No. of Recommendations: 7
P123 is probably good (I haven't found anything better, except GTR1 of course), but might have look-ahead bias if not used carefully (adding lag if needed). FactSet is P123's primary data vendor. Preliminary data (based on news releases) can be used or turned off. With Prelim turned off, the fundamental data is exposed on the SEC File Date + one day. Live results could be different from the backtest, because live results depend on the FactSet processing time. P123 is striving to get closer to true PIT.
FactSet is the fourth largest player in the financial data space, and so the data and processing time are probably very good. The data quality might offset the small PIT issues. Prelim data could offer advantages if used correctly (waiting for filing and processing will sometimes reduce returns).
Equities Lab uses SEC filing date plus 4 days.
GTR1 uses the date the data was available for live trading. GTR1 live results and backtest results are the same.
=== links for more information ===
Equities Lab Comprehensive Data
"Our data changes daily, and covers each trading day from January 1, 1995 to present. Morningstar takes a few days to clean and process the data they get from the SEC, while they update the price data after the close of the market... Equities Lab uses the SEC release date, adds four days to account for processing delays, and makes the data available then."
https://www.equitieslab.com/features/comprehensive...The Timing of the Earnings Press Release and the Annual Filing, May 24, 2018
About 12 days on average between Earnings News Release and 10-K filing.
https://www.calcbench.com/blog/post/174219405678/t...Comparison of the Costs and Features of the Four Leading Financial Data Providers [Bloomberg, Capital IQ (CapIQ), Factset and Refinitiv]
"As of 2017, FactSet had 89,000 clients with total revenue of approximately $1.3 billion, making it the fourth largest player in the financial data space"
https://www.wallstreetprep.com/knowledge/bloomberg...some discussion of this at P123:
FactSet beta site v1.0, NOW LIVE, April 2020
"options for Data Vendor—Compustat or FactSet—and for PIT Method"
"When you choose “Use Prelim” we expose the final data on the News Date + one day. This means that some data points may suffer from look-ahead biases."
"If you want a more conservative backtest approach you can choose to “Exclude Prelims” which will expose the data on the File Date + one day. NOTE: this may still suffer from a minor look-ahead bias since Factset may have taken a few days , or even weeks , to process the filing. We hope to revisit this later when we learn more about typical delays."
https://community.portfolio123.com/t/factset-beta-...Help - “PIT Method - Prelim”, March 2021
https://community.portfolio123.com/t/live-strategy...SURVIVORSHIP BIAS?, December 2021
"ETFs are far superior investment vehicles than common stocks for an evidence-based, data-driven investment process, IMO."
https://community.portfolio123.com/t/survivorship-...Our Financial Data Providers and Approach to Historical Data Accuracy, updated September 2023
"Since we began using Factset as our primary data provider, we strived to improve how close the data is to true PIT by tracking changes and backfills by Factset."
https://portfolio123.customerly.help/en/data/our-f... 