Likely not only dealing with P123 users but anyone else, institutional or large individual traders, that uses Factset and their own proprietary system. The market is moving towards 24 hour trading. If your source of alpha is getting new information and getting in or out before anyone else its going to be a hard game to play and win. Im now rebalancing on Wednesdays
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We do have information from one institutional investor and a P123 member investing perhaps 6 million dollars of his own funds (without leverage). Yuval I mean and something to be proud of. I think he said he does not trade just on Mondays.
So we know at least one large investor is not sticking with Mondays. Not 100% sure what BlackRock is doing but I am doubtful that they stick to just Mondays. I am not sure at this point how strong the Monday effect is even on a theoretical basis.
I am more interested in what data provider BlackRock uses. Maybe FactSet and CompuStat as well as an alternative data. But some overlap? AND do they have their own analysts looking at !0-Ks and other methods of getting the data before we do with FactSet?
Okay stupid question time.
If my I forced my live strategy to get recommendations today (Friday) and commit them, is there actual fresh data incorporated - aside from price - from the period Monday to Thursday that will be reflected in the new rankings?
Marco also made this comment " You mean automatic daily rebalance for live strategies? Currently if you manually rebalance every day you are using daily data."
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Yes. Ranking is done every day. Only weekend ranking is available afterwards.
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Thank you!
Is there anything done on the weekend that is not done during the week? e.g. Like loading FactSet data?
I have noticed the Monday effect for a long time - and I haven't rebalanced on a Monday for a while because of it.
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Thank you for clarifying that daily re-balancing uses the latest data.
In my daily backtest (using WeekDay =) there is a clear degradation going forward from Monday. I assume then in backtests we only have weekly data availability?
Yes, that's correct.
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Is there anything done on the weekend that is not done during the week? e.g. Like loading FactSet data?
The only difference between the weekend updates and the daily ones is that EPS up/down revisions data is only updated on the weekend. These are just the 18 factors like CurFYDnRev4WkAgo, CurQDnRevLastWk, and TotRevisions4W. All the other estimate data, along with all fundamental and price data, are updated daily.
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Thanks Yuval.
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@marco
Is it possible for live strategies to automatically rebalance on a day other than Monday?
WeekDay=X works for sims but according to this old post, it does not work for live strategies.
Thank you!
This creates an interesting question. Sometimes backtesting daily rebalances have a small improvement at a small turnover increase.
However if ranks are recalculated daily, we could assume doing the same with a live strategy would cause turnover to increase - though perhaps performance would as well.
And then of course the best day for rebalancing. Tuesday so we still include weekend data? Or Friday, as you are effectively one day ahead of your simulations (ignoring EPS) and may have a decent improvement.