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Fundamental Data Error - ev_to_ebitda factor is not equal to ev factor divided by ebitda factor

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.

2 responses

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.