Dear All,
We have released new logic that handles companies that switch to/from quarterly data from/to semiannual data (and sometimes multiple times). Previously, we simply started the point-in-time history anew after a company switched. This causes ratios like TTM growth ratios to be NA around the switch, and it takes a while to settle back to not being N/A.
In Europe, around 200 companies have switched recently. You can find these companies with this rule: InterimMonths(0) != InterimMonths(8). In North Atlantic, it's also around 200 companies. (Do not use odd numbers in the inequality since that resolves to the gaps we insert.)
Your models should not vary much. Depends on the universe you use and the rules. Our own European model changed slightly when re-run. NAs can still happen around a transition, and there are still several outlier cases we are working on to clean up the mess that FactSet gives us sometimes. They just process whatever they get their hands on, and it's up to us to make sense of it from a historical/backtest perspective.
N.B. if your rules rely on quarterly changes, like Q over Q changes, it's best to create universes that eliminate companies with semiannuals with a rule such as LoopSum("IsNA(InterimMonths(CTR), 3) != 3", 2) = 0 since Q over Q for semiannual companies will still result in NAs since we inject empty 3 month gaps in semiannual periods.
In hindsight, this project should have had a higher priority since companies switching to/from semi-annuals are more common than we thought. We took the easy route at some point many years ago and did not look back until now. The fact that we hardly ever had any complains about values going to NA certainly made this project a lower priority. It's also good to see that our own model was impacted just slightly.
Below is an example of a company, LUVE:ITA, that switched to quarterly reporting in 2024. You can see the gaps between quarters cut in half, TTM growth rates evaluate well, as well as long term growth rates.
Let us know of any questions or concerns you have.
Thanks
