I know this has been answered before but I couldn’t find the thread.
Please let me know if my understanding is correct: when running a simulated portfolio, it runs as if the data were only updated over the weekend. Live portfolios the data is updated nightly.
Phil, yes, that is my understanding. In sims and backtesting the historical ranks only exist at the weekly level. (Should get the same results of a screen Monday-Friday of a given week, only changing at the end of a week. I did a few tests and that seems to be what I see).
In live ports it uses the freshest data available, and most data is updated daily. Earnings estimate data only updates once a week still. In most screens for live data you can see changes in rankings daily. Here’s a link I keep handy for updates.
https://www.portfolio123.com/server_status.jsp
I asked about this in another thread and have no response. If that’s true then why does it say this on each of my live portfolios?
"Recommendations will be based on fundamental data as of 2018/04/07. "
[quote]
…why does it say this on each of my live portfolios?
"Recommendations will be based on fundamental data as of 2018/04/07. "
[/quote]Under ‘Universe & Ranking’ make sure that ‘Force Weekly Ranks’ is set to ‘No’.
SpacemanJones’s answer is correct, as far as I know. nisser, what page do you see that on? I get a note about ranking data at the top of the recommendations, not fundamental data.
OK so just to confirm EPS Estimates are only updated on weekends for live portfolios?
If you click on any live portfolio, then on the “rebalance” tab. Right below “get recommendations” it says that.
So if I set that to “no” then it’ll use daily ranks? Why would I ever want to use stale/weekly ranks then? It wasn’t clear to me what that did anyway.
Nisser - set it to yes to use stale data from the latest weekend, set it to no to use the most up-to-date data possible from last night.
In another thread it was explained why - set it to yes to make a live portfolio behave more like a simulation.
Could someone confirm whether the CurFYEPSMean variable is updated daily or weekly?
My understanding that ONLY the EPS revisions are updated weekly and other EPS estimate data is updated daily.
And shouldn’t the “Force Weekly Ranks” setting be relevant to ONLY live ports that do a Daily rebalance?
Any live port with Weekly (or less frequent) rebalance should always find the Monday morning state of the database to be equal to the daily, right?
philjoe, The way the data was structured, I thought all the estimates data fell under the estimates revision module, but I don’t know that and haven’t tested it. Your question has me wondering now. I had assumed that everything under the “Estimate” folder in the ranker was part of the estimates revision update - but your query has me questioning now. I’ll have to put on my list of things to test.
If you start your model on a Monday, yes. If you start on Tues-Fri you’ll get different results.
It would be great if someone could officially confirm this but based on me playing around with the screener, only the estimate revisions numbers are updated weekly. The other EPS data updates daily.
Attached is a CSV listing all supported factors which are refreshed weekly.
weekly-factors.csv (3.96 KB)
OK so the average EPS estimate is updated daily but the average recommendation is not. That is odd…
Thanks Aaron, appreciated.
Let me clarify what I just posted: they’re refreshed daily as far as screening today and generating live recommendations are concerned. For historical screens and backtests, we only retain a weekly snapshot of these values.
Hi Aaron, Thanks for the clarifications. I’m confused now though. The server status says estimate revision data updated 4/7/2018 when I look at it. Is the server status link not not referring to the fields that you posted?
That specific metric is pulled directly from the CapitalIQ database: it is the as-of date of the latest revision of annual data in the estimate revision table for companies IBM, MSFT, and AXP.
The main point is that these factors always serve the freshest data we have access to when run today.
So for live portfolios all estimate data is updated daily? Including revisions, recommendations and avg EPS estimates?