Yuval,
Thank you for looking at this. I am not looking to sign up for CompuStat/CapitalIQ right away so your looking at this is enough for now. It is not important to me that we end up agreeing today.
But I have been paper trading a port that I will be funding when my prescription renews. If it continues to do well I will consider using Compustat then. I guess time will tell. But I can justify the expense of Compustat based on how much I am likely to be investing (in a port that is performing well out-of-sample).
As I said, it is not as clear to me with CapitalIQ data as it was with FactSet data but it was actually Marco that first pointed out a problem with CapitalIQ that made me aware of issues with FactSet data. For sure we finally agreed with regard to the FactSet data. Marco’s post was maybe around eight years ago. Maybe before you came on board P123.
I won’t try to look for those old posts for a lot of good reasons, including not wanting to (possibly) take what Marco said out of context and more importantly, things easily could have changed with CapitalIQ. Maybe I do not remember the details correctly or missed an important detail at the time.
But my recollection is that Marco pointed out EXACTLY the same problems then (for CapitalIQ) that we finally agreed upon for FactSet.
Namely, (at least in the past) the time-stamps were for when the analyst changed her earnings estimates NOT when the earnings estimates were put into the database and made available for a live port.
Or just basically the exact same thing that prompted the lag in FactSet data. While we finally agreed to change the FactSet data, it is my belief that it was a known problem before then. I have posted concerns multiple times over the years. I am sure I can find some of my quotes from the past that are not out of context. That is where the eight years to resolve the issue comes from.
I hope I did not overstate anything here. Maybe I misunderstood what Marco originally said. Even if I understood correctly I would not be surprised if CaptialIQ remedied any issues without informing me directly (actually I am pretty sure they would not have emailed me). That is why I hope I framed this mostly as a question.
But also my concerns about FactSet were not entirely of base. I would not be entirely surprised if CapitalIQ did have the same issues. Truth is I don’t really know for sure.
Anyway. Thank you for looking into this and I do not need a definitive answer today or even in the near future. But I will have a definitive answer before I spend $12,000 a year on a something that could actually be inferior to FactSet for backtests on analysts data.
To be sure I get the point that CompuStat has a superior method for time-stamping fundamental data. CapitalIQ and earnings estimates may (or may not) be in different category. Truly a question at this point.
Thank you again for addressing this question.
Best.
Jim
