These factors return the representative value for the performance of the Industry of the stock. For the relative factors that (include 'Rel' in the name) the performance is relative to the regional benchmark shown in the table below. Dividends are not included.
| Region | Regional Benchmark | |
| United States | SPY:USA | State Street SPDR S&P 500 ETF Trust |
| Canada | XIC:CAN | iShares Core S&P/TSX Capped Composite Index ETF |
| Europe | IMEU:NLD | iShares II Plc - Core MSCI Europe UCITS ETF |
| APAC & Emerging | VPL:USA | Vanguard FTSE Pacific ETF |
| Global | ACWI:USA | iShares MSCI ACWI ETF |
They are calculated by averaging the underlying stock factor returns with trimming of outliers using the Aggregate() function.
For a more traditional cap-weighted industry performance you can either:
NOTE: These are pre-built legacy Industry factors. See About section for important info.
How to recreate Ind factors using the Aggregate() function
1. The starting primary universe is selected. (See the table below.)
2. ADR's and OTC stocks in USA are excluded
3. The underlying stock factor is calculated
4. The values are sorted
5. Outliers are eliminated: 16.5% of values from the top and bottom
6. The remaining values are averaged.
For example to calculate Pr4W%ChgInd using Aggregate() use this:
Aggregate("Pr4W%Chg", #Industry, #Avg, 16.5, #Exclude, FALSE)Alternate: Predefined Taxonomy Time Series
These time series are built compounding cap weighted daily returns of the constituents. They are accessible to technical functions by specified #Industry for the "series" parameter. For example to calculate the 4W% return of the industry use this:
Ret%Chg(20,#Industry)There are also series for #Sector, #SubSector and #SubIndustry. In addition there are distinct series depending on the starting universe region, either: USA, Canada, North America, Europe, or North Atlantic.
NOTE: you can see these time series in the stock pages by selecting a "Taxonomy Benchmark"
About "Ind" Factors
The Region you select determines which universe is used to compute Ind factors (industry averages). Each Region has its own Primary universe.
| Region | Primary Universe used for Ind factors |
|---|---|
| United States, Canada, North America | United States (Primary), excluding ADRs and OTC |
| North Atlantic | North Atlantic (Primary) |
| Europe | Europe (Primary) |
| Global | Global (Primary) |
| APAC & Emerging | APAC & Emerging (Primary) |
Industry averages are always calculated from the region’s Primary universe, not from the specific universe selected in your screen, ranking system, or simulation. This means the averages are the same no matter which universe you use within a region. For example, Easy to Trade US and the S&P 500 both produce identical averages.
United States: averages are calculated from the Primary universe excluding ADRs and OTC stocks.
For other groupings like Sector you can use the Aggregate function (but values will change between different universes).
To read more about why we choose average vs cap-average see the paper Peer Comparison