Hi, when I use Alphalens to test factor I found the problem like the title, it does not make any sense to me as that calculation does not match and there is a huge difference as EBITDA = 4.77e+08 EV = 2.003925e+10 ev_to_ebitda = 12.6911 ev/ebitda = 42.011013. Those data are all comes from Fundamental data source . I am concerned about the problem as I may need to test other factors and not sure whether I will be in this kind of problem again.
Vincent.
Hi Vincent,
We corresponded over email, but wanted to post this here in case others had the same question.
The Fundamentals.ev_to_ebitda number is calculated based on annual EBITDA. However, the Fundamentals.ebitda data provided is quarterly EBITDA . As such, the ev_to_ebitda data should be roughly 4x the calculated ratio of Fundamentals.ev / Fundamentals.ebitda.
Lucy
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Perhaps due in part to inconsistent reporting the reality vs expectation can be shocking.
We're expecting a four-fold difference in what I've done here as I did not adjust for it yet.
For example, one might suppose filtering nans ought to be enough to eliminate problems.
And yet:
NEWR has an enterprise value of 5701959832 and ebitda -682000 with ev_to_ebitda reported as -32. It is actually -8360. The calculated ev to ebitda is -8360 instead, around 260 times the fundamental value of -32, or 25969%. That's the highest discrepancy.
AUY is the extreme on the negative end of the calculations and worse.
2018-07-30 05:45 log_pipe:216 INFO _ _ _ diff_pct _ _ _
... diff_pct highs
ev ebitda ev_to_ebitda calc_ev/ebitda diff_pct
Equity(48253 [NEWR]) 5701959832 -682000 -32 -8360 25969
Equity(33298 [MDGL]) 3750375376 -7046000 -2 -532 21917
Equity(1402 [CEF]) 3201279670 -4256056 -3 -752 20303
... diff_pct lows
ev ebitda ev_to_ebitda calc_ev/ebitda diff_pct
Equity(38887 [TWO]) -16682743831 206158000 0 -80 -53948
Equity(43500 [RLGY]) 6446952047 -1000000 9 -6446 -65099
Equity(25714 [AUY]) 2635503494 -100000 12 -26355 -209916
Other:
https://www.quantopian.com/posts/ev-to-ebitda-vs-calculated-ev-to-ebitda-differs-why
If you contact me I can help you work on it Vince.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
