Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Fundamentals Time Period?
Janene Pappas
posted May 31, 2015

I'm working on an algorithm that includes ranking of stocks based on both fundamental and technical data. A question arises around the fundamental data and the time period it reflects. For example, If I fetch the "roe" field, what am I getting: ROE for what period of time? Today, last week, last quarter, the past year... it makes a difference. FWIW, the help document for Fundamentals merely states that roe is "Net Income / Average Total Common Equity".

The algorithm I'm attempting to port from another system uses REO for the most recent quarter, but that system also offers Prior Quarter, Prior Year Quarter, Trailing 12 Months, Prior Trailing 12 Months, Recent Annual and Prior Year.

Janene

7 responses
Josh Payne
Jun 17, 2015

I've put out an inquiry to Morningstar early this week on this one. Not clear to me if for what timeframe they are using for numerator and denominator for the specific variant of ROE that we're exposing (the quarterly version). Absent further guidance from them, I'd assume that Net Income is the most recent quarter's Net Income divided by the Total Common Equity averaged over the time frame of the beginning and ending of that quarter. But that is an educated guess, not a definitive answer.

Disclaimer

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.

lets make america great again
Jun 18, 2015

Quarterly up until 2014 where it is monthly

JOHN CHAN
Jun 18, 2015

Are there any ETF..in quantopian how about ETF in emerging markets?? is that on the horizon.. to be added soon..??

Josh Payne
Jun 18, 2015

Those ETF traded in the US can be traded through Quantopian. See the documentation for details on what is covered by Quantopian.

One of the main sample algorithms that is pre-saved in your account rebalances 9 ETF: https://www.quantopian.com/help#sample-live-trading

We are working to expand our coverage of tradeable markets. Futures is next on our horizon.

Josh Payne
Jun 23, 2015

I heard back from Morningstar. The above definition is accurate. All numbers cover the most recent reported quarter and that quarter only.

Aaron Cheng
Jun 23, 2015

Hi, I ran a query on 5/4/2015 and included the form type column. I saw most of the form types are "8-K" and some of them are "6-K", "10-Q". Do all of them mean the most recent quarterly data? Thanks.

Josh Payne
Jun 23, 2015

A field that isn't exposed through the API determines the time period of a particular metric from Morningstar, independent of the form source. We currently only display quarterly metrics based on that field.

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

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.