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Hi!
I'm working as a freelancer for a fund, they asked me to compare the returns of Russell 1000 components vs the returns generated by selecting the top 1000 stocks by mkt cap, equal weighted, rebalanced quarterly. So they want to see if there are differences, since R1000 constituents are generally speaking the top 1000 mkt cap stocks at that moment.
Has QuantConnect the R1000 index? Can I mimic it by downloading from somewhere its historical constituents and importing this data here on QC?
thanks
Gahl Goziker
Hi Emiliano,
A solution would be to download the ^RUI data from Yahoo Finance, and then read it into an algorithm by importing it as custom data.
Alternatively, the built-in QC500 universe could work. Just a tip, using the C# version of QC500 is faster, just do not add the import in the algorithm script:
from Selection.QC500UniverseSelectionModel import QC500UniverseSelectionModel.
Best,
Gahl Goziker
Emiliano Fraticelli
Hi Gahl,
https://finance.yahoo.com/quote/%5Erui?ltr=1does not seem to contain info about the R1000 components, or, at least, there's a link but it seems broken. AND I need historical data, too. Like which were the tickers in R1000 on 8/8/2015(european style date, sorry)? And on 15/3/2010?
Emiliano Fraticelli
For what regards the QC500 universe..well it's not the Rusell 1000! The R1000 has 1000 tickers, rebalanced by mkt cap every a certain amount of time
Jared Broad
Feel free to customize its open sourced code to your needs Emiliano.
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Emiliano Fraticelli
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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