Full set of “Actuals” released

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Dear All,

We released a full set of factors and functions to access “Actuals”. Until today we were mostly using Actuals to calculate earnings surprises (sales and EPS), by comparing the values reported with the latest consensus prior to the earnings announcement. They can now be more easily used in lieu of GAAP numbers from filings for calculating growth rates for example.

You can find the factors and functions in the ACTUALS folder in the reference. Please see the description from the reference below and let us know your thoughts.

Thanks

Actuals

Actuals are companies’ historical financial data, such as earnings, sales, and net income. Unlike fundamentals that come from official filings submitted to government agencies, Actuals are collected primarily from company press releases and/or from brokers.

Actuals are primarily used to calculate surprises vs the analyst estimates. However, integrating Actuals in fundamental analysis can offer a unique perspective compared to only using data from 10-K and 10-Q filings. This is particularly relevant when Actuals reflect different GAAP treatments, including one-off items or other specific financial occurrences.

Many semiannual companies release earning releases every quarter, and analysts follow suit with quarterly estimates. The main downside is that Actual data can be spotty and inconsistent through time, especially in the past. For example sometimes more complete actuals are the semiannual ones, and sometimes the quarterly. We use some heuristics to determine which interim items to use for a particular point in time.

Key points about Actual data:

  • Never restated or overwritten
  • Can be more frequent (ex quarterly for semiannual companies)
  • More timely. Filings can have long delays in the processing, especially for small caps.
  • Can be quite different from GAAP numbers from filings.
  • Actuals are widely used as actionable information.

Items

The following actual items are available (use these codes for the actual_item parameter). Please note that coverage improves the more recent your observation date is.

actual_item description
#CAPX Capital Expenditure
#EBIT EBIT
#EBITDA EBITDA
#EPS Earnings Per Share
#EPS_GAAP Reported Earnings Per Share
#FCF Free Cash Flow
#FFO Funds From Operations
#NET Net Profit
#PTI Pre-Tax Profit
#SALES Sales
#SHS_REPURCH Share Repurchase
#SOE Stock Option Expense
Function Period
Actual(actual_item, offset, type)
ActualQ(actual_item) Latest Quarter
ActualPQ(actual_item) Previous Quarter
ActualPYQ(actual_item) Previous Quarter 1 Year Ago
ActualTTM(actual_item) Trailing 12 Months
ActualPTM(actual_item) Previous Trailing 12 Months
ActualA(actual_item) Latest Year
ActualPY(actual_item) Previous Year
ActualGr%PQ(actual_item) Growth Q
ActualGr%PYQ(actual_item) Growth PYQ
ActualGr%TTM(actual_item) Growth TTM
ActualGr%A(actual_item) Growth Annual

Collection

Actuals are collected from different sources, like press releases and brokers. When the values are collected from press releases, FactSet refers to them as ‘Company Actuals’. When collected from brokers they are referred to as ‘Broker Actuals’. Currently we do not offer a way to distinguish the source of the Actual.

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FRank(“#fcf”,#all,#DESC, #ExclNA) > 80
Put the above in a buy rule, has 0 impact, seems to be ignored…

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I think you need to refer to the Actual function (“Actual(actual_item, offset, type)”), so try:

FRank(“actual(#fcf,0,ttm)”,#all,#desc,#exclna)>80

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For some reason #FCF/AsttotA as well as for example #EBITDA/EV give me the opposite of what I would expect

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The item #FCF should be used with the Actual function - Actual(#FCF,0,Ann)

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Correct. Either that or the shorter one ActualA(#FCF).

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Out of intereset, so what does #FCF/AsttotA actually show then?

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I would guess that #FCF evaluates to a constant and that the rank performance plot would be similar to the inverse of AstTotA.

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It is a form of FCF Yield. The rank performance is being impacted by either #FCF or AsttotA or both being negative. You get a company gushing cash with negative assets with a great positive ratio and poor stock performance.

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Company press releases often provide items like adjusted net eranings or adjusted ebitda to account for one off events. Does the ACTUALS provide this info? I am trying to understand the use case.

BTW FCF/Assets would be more of a return metric (quality metric) than a yield metric. IMO

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I am super stoked about this. Thanks!

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How do you plan to use this Kurtis?

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Hi, is #SOE a way to look at levels of stock based compensation? Would it be reasonable to reduce this from FCF to get a FCF adjusted for stock based comp? thanks,

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How many years back of Actuals data is available for backtesting? Thanks.

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Looks like that depends on the item. #FCF starts around 2006. #FFO starts around 1999. I haven’t checked the other items.

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How about for #sales? Thanks.

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Add this rule to the screener and run a backtest;
Actual(#SALES,0,Ann)!=NA

Non-NA values start in 1999.

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I have a formula to use EPS Actuals if not NA else EPSExclXor. Just checking that this formula makes sense:
eval(EPSActualTTM != NA, EPSActualTTM, EPSExclXorTTM)

Next, I’d like to do something similar for a 5yr avg roe.

I was using this formula but how could I modify it to use Actuals if they exist?

LoopSum(“ROE%(CTR, TTM)”, 20) / 20

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Question for P123 and P123 users: any success with actuals yet?
Thank you for your feedback!
Best Regards
Andreas

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I did some initial testing with one of the ranking systems:

  1. Replaced GAAP filing nodes with actuals where corresponding actuals exist
  2. Added actuals nodes beside GAAP with same weights
  3. Handled NAs in actuals by replacing with corresponding GAAP numbers

Only found some performance degradation. I’m not sure is there one-to-one correspondence with actuals and GAAP and can I just use them interchangeably. I’m also not sure how many NAs there are and how to analyze the effect of the NAs.

1 Like