Dear all,
There were several mistakes in our Predefined Macro factors in the Factor List download tool. Every macro series has different frequencies, and the main problem had to do with using the wrong period . For example the Year-over-Year change for ##CPI was using an offset of 251 which is typically used for bar series. But ##CPI is a monthly series and it’s now set to 12.
If you created a Factor List with Macro factor please review them.
Also:
- I updated formulas to be shorter using Ret%Chg function
- Added more “% change” factors which should be more meaningful for predictions
- Indicated the frequency of the data in the description
Very sorry about this. Let us know if there are more issues.