MISSING Corporate Action (dividends/spinoffs) for EBAY/GOOG_L render historical technicals erroneous

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MISSING Corporate Action (dividends/spinoffs) for EBAY/GOOG_L render historical technicals erroneous

posted Sep 10, 2015

hi,

Just wondering how other people are dealing with this issue. 2 very popular stocks EBAY & GOOG_L have both undergone significant corporate actions. EBAY spun-off PYPL on 7/20/15 and GOOG_L spun-off GOOG on 2014-04-03 resulting in huge discontinuous price gaps GOOG_L $1135.5 -> $571.3 and EBAY $66.33 -> $28.56. These gaps wreak havoc on historical technicals & stats.

In the case of GOOG_L Qntpn correctly puts a share of GOOG into the portfolio which offsets the drop in price. However, with EBAY my backtest didn't receive any shares PYPL, so value was not conserved.

Yet in some other cases it seems Qntpn does adjust stock prices for the effect of spin-offs. Specifically WIN on 7/24/15 spun-off CSAL, enacted a 1-for-6 stock split, and went 'ex' on a cash $0.0659 dividend. Yahoo finance which accounts for all of these events has their adjusted close price going from $12.01 on 7/24/15 to $10.44 on 4/27/15. Quantopian close price goes from $12.369 to $10.98, which while not exact strongly suggests they adjusted for the stock-split and the spin-off-dividend, which were designed to be offsetting in the nominal price level.

These examples suggest there isn't a consistent data policy regarding the treatment of spin-offs. Am I missing something?

thanks J

1 response

Jamie McCorriston

Hi Jason,

Thank you for bringing this bug to our attention. You are correct in that 1 share of PYPL should be added to your portfolio for each share of EBAY you own. I have made a ticket with our data team to follow up.

Quantopian adjusts stock prices for spin-offs and splits, but not for dividends. Currently, dividends are added as cash to your portfolio when they are paid out. Changing dividends to behave like spin-offs and splits would make the handling of these types of changes more consistent across the board, and it is on our radar!

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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.

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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.