I don’t think that adding daily fundamental and analyst data to Sims will make much of a difference (I am trading 3 daily Ports). My thinking is that since fundamental data is updated quarterly by the company, on average, there will be a very small number of stocks in an average Portfolio that would have an update during the week that is timely enough to have a significant affect over weekend updates.

Let’s assume that we are interested in Stocks above ADT > $100K, and they all release their quarterly reports spread throughout the month after the end of a quarter (Many will trade in the next months, but for simplicity I will assume they all trade in the following month). Then there are 4200 stocks to consider, and that is 4200/30 = 140 stocks reporting per day or 3%/day. Now many of those are updated just as timely for the weekend P123 download. So that would reduce the number that would be of value during weekdays.

Let’s also assume that you hold a Portfolio of 30 stocks. Then, on average, you hold 0.7% of the 4200 stocks. So the probability of holding one of the 140 stocks that trade/day is 0.00023, or 0.0012 for the 5 weekly days. Now lets us consider analyst’s input. Of the 4200 stocks, many of them are not followed at all by analysts. So the probability that you hold a stock that had an analyst update is even lower especially if you are trading MicroCaps.

Now let’s assume that you trade from a universe of 1000 large stocks, like the R1000. So there would be on average 33 stocks announcing / day the month after the reports come out, or 3.3% /day. A 30 stock Portfolio is 3% of the 1000. So the probability is 0.001 that a stock that is held by the Port is updated on any given day of the 30 after the quarterly report. Now all of these will have analyst followings so that probability is similar to the quarterly report probability.

The above only considers the first month after the end of a quarter. Although many stocks will report in the following 2 quarters, the number is far less that in the first month, and there would be many weeks that there are no fundamental or analyst activities for the 30 stocks in the Portfolio.

But independently of all the above, most of the stock price change that is affected by quarterly reporting or analysts updates occurs on the day after an evening report or analysts update. However, there will not be any data available to P123 until after Compustat analyses the data and P123 downloads it, a few days later for LargeCaps, and sometimes a week or more later on MicroCaps. By then, most of the price change has already taken effect.

So what is it worth?

Denny