I just wanted to start a separate, focused thread on this topic since it has caused a lot of grief.

It’s a long post, so here’s the conclusion: we’re rolling back the Industry (Ind for short) factors to what they were before (with all their flaws) because what we did introduced new flaws. We will create what we think are correct Ind factors later. The current Ind factors will continue to exist even after we release new ones (but will be flagged as deprecated).

Also, both the new version of P123 and the “alt” site will have the same Ind factors. Therefore the only difference in the “alt” site will be the exclusion of holidays in the time series.

We will update you tomorrow, Saturday, when it’s all done.

Now the gory details.

A little background first about the original version. We provide Ind factors which are convenient to use and fast since they are pre-computed. It’s not a complete list by any means but they cover the major ones like Price2SalesTTMInd, Pr4W%ChgInd, etc, about 90 I think.

For each Ind factor there are two values one for USA and one for Canada. You can recreate the values that are pre-computed using the Aggregate function, for example:

For: PEExclXorTTMInd

Use: Aggregate(“PEExclXorTTM”,#Industry, #Avg)

Ind factors are only pre-computed for one universe. For the US it’s the All fundamentals Incl F-Shares, For CAN it’s All fundamentals incl. dual listed.

Also the Aggregate function by default trims 16.5% of the outliers and excludes ADRs.

There are many “flaws” in the way Ind factors are being calculated:

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[*]Only ADRs were being excluded, but many foreign stocks (500+) are still used that are not ADRs, like Ferrari, UBS group, Deutche Bank. So it’s neither here, nor there.
[*]The USA Ind factors include thousands of Canadian “F” shares, but many Canadian stocks are not included . So it’s more like a North America Ind factor; but not quite.

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*]Many of the Canadian industries are completely taken over by one or two stocks.*

[]The Ind factors project was never completed. Where are the Sec factors, or SubInd factors?

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We wanted to correct the Ind factors in the new version but it was rushed. To do it the “right” way, the way we intended, we need full access to global data which we do not yet have. This would mean that the Ind factors would go through yet another revision once we get global data.

It is pointless to go into more details of what we wanted to do. It was announced in the original post, and there will likely be tweaks once we do a proper new Ind factor release. So for now we’ll rollback to the original Ind factors.

Let me know your thoughts. Sorry again for the inconvenience.