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Portfolio123 » List all forums » Forum: Feature Suggestions » Thread: Feature Request: ETF data should be included in the database |
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Total posts in this thread: 6 |
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martinfierro
Advanced Member
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I would like to have ETF included in the database. They are available from Reuters, and they increasingly offer an interesting trading vehicle for the cases where the underlying is not easily tradable ( index, foreign stock, etc.) View the feature request here. |
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marco
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ETF's don't really fit in within Portfolio123. Most ratios are not calculated by Reuters, like PE, Price2Sales, etc. Even if they were I don't expect it to be very meaningful. We've even noticed seemingly random industries/sectors assigned to ETFs. The only thing that can be used is technicals. A possible way to use ETF's within Portfolio123 is to create a special section just for etfs. The ranking systems and buy/sell rules will only accept technical parameters. The portfolios will only be generated with ETFs. Another possible way to use ETF's is as a hedge. For example by adding the capability to hedge in a simulation using any etf. The hedge ratio would need to be computed based on something like the Beta of the holdings, or some other way (any suggestions?) ---------------------------------------- Portfolio123 Staff |
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chs245
Member THE NETHERLANDS Joined: Mar 7, 2006 Posts: 10 Status: Offline |
I'd love to have the ETFs also included on this site. Just a ranking on past price performance alone would already be very interesting to simulate. Regards, OLiver ---------------------------------------- www.insideralert.com |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Marco, Most of my non real estate investment funds are in Sector Mutual Funds and ETFs. The ETFs have a real advantage over the funds since they are traded like stock. Most of them are more transparent to the public than the funds in the stocks that they buy. In the funds (except for the top 10 stocks that they hold) you generally have to go to the prospectus to find out what stocks they hold, and that is only updated quarterly. The ETFs that follow an index or sector publicly show the stocks that they hold. P123 universes could be created for each ETF that maintains a public list of its stocks. This opens up the possibility of evaluating an ETF against a Ranking System by ranking the list of stocks that it holds, and then calculating a Composite Rank for the ETF. That way, different ETFs could be compared to each other with respect to a Ranking System. Denny  ---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein |
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marco
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Denny, the problem is that getting the components of an ETF is very expensive and it won't be historically adjusted. I asked Reuters where they are getting this data because they seem to compute some ratios (very few, most are NA's) for etf's. For example they compute "Annual Book Value Per Share", MarketCap, etc. They have not been able to tell me how they are calculating these ratios and where they are getting the constituents for an etf. They told me for sure that if anybody provides the list of constituents it will be very expensive. They also seem to randomly pick an industry for each ETF. Some etf's are easy to classify in an Industry, some are not. In short it seems to be a bad idea to mix ETF's with stocks. While there might be value in calculating aggregate fundamental ratios for ETF's, it seems to be a process full of problems. We are storing the etf's right now in our database and have the historical prices. What we are planning is to allow building ranking systems for etf's that only allow technical indicators and factors. The idea is to be able to use these etf's ranking systems for port/sims made up of only etf's. The other use for etf's that we are envisioning is as a hedge for stock ports/sims. There will be a way for you to specify a hedge ratio formula, and at every rebalance the etf short position will be adjusted by the ratio. Comments? ---------------------------------------- Portfolio123 Staff |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Marco, Without a method of getting the historical lists of the ETF’s stock holdings, I agree that trying to do what I suggested in my previous post would be a big waste of time. Since I am currently using almost pure technical indicators mixed with a few Industry momentum factors to rotate into the 5 best Sector funds and ETFs, I think that your approach will enable testing for better methods. Denny ---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein |
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Re: Feature Request: ETF data should be included in the database
