cases. I don’t know all the reasons, but there are going to be significant differences in almost every quarter in NetIncBXorQ between FactSet and Compustat.
Found another security (BTI) with some interesting data differences. In particular, the Income Statement numbers on the Beta server are roughly 2x the Income Statment Numbers on the Production Server, while the Balance Sheet numbers appear to be the same.
BTI Most Recent Data - Production Server
NetIncBXorTTM = 7554.38
IncAftTaxTTM = 7746.42
SalesTTM = 34271.4
EqTotQ = 84631.81
DbtLTQ = 50067.62
BTI Most Recent Data - Beta Server
NetIncBXorTTM = 17444.27
IncAftTaxTTM = 14530.13
SalesTTM = 65644.62
EqTotQ = 84654.17
DbtLTQ = 50080.85
If you look at the datapoints over time on the Fundamental Chart it is clear that the differences on the Income Statement aren’t simply a scalar factor. The Balance Sheet curves are basically identical.
I think that the FactSet TTM numbers for BTI are counting the prior 4 “quarters”, but each “quarter” is really six months. I am doing more research on this.
EDIT: Some other ADRs are also showing Sales TTM numbers double the Sales Annual for FactSet. But many are not.
You are absolutely correct. For companies with semiannual reports TTM is counting them each as quarters in FactSet. We will be rolling out a fix for this tomorrow.
Thank you guys for all the work you are putting into this thing to make it work for us.
VOXX is showing preferred shares (PfdEquityQ) on FactSet but not on Compustat. The most recent financial statement for VOXX claims that there are no preferred shares, although there are some class B convertible shares.
I looked into your issue and identified and corrected what was going on.
Now there should only be one noticeable difference in your Portfolio backtests: variable slippage has been changed to always be computed starting from the day before the transaction date. I’m looking to see if this is intentional or needs to be corrected.
I took 20 high dividend yield companies and compared them based on their Quality Rank (using the old P123 Quality Ranking system). The intent was to see how much difference there was between the Production and Beta server for each of the factors that make up the Quality Ranking system. In general, there were more differences than I would have expected. In interest of brevity I’ll focus on one of the tickers for now (WDR). For WDR there is a significant difference in OpMgn%TTM and IntCovTTM. This is all being driven by a difference in the reported Operating Income for WDR between the two servers starting in ~January 2017 (prior to that the reported numbers appear to be the same.) A quick summary of the Income Stmt as reported at the present time is as follows
Production Server
SalesTTM = 1089.201
OpIncTTM = 182.820
NetIncBXorTTM = 114.992
Note that the Sales and Net Income numbers are basically the same, but the Operating Income number is off by ~75%. Not sure what the cause of this would be… probably just unavoidable differences between the two systems, but I figured I would highlight it to you guys anyway.