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Hi all,
last weekend I started looking into the US ETF constituents dataset. For some of my algos I want to combine the ETF weights with sector data. I would like to use the sector information for portfolio construction and risk management to e.g. include sector weight constraints relative to the underlying ETF (such as maximum allowed portfolio sector weight deviation from the underlying ETF sector weights). Does anyone know how this could be done?
From what I understand it is currently not possible to combine the ETF constituents dataset with further coarse / fundamental data (in particular sector information). Any advice or help is highly appreciated!
Best,
Adrian
Jared Broad
I think this post does precisely what you're looking for:
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Adrian Haerle
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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