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Chaim6
2014-08-12 12:32:01
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I'm trying to use Quantshare to find mutual funds that have been highly correlated with ETFs. This is useful to test a ETF strategy over a longer time period. ETFs have a short history while mutual funds have been around since at least 1930.
The following are some of the issues that I have run into:
* Getting a comprehensive list of mutual fund symbols. All the lists that I have found so far have a limited number of funds per page which would require lot's of manual work.
* Removing secondary share classes
* Removing funds with relatively short histories (>~2004).
What I have tried:
* I tried using Morningstar's tool to find similar funds. It didn't work very well for me because what it calls similar may not be correlated well enough.
* I then tried to create a screen in Morningstar with "Distinct Portfolio Only=Yes", "Fund Inception Date: < 1998" but there are about 30 funds per page with no Ticker symbols.
Any ideas?
I anticipate the following issues:
* Correlating based on monthly data. The Correl() function uses daily data by default.
* Importing the names and categories of these funds. QS allows importing lists of ticker but without names or any other information.
* Getting EOD data prior to 1990. Yahoo Finance does not have the data prior to 1990. Morningstar does but I don't see a way to download it. I would like to get this data for at least through the 1970's.
Thanks
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QuantShare
2014-08-12 13:51:41
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Hi,
- The Correl() function uses daily data by default.
All functions are calculated based on the time frame you choose. When working with monthly data then "Correl" function will be calculated based on monthly data.
- Importing the names and categories of these funds. QS allows importing lists of ticker but without names or any other information.
You can import names and other information using "Symbols -> Import symbols from a file"
- Getting EOD data prior to 1990. Yahoo Finance does not have the data prior to 1990.
Yahoo provides data prior to 1990.
I was able to get data starting from 1974 for MITTX.
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Chaim6
2014-08-12 16:33:55
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Thanks "QS". I didn't know that importing from a file allows names. I will have to try it. Importing symbols just got a whole lot easier. :-)
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I tried using a Monthly time frame in the screener but no symbols showed up. The following is my screen:
PrimaryTicker = GetSeries("AGG",Close);
Cor = Correl(close,PrimaryTicker,36);
filter=1;
AddColumn("Correlation",Cor);
The 77 Mutual funds already in my database are selected and show up with daily time frame. Why don't they show up monthly?
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My goal has been to test various ETF assets during different types of economic periods such as rising rates and stagflation. Ideally I would like to get index prices but indexes don't exist that far back to my knowledge. Second best are category returns. The only place that I have seen them is on Morningstar, which has them in the charts, but I don't see a way to extract the data from the charts. Third best would be mutual fund prices going way back. While Yahoo does have prices for MITTX going back to 1974, the prices for funds that are more interesting because they represent unique asset segments and asset classes such as EKHBX (a high yield bond fund that opened in 1934), PRNEX (T. Rowe Price New Era Fund /Commodities 1969), INIVX Van Eck International Investors Gold Fund Class A 1956, and some other assorted sector funds would be useful. Yahoo finance does not have these numbers accessible for the most part so far back. Morningstar does.
Thanks
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Chaim6
2014-08-12 20:22:12
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Using the 'Import symbols from file' is a good feature but was very confusing. When I left out the comma there was no error. A preview of what's coming in would be helpful.
There was also no button to click to 'import'; only a button to 'create list' which is not what I wanted.
But I finally got it working. Thanks.
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QuantShare
2014-08-13 07:08:07
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The screener is not showing results probably because there are no bars for the date you specified. Select "Bar" instead of "Date".
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Chaim6
2014-08-13 10:29:08
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Selecting Bars workeds.
I'm trying to import another batch of symbols and I spent more than a half hour without success. I don't remember how it worked last time. Where do you click "Import" or "Save New Symbols"?
Thanks.
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QuantShare
2014-08-13 13:06:41
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You just select "Symbols -> Import symbols from a file", specifiy the separator, click on "Load file", set up different fields (in the first line) then click on "Create List".
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Chaim6
2014-08-13 14:36:19
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I got a message that the process cannot access the file ___ because it is being used by another process. Feature request: Please open files to import as read only so that they do not need to be closed in Excel first. (When importing a few batches of tickers it's much more convenient, for example if I want to verify that the tickers were really imported then I would want to look at a couple of tickers in the original Excel file after the import).
Okay. I followed your instructions to import symbols. I got a dialog box "Save Item" with a field to "Type a name". Why would I need to create a custom list if I am trying to mainstream these symbols into the primary database?
Thanks
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QuantShare
2014-08-14 04:45:25
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This is how it works. It creates a list of symbols then adds these symbols in your database.
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Chaim6
2014-08-14 12:41:03
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I finally have names for tickers! Thanks.
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