Is there a 'hold-out' period for the FactSet fundamental dataset for Q Community users, and if so, how long is it?
Yes, all FactSet datasets will have a holdout in the community. FactSet fundamental data will have the last 1 year of data held out (on a rolling basis). In addition, pricing data for international markets will be held out 1 year. That said, all contest entries using these datasets will be evaluated by Quantopian with up-to-date data.
In general, do you believe the FactSet fundamental dataset is of better quality than the Morningstar fundamental dataset?
FactSet fundamental data is a very high quality dataset. Personally, I find the data structured in such a way that it's easier to use and understand. For instance, they clearly label the update frequency of each field. In terms of data quality, many investment firms use and rely on this data; the data has therefore had QA for many years, so that - along with FactSet's great reputation - gives me high confidence in the quality of the data. It will be interesting to identify whether there are new opportunities for alpha in a newly avaialble fundamentals dataset. This is getting away from your question a bit, but I think it's still in the realm of "which fundamental dataset should [I] use"?
Does FactSet fundamental dataset contain more data fields (than Morningstar), for example trailing-twelve-month data, rather than requiring us to calculate this ourselves in a CustomFactor?
I haven't analyzed this closely yet. However, I do know that the FactSet fundamental dataset includes trailing-twelve-month data (they call it last-twelve-month, or LTM data for short). Our initial release of the dataset will not include these fields, but we'll be looking to add it in the near term.
Will each new market that you roll out also have FactSet fundamental data available from day-1, or 'only' historical price & volume data?
Each new market will be added with fundamental data in addition to pricing and volume data. FactSet's fundamental data will cover both international and US equities. Morningstar's fundamental data will only cover US equities.
Would you be willing to share what some of the other FactSet datasets are that you may consider rolling out after Fundamentals? For example, earnings surprises, mergers & acquisitions announcements, sentiment data, etc?
After fundamentals, we'll be adding datasets available on Open:FactSet. We haven't yet decided on a priority order, but all of the datasets will come from that list (which is continuously growing!).
How far back will data be available for new markets and FactSet datasets? Since 2002 the earliest, as with US Equities?
Upon initial release, the data for international markets will go back as far as 2004. At some point in the future, we might try to extend this.
Do you reckon there will be a decent 'learning curve' with rolling out new markets and new datasets? For example, if it takes about 6 months for the first market and first new FactSet dataset (fundamentals), it may only take another 3 months for the second market/dataset, and another 2 months for the third, etc?
Great question. I think there's definitely a 'learning curve' to adding new datasets, but the shape of that curve depends on the data that we're talking about. For instance, we expect to increase the rate at which we add pricing and fundamental data for new markets, because the data has a similar look and feel in each new market. Obviously, there are unique properties to almost every new market, but the general shape of the data will be the same. When it comes to new types of data, it will depend on the extent to which structure of the data is new. We will be optimizing our development to learn about new structures early and integrate new datasets as fast as possible.