S&P Global to Factset Transition



As of December 31st, our rankings data will be provided by Factset instead of S&P Global. This means the rebalancing of our strategies on January 4th will be done with the new data. The reason behind this change is to increase our research by removing limitations imposed by the previous data provider. Please find below the main advantages of Factset:

  1. Longer point-in-time (PIT) backtest period (20 years+);
  2. More financial statement and earnings estimate items;
  3. Improved classification system: RBICS will replace GICS;
  4. Access to European, Asian and Pacific stock exchanges.

As we transition to Factset, inevitable changes are to be expected. We believe the overall impact on our Factor-Based model portfolio strategies to be positive. Please find below the main changes you should expect starting January 1st:

  • Ranks may be different after the switch;
  • Stocks may be reclassified in other industries;
  • Line items used to calculate metrics may differ.

To make sure this transition goes as smoothly as possible, we took the time to backtest and adapt each strategy for Factset. Please read the article below to review the changes resulting from this data provider switch. If you have any concern, please let us know and we will get back to you shortly.

The Portfolio Management Team