Custom Universe

Research
1

Hi,

I am trying to create a custom universe of all stocks in the “All Fundamentals - USA” that have a market cap greater than the average of those stocks in the “All Fundamentals - USA” universe.

I have created a custom series to calculate the average market cap of the universe like this:

setvar(@avgMktCap,UnivSum(“1”,“MktCap”)) = 3807768.00 as of 7/19/2015

If I then try and create a custom Universe using this series like this:

MktCap>getseries(“AvgMktCap”)

it does not work. If I click “Total”, I get that there are 6657 stocks in the “All Fundamentals - USA” and using the above rule there are still 6657 stocks which pass. What am I doing wrong?

Many Thanks

Paul

2

Hi Paul,

I would try a couple of things;

  1. change UnivSum to UnivAvg

  2. try MktCap>Close(0,getseries(“AvgMktCap”))

I think that should work for you.

Best,

Walter

3

That worked. Thanks

4

You don’t need a custom series. Just use the “Aggregate” function which is very powerful and can do many thing. One of them is the average of a universe. To do what you need just type this in the first custom universe rule:

MktCap > Aggregate(“MktCap”,#all, #Avg)