As you may have learned from previous posts our weekend updates are incomplete because Compustat only does two updates on weekends: Saturday 12:15AM and Monday 12:15AM. The special Sunday update that we added recently was catching late estimate data, but not the late Compustat data.
The Monday 12:15AM is too important, therefore:
We have added an update job that starts on Monday around 3AM (should finish around 5AM)
Automatic rebalances of portfolios and R2G’s have been moved to after the Monday update finishes (they should complete a few hours before market open)
We will remove the Sunday update
You can see the schedule at HOME->SERVER STATUS.
ANY rebalance , rank, etc, done in the weekend before the new early Monday morning update is to be considered “provisional”. The best , freshest, and most complete data for Monday’s trading will be available a few hours before market opens.
We realize this can be inconvenient, however keep in mind that in the big scheme the changes should not be materially significant. We are pressing Compustat to add a weekend job on Sunday 12:30AM that would basically give you an extra 20 hours before market opens. Hopefully they listen to the little guys (I guess the big guys don’t need to do anything in the weekend but golf).
What implications does this have for aligning the timing of backtested strategies with invested portfolios? Presumably any strategy based on data released Mondays would not be invested until Tuesdays - is that not correct?
mm123, why Tuesday? Automatic rebalances should finish before pre-market prices
Monday 12:15AM is when they start, Central time, with a job that usually 1 hour. We’re playing it safe until we find a reliable way to know for sure it was done. Pretty sure we’ll be able to shave 1 hour.
As an old S-S-123 member I thought that there was a delay between the rebalance and the formation of portfolios - I now understand from your reply that the delay was simply for weekend data to be implemented (since of course no trading takes place at that time). So we’re all good, thanks.
Here’s the back ground to my questions. I often do my rebalancing on Tuesdays and Fridays (using data updated Monday night and Thursday night). My concern is the data for my rebalancing might not be as “good” as what I would have if I did my rebalancing on Monday before the market opens.
Here are my questions.
RE: COMPUSTAT DATA
. Since Compustat does two updates on the weekend, does this imply that rebalancing done on Monday before the market opens is “better” than rebalancing before the open for other days of the week? Do we know how much Compustat’s Monday 12:15AM data differs from their Saturday 12:15 AM data? Does Compustat have a written explanation? If not, has Portfolio123 done any comparisions to measure how much these two data sets differ?
RE: ESTIMATE DATA
. What do we know about how the freshness and/or completeness of the weekend data for estimates compares to the daily data updates for estimates? I am wondering if the estimate data we have available on Monday morning before the market opens is “better” in someway than the data we have available before the market opens on other days of the week?
My assumption is there are two possibilities for why data takes longer to be available after the market closes on Friday than after the close on other days of the week.
. Possibility 1 is the provider takes a more relaxed pace because they know the data is not needed by Saturday AM. This would imply that Monday AM rebalances are just as good as, but no better than, any other morning of the week.
. Possibility 2 is the estimate provider adds in a greater amount of new data after the Friday close which requires longer to input. This implies that that Monday AM rebalancing would have “better” data that Tuesday, Wednesday, Thursday or Friday AM rebalancing.
Any light you can sheld on these questions is most appreciated.
While I am not too excited about rising early Monday AM to check what needs to be traded, it does resolve the problem of waiting until Sunday to manually rebalance any port affected by earnings estimates.
Will the S&P 500 EPS numbers also be updated on the Monday refresh?
I was functioning under the belief that earnings revisions were not fully up to date until Sunday (now Monday AM). If you look any sentiment screens run daily they seem to do all of their trades about every 5 days and perform about the same as the weekly rebalance. Having a run called “estimate revisions” also made me think this.
Anyway, I still have that impression after reading this thread.
I would be interested in getting better information if I am missing something. Some seem to the there is daily estimate revision data. I’m not sure.
Thanks for any corrections. Would rather be wrong here than with my trading.
Brian (o806) has raised some excellent questions. I too would much appreciate any light you can throw on exactly what’s going on over at Compustat. Also, has the way P123 handles bankrupt companies changed in any way with the data change to Compustat?
Server status today (March 24 AM) says: “Estimate Revision Data as of 03/16/13.”
Are there any estimate revisions updates during the week? As I said in previous post I was thinking not. Also screen for revisions at Portfolio123 different from Zacks revision screen today.
Have been trading Portfolio weekly on Monday. Have been looking into doing daily screens at Zacks for estimates revisions and then seeing how the stocks with new estimate revisions do on my Portfolio123 Rank. Could then add the new revisions with a high rank to my Portfolio that is usually rebalanced weekly.
Any thoughts? Any easier ways? Do stocks get enough of a bounce in the first few days after an estimates revision to justify the extra work? Was going to start a spreadsheet and try to answer prospectively. Daily buying of earnings estimate revisions cannot be tested at Portfolio123 or Zacks Research wizard to the best of my knowledge. Not recommending Zacks Research Wizard. Only had trial membership and clunky compared to Portfolio123. Multiple Portfolio123 Ranks better than Zacks Rank, I think. Earnings estimate revisions can be gotten with the free screener at Zacks.
Thanks for any ideas or corrections to my often incorrect newbie ideas.
Differences between Mon 12:15AM & Sat 12:15AM are there, and during earnings seasons more so. There’s data that gets processed by Compustat that gets tagged with an effective date on Saturday afternoon but it’s only available for download on Monday 12:15. Why is that ? I can only guess that they don’t want to have an extra process running on Sunday 12:15 AM that could fail and therefore require support staff on Sunday. And also that the big institutions don’t need it on Sunday. But I will ask that specific question.
SP500 estimates is still updating on Saturday. Those seem ok since the numbers are ready by then. It’s based on the most important numbers, CurY,NextY, etc, so they must have a priority.
Up/Dn revision data (the one that is visible in the Server Status and currently says 3/16/13) can be made available on Sunday. However it would still miss the fundamental data from Monday 1215AM. So if we do Sat 11AM, Sun 10AM, Mon 3AM, we end up with 3 versions of the weekend data. How confusing!
In short, by adding Monday morning to the mix, the best, freshest data will always be before market open. Evening data, even after prices, is provisional.
Thanks for the information! Still trying to learn about upward revisions and still testing strategies. Am trading one Portfolio based on upward revisions.
Monday morning works for me. Just glad to know that is the best time.
So if I were to go into a portfolio set to auto-rebalance right now (Sunday early evening) and click “Get Recommendations”, would that give the same rebalance suggestions I would have received in the weekly email if we were still running on the old schedule?
I’m often not able to place trades monday morning and am trying to determine how to get the same results I had under the old system.
The auto rebalance process has been moved to Monday AM. If you manually rebalance after SAturday update you may get different results. I’m asking Compustat to do a Sunday AM update which would give all of Sunday with good weekend data.
Marco, for all its worth, I have to protest the change in data availability. Before this weekend’s change it worked much better for people like me living on in California. A manual rebalancing done late on Sunday nights usually captured the latest changes, including analysts’ estimates, and I could run it, review the suggestions and enter orders for Monday execution before going to bed. It usually takes 1+ hours going over all my ports. However that was not the case this weekend, we didn’t get the recent changes. You are forcing us West-Coasters to wake up before 5AM to do that work which is not very conductive for the day’s work. And what if a late update failed - as sometimes happens - there would not be anyone available to handle it, restart a stuck process or whatever.
As the new schedule currently stands, the update starts at 3AM central time, runs for ~45 minutes, after which another hour to hour and a half are needed to load the servers.
If you could squeeze the start time by 1-2 hours, and hopefully also update the hardware doing the server’s loading so that it executes faster (maybe use SSD instead of hard drives?) then update may become available closer to midnight PST which would be much more palatable to west coast residents.
Going forward, will the back-testing of screens and sims use the Monday AM refresh or the Saturday AM refresh? My rebalance is normally on a weekly basis.
For my personal trading, Monday AM is mostly inconvenient. To publish strategies for others, it goes beyond inconvenient. The auto-rebalance email this morning came after the market opened.
Although there may be differences in the trades based on the Saturday and Monday update, it may be simpler to use the Saturday update if that is what the back-tests use. I will wait until Monday AM for strategies using EPS revisions up/dn.
Jim, that’s the problem. Sims use Saturday data that has “settled”. That data is only available “live” on Monday morning. If you run a sim on Saturday , then the next week it might not match up because the previous Saturday got more data that became available Monday morning (but it’s really weekend data).
Would it be possible to get earnings estimate data on a daily basis rather than just on the weekend?
At present users have to choose between fresh estimate data (and only trade on Mondays) or use out of date data if we trade on any other day of the week.
I would really like to move my trading to something other than Monday (to avoid any crowd rush effect when R2G portfolios become popular), but my three best strategies all include earnings estimates in one form or another.