As a continuation of our ongoing factor library enhancements and cleanup, we will be releasing the changes below next week on Thursday Oct 22. We will also automatically update all your rules to use the new factor names.
If you use scripts, you will need to replace the old factor names with the new names in any scripts which reference the old factors names listed below or the scripts will not run after the release next week. You can test your scripts with the new engine at testing.portfolio123.com . We suggest that you keep your production scripts for use until Oct 22nd and make a copy of your scripts for this testing with the new factor names and for production use starting Oct 22nd. Please note that this website points to the production database. Any changes you make on testing.portfolio123.com will be saved to your account. This temporary website is to preview the new naming conventions, try out the new factors, and check if your scripts will break. We do not recommend doing rebalances on this website.
These are the changes we plan to release:
Pre built 3&5 year averages
3YAvg and 5Yavg for all financial factors. This is only for factors derived straight from financial statements, so no factors like PE for example. We will release more derived factors for factors that use price in next upgrades.
Removed inconsistencies
Many factor names have been changed for better consistency, less confusion, and remove duplicates. For example EBITDMgn%TTM is now called EBITDAMgn%TTM
5 Year Average Computation
There were a handful of factors that ended with ‘5Yavg’ that were doing something different than a simple average. For example the 5Y average Gross Margin was dividing the sum of the 5 year gross profits by the sum of the 5 year sales. With the new GMgn%5YAvg you will get the average of the 5 annual ratios instead. To avoid causing changes to your systems we created new "5Y” factors and we will update your systems to use those instead. These are the new "5Y” factors: GMgn%5Y, NPMgn%5Y, OpMgn%5Y, SGA2Sales%5Y, PayRatio5Y
After the release, when you use GMgn%5YAvg, it will behave as all the other 5Y averages and average the last 5 year factor values.
NOTE: Whether doing (sum num) / (sum den) is more meaningful is up for debate and we would love to hear your opinion.
Changes to Growth Rate factor names
We deprecated the old growth rate factors that are inconsistent with the new naming. For example Sales%ChgTTM is now SalesGr%TTM and Sales3YCGr% is now SalesGr%3Y
Growth Rate Factors Outlier Limits
The new growth rate factors are now limited to +9999% and -9999%. You will not see growth rates higher or lower than those.
New Industry factors
We added the following industry factors: Pr2SalesNTMInd (next twelve months) , Beta1YInd , Beta3YInd, Beta5YInd
New factors
We added the following factors: CashFl, NoEmp, Beta1Y
Reorganization of the reference folder
We re-organized the layout of the FUNDAMENTALS reference to be more logical. Hopefully you won’t even notice since we think it’s more intuitive
List of old factors and their replacements
This OLD factors will no longer work. Your rules will be automatically updated to use the NEW factor names. Your scripts need to have these changes or they will break.
[b]OLD NEW[/b]
Sales%ChgAInd SalesGr%AInd
Sales%ChgPYQInd SalesGr%PYQInd
Sales%ChgTTMInd SalesGr%TTMInd
Sales3YCGr%Ind SalesGr%3YInd
Sales5YCGr%Ind SalesGr%5YInd
Sales%ChgPQ SalesGr%PQ
Sales%ChgPYQ SalesGr%PYQ
Sales%ChgTTM SalesGr%TTM
Sales%ChgA SalesGr%A
SalesPS5YCGr% SalesPSGr%5Y
EPS%ChgPYQInd EPSExclXorGr%PYQInd
EPS%ChgTTMInd EPSExclXorGr%TTMInd
EPS%ChgAInd EPSExclXorGr%AInd
EPS%ChgPQ EPSExclXorGr%PQ
EPS%ChgPYQ EPSExclXorGr%PYQ
EPS%ChgTTM EPSExclXorGr%TTM
EPS10YCGr% EPSExclXorGr%10Y
EPS5YCGr% EPSExclXorGr%5Y
EPS3YCGr% EPSExclXorGr%3Y
Payout5YAvgInd PayRatio5YInd
Payout5YAvg PayRatio5Y
PTMgn5YAvgInd PTMgn%5YInd
PTMgn5YAvg PTMgn%5Y
GMgn%5YAvgInd GMgn%5YInd
GMgn%5YAvg GMgn%5Y
NPMgn%5YAvgInd NPMgn%5YInd
NPMgn%5YAvg NPMgn%5Y
OpMgn%5YAvgInd OpMgn%5YInd
OpMgn%5YAvg OpMgn%5Y
SGA2Sales%5YAvg SGA2Sales%5Y
SGA2SalesQ SGA2Sales%Q
SGA2SalesTTM SGA2Sales%TTM
EBITDMgn%5YAvgInd EBITDAMgn%5YInd
EBITDMgn%5YAvg EBITDAMgn%5Y
EBITDMgn%TTM EBITDAMgn%TTM
EBITDPSTTM EBITDAPSTTMThanks for your feedback