We use Capital IQ’s global point-in-time fundamentals database. This is a high quality database used by institutions worldwide. A point-in-time database contains both listed and delisted stocks and the data is reported at that point-in-time (i.e. it is not restated at later date). A point-in-time database mitigates survivorship bias.
In addition, we use ‘as-reported’ data in order to avoid look-ahead bias. ‘As-reported’ data comes from the financial statement which was first released to the public by the company. Companies often restate their financial reports at a later date. We only use as reported data, and are currently using annual fundamentals with end-of-month stock prices.
Click here to find out more on the database we use.