Frequency

Time series usually have a frequency, such as daily, weekly, monthly or quarterly. We distinguish between two kinds of frequencies: frequencies that are based on the common calendar, and frequencies that are based on companies’ fiscal calendars, and which therefore vary depending on the company in question. We refer to the former as fixed frequencies and the latter as fiscal frequencies.

When a signal accepts a frequency argument, it is for one of two reasons: In most cases, the signal can produce time series with different frequencies, and you must specify which output frequency you want. In a few cases, a signal transform accepts a frequency argument because it needs to know what the frequency of the input time series is. Usually, it can be inferred from the time series itself, but there are cases where that is impossible, and then the transform will use the supplied frequency instead.

This section goes through the various frequencies supported in the Exabel DSL, and explains their meaning.

Fixed frequencies

Fixed frequencies are frequencies which do not depend on the entity in question. For such frequencies, we use Pandas’ frequency codes. Intraday frequencies are not supported. Here are the most useful ones:

freq	Description
D	Daily.
W	Weekly, where every week ends on a Sunday.
W-MON, etc.	Weekly, where every week ends on the specified weekday.
M	Monthly.
Q	Quarterly, where the quarters end in March, June, September and December.
Q-JAN, etc.	Quarterly, where one of the quarters ends in the specified month.
A	Annual, where every year ends in December.
A-JAN, etc.	Annual, where every year ends in the specified month.

Fiscal frequencies

Fiscal frequencies are frequencies that are based on a company’s fiscal calendar, and they therefore differ between companies. These frequencies are based on the fiscal periods companies use for accounting and reporting. When a time series has a fiscal frequency, it usually means that there is one data point for every fiscal period, and that the date of a data point is the last date in the fiscal period it represents. This may, however, be complicated by missing data points or fiscal periods being represented by other dates than the last date in the period (see alignment).

There are fundamentally three different fiscal frequencies: quarterly, semi-annual and annual. All companies report annually, and in addition either quarterly or semi-annually. In the United States, public companies are required to publish quarterly reports, but in many other countries companies may choose to publish semi-annnual reports instead. But even for companies that report semi-annually, there are often time series available with quarterly frequencies from other sources.

Accordingly, all companies for which we have financial data, have an annual fiscal frequency, and in addition quarterly or semi-annual frequencies, and often both.

Fiscal frequency arguments

Fiscal frequencies can naturally only be used in the context of a specific company. When a frequency argument is supplied to a signal, the company in question in determined in one of the following ways:

• If the signal is evaluated for a company, the fiscal calendar of that company is used.

• If the signal is evaluated for an entity (e.g. merchant, app) which is owned by a company, the fiscal calendar of that company is used.

• Some signals accept a fiscal_entity argument, and if it is supplied, that entity is used, regardless of the evaluation entity.

When a signal accepts a frequency argument, a fiscal frequency can be specified in any of the following ways. Note that not all signals accept all the variants, and may not accept any fiscal frequencies at all. This is specified in the documentation of the individual signal.

freq	Description
FQ/FS	Quarterly or semi-annual frequency, depending on whether the company reports quarterly or semi-annually. If a company has switched its reporting frequency in the past, the current frequency is used. For companies that no longer report, the latest known frequency is used.
FQ	Quarterly frequency. This frequency only works for companies with quarterly FactSet data. For companies that switch between quarterly and semi-annual reporting, it only works for those fiscal years which have quarterly FactSet data.
FS	Semi-annual frequency. This frequency only works for companies with semi-annual FactSet data. For companies that switch between quarterly and semi-annual reporting, it only works for those fiscal years which have semi-annual FactSet data.
FY	Annual frequency.
FQ&FS	Mixed quarterly and semi-annual frequency. Returns quarterly periods in fiscal years where the company reports quarterly, and semi-annual periods in fiscal years where the company reports semi-annually. For companies that switch between quarterly and semi-annual reporting, this will return all available periods, but they will be of uneven length.
FQ+	Forced quarterly frequency. Unlike FQ, this works regardless of whether the company reports quarterly. For companies that do report quarterly, the frequency is the same as FQ. For companies that report semi-annually, the semi-annual calendar is upsampled to create a quarterly calendar. This is useful when working with data sets like Visible Alpha which may provide quarterly actuals & consensus, even if FactSet only provides semi-annual data.
FS+	Forced semi-annual calendar. Unlike FS, this works regardless of whether the company reports semi-annually. For companies that do report semi-annually, this is the same as FS. For companies that report quarterly, the quarterly calendar is downsampled to create a semi-annual calendar.
LTM	Last twelve months. A rolling sum is performed on the data with the preferred frequency of the company so that each value corresponds to a twelve month period. For quarterly data, each value is a sum of four quarters, while for semi-annnual data each value is a sum of two semesters.