IMPORTANT: changes going live tonight might affect past results

Announcements
1

NOTES:

  • Changes in the way that we are loading annual data and derived ratios going live tonight.
  • This change might explain why re-running a simulation at a later date shows different results.
  • This does not affect quarterly or trailing 12-month data and derived ratios.

Dear all,

CompuStat has two “data presentations” with regard to annual fundamental information: One, the “summary” presentation, is designed to reflect the data exactly as presented in the SEC filing (but it’s also used to hold re-stated values). The other is Compustat standardized values.

Two examples that we have observed:

WMT: Not all of Walmart’s financing income is realized – Sam’s Club memberships are unearned revenue – and not all is operational – specifically, its income from unused gift cards.

XOM: Exxon includes sales-based taxes as part of its revenue, which is removed by S&P.

Our code was choosing randomly between the two streams when loading because we expected them to be mutually exclusive. It turns out that they can both exists for a particular period causing potential “randomness” depending which one is used when the numbers are different. In nearly all cases this is not a problem since the numbers are overwhelmingly identical and in most other instances are immaterially different.

The change going in tonight will always pick Compustat standardization if available first. This will likely produce different results but we do not expect that this will have a material impact on user’s systems. And hopefully this will end the occurrences of re-runs to change.

Sorry for this inconvenience.

2

Hi Marco,

Thank you for this update. It would be very good news if this change will end will end the occurrences of re-runs to change.

I have a few questions to get a better understanding:

  • Is the “summary” presentation available earlier as it is taken straight from the SEC?
  • Is the “summary” presentation only available for 10-K’s or also for 10-Q’s or 8-K’s?

And my final question that is somehow related:

  • Would it somehow be possible to provide us with non-standardized data, i.e. SEC filing data, in order to have the data available a sooner? This goes especially for micro cap stocks that can take weeks before the data is standardized by Compustat. A lot of juicy alpha is lost in these weeks.

Thanks!

3

The ‘effective date’ provided by Compustat for each line item is what makes an item available based on your “as-of” date (or point in time date) or you historical simulation.

If summary data is processed first you will get it. P123’s goal is to avoid N/As , so if summary data for revenues is the only one availalble it will be used. But I don’t think that will happen. When a filing is processed by Compustat they always seem to create two streams: one labelled ‘summary’ one for their standardized values. In most cases it’s the same. Kind of redundant and waste of space actually.

All of this only applies to annual data. Things like Sales3YCgr% might be affected.

4

Great news. Thank you Marco

5

Been wondering about/wanting this for some time