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Joe,
I am traveling and responding on my blackberry so I
apologize for the brief answer. If you are benchmarking to a
market cap weighted index like the S&P 500 then you can
quickly make a surrogate with much fewer issues to represent
the majority of the sector weightings. You can increase the
efficiency of the group if you can add those highest market
cap stocks that have the highest correlation to the sector.
The way I create my groups is to use the Spearman
correlation calculation to remove the effects of the market
to get a true picture of how the individual issues compare
to the sector. This is similar to what the old AIQ
Matchmaker program did which is what I initially used to
build groups many years ago. Now I have another program that
can use rolling periods in aggregate to get a better view of
historical and current correlations. There are may ways to
attack this such as groups defined by market cap or sub
groups (Large, Mid & Small) or by style (Growth or Value )
or combinations such as Large Cap Growth etc.
If you don’t’ have access to the market cap data in your DB
(i.e. Quotes Plus etc) you can go to HYPERLINK
"http://www.ishares.com/"www.ishares.com then the index like
the S&P 500. Scroll down to find daily holdings and click
that to find a CSV file that will give you the weights or
the % of the index. From there you can quickly sort by
sector and create a short list for each sector.
You can do the same thing for the sector ETF’s creating
individual proxies to run analysis on ( i.e. accumulation of
components etc.) For example with the Semi Holdr-SMH, three
stocks AMAT, INTC & TXN account for more than 50% of the
weighing.
I hope this helps. Sorry for the brief description but my
thumbs can only crank out so much! :-)
Duke Jones, CMT
_____
From: Joe Landry [mailto:jelandry@xxxxxxxxxxxxx]
Sent: Saturday, November 20, 2004 6:03 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Surogate for Sectors
Duke - Have you found that you can use a limited number of
equity issues to represent a sector? Seems like
I've seen some work on this before. I've had to drop back
to an Win 98 sys while fixing the XP and I'm looking for a
quick way to run composites on say the 'top ten" of each
sector. I can take a cut at it but looking for some tested
way to do this. I also use the Spyders XLE, XLF, etc as a
quick way to indicate how things are going.
thanks in advance
JOE
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