Dear All,
We found a problem with stocks for which we stop getting short interest data from Compustat. For these stocks the latest value never goes stale. We now return N/A if the short interest data is more than 65 days old. Making short interest data stale worked better in simulations, but this fix also affects them.
It should not be a impact since not many active companies at any point in time stop getting short interest data, and when they do they are mostly small companies.
The fix can now be verified with this screen:
SICM>0 // get all companies that have short interest data
SICM= FHist(“SICM”,8) // get all companies where the short interest is the same as 8 weeks ago
This screen now returns only 2 stocks. Before the fix it returned about 300. These were the stocks that stopped getting short interest data and the same last value was being used.
Very sorry about this.
PS: This problem was reported here