UPDATED: Upcoming changes which could require changes to your rules and also the use of CUSIPs

Announcements
1

We are planning a release next Wednesday, February 26th, which will contain the changes described below.

** UPDATE: PLEASE DISREGARD ITEMS 1-4 **

  1. Prices, splits, dividends, and IADs have been aligned to FactSet data. Data providers handle corporate actions differently sometimes, making different decisions about how changes affect continuity and adjustments. Users may notice changes in items like Yield, DivPS*, Div%Chg*, and others.

  2. US OTC stocks now appear in ExchangeCode 13 instead of 19.

  3. ETF security names are now pulled from the security instead of the entity. This impacts the behavior of CoName in ETF systems. For example, 3DEC:DEU will now be called WisdomTree CAC 40 3x Daily Short, previously being populated from the associated entity’s name WisdomTree Multi Asset Issuer Plc.

  4. Tickers ending in .UN will now end in .UT. The P123 CanadaTrust universe has already been updated to use the rule Ticker("*.UN* *.UT*"). Users should update any similar custom universe rules or screen/strategy rules.

  5. Due to vendor license restrictions on CUSIPs, the following will no longer accept CUSIPs as input:
    API - stockFactor/upload and data endpoints
    DataMiner - data operation
    Website - Import stock factor
    All of the above now have the ability to use FIGIs as a replacement for CUSIPs.

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2

On point 1 - does this effect Compustat users as well?

Thanks,

Daniel

3

Both Compustat and Factset redistribute the same ICE data for prices and corporate actions. Just different format.

We are simply switching which provider is "in charge" of creating new tickers. Factset actually has a lot more coverage, so it should not be an issue. And, an additional 300 or so perfectly fine small caps will be added to the backtest universes (Compustat is more stringent as far as which stocks they cover with fundamentals). We're still studying this since there's also a lot of junk that is undesirable. Another option is to just add these small caps going forward.

And yes, both vendors are pulling out CUSIPs which we are using internally to sync up different vendors.

4

We have decided to hold off on items 1-4 until some future date. Only the CUSIP change (#5) will be implemented. CUSIPs will no longer be updated and existing CUSIPs will be removed from the database within a few weeks.

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