MorningstarIndustryCodes ... lookahead bias free?

Hi Tom,

in principle, the asset classification will change if necessary, since Morningstar doesn't add look-ahead bias. However, we don't have a case study of asset classification.No matter what data you request, you receive it in the order created according to simulated algorithm time. By only letting your algorithm see the present and past moments, we can prevent the most common quantitative-analysis error, look-ahead bias.

Refer to the following doc for more information

.Best,

Varad Kabade

Sorry Varad, i'm not sure I follow. Let me try to rephrase: are the current morningstar classifications static throughout quantconnect's equities history? I.e., if i go back to, say, 2002 - are the current morningstar classifications the same as they were then? If not - i.e., if morningstar made changes over this period - does quantconnect reflect this?

As a toy example, say that company XYZ was a “financials” company in 2015. In 2016 Morningstar added a subcategory - REITs - and it defined company XYZ as a REIT. So, currently if i lookup the classification for XYZ it will say REIT. Would a quantconnect backtest show it as a financials company in 2015 (prior to the change) and then a REIT in 2016 (post change), or would it just be a REIT throughout?

Thanks

Tom

Hi Tom

We will only reprocess the historical data if Morningstar did so. However, this has not happened before.

Best
Louis

Thanks Louis. Two follow ups:

1) When you say you will only reprocess data if Morningstar does so. Just to be clear, you would leave historical classifications untouched and just alter going forward, correct? E.g., if stock XYZ has been a “Financials” stock historically but MS made a change and henceforth will be a “Real Estate” stock, I assume you'll leave XYZ as a Financials stock for days prior to the change?

2) When you say this has not happened before - do you mean since you added Morningstar data in 2019? Or are you saying their data classification schema has been unchanged since 1998? Just want to clarify what you mean here, as I imagine morningstar have made changes over this period (but I could be wrong).

Thanks

Tom

Hi Tom M

We do daily incremental updates, and also monthly reprocessing. So, it is solely dependent on Morningstar. Yet, they didn't change any past data before.

Best
Louis