A stitch in time

Saves nine.

Was chasing down a bug in my factor model for a week. Went through a lot of stuff.

I decided to look at one day that seemed out of wack. Surely, if this simple calculation was wrong, it must be the data. Otherwise, I would have to keep looking in my own code.

Surprise surprise, the period i was looking at did not match up with my expectations. When I inspected the FactSet code with the resident quant, I instantly saw the problem...

Was using P_TOTAL_RETURNC(0/0/-2,0/0/-1) rather than P_TOTAL_RETURNC(0/-2/0,0/-1/0)

I was grabbing yearly returns, instead of monthly!!!

Lesson: Be more thorough, use methods to narrow in on the problem.