Russell 1000 constituents by Emiliano Fraticelli

Emiliano Fraticelli INVESTOR

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Hi!

I'm working as a freelancer for a fund, they asked me to compare the returns of Russell 1000 components vs the returns generated by selecting the top 1000 stocks by mkt cap, equal weighted, rebalanced quarterly. So they want to see if there are differences, since R1000 constituents are generally speaking the top 1000 mkt cap stocks at that moment.

Has QuantConnect the R1000 index? Can I mimic it by downloading from somewhere its historical constituents and importing this data here on QC?

thanks

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Emiliano Fraticelli

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Gahl Goziker

616 ,

Hi Emiliano,

A solution would be to download the ^RUI data from Yahoo Finance, and then read it into an algorithm by importing it as custom data.

Alternatively, the built-in QC500 universe could work. Just a tip, using the C# version of QC500 is faster, just do not add the import in the algorithm script:

from Selection.QC500UniverseSelectionModel import QC500UniverseSelectionModel.

Best,
Gahl Goziker

Emiliano Fraticelli

3.1k ,

Hi Gahl,

https://finance.yahoo.com/quote/%5Erui?ltr=1

does not seem to contain info about the R1000 components, or, at least, there's a link but it seems broken. AND I need historical data, too. Like which were the tickers in R1000 on 8/8/2015(european style date, sorry)? And on 15/3/2010?

Emiliano Fraticelli

3.1k ,

For what regards the QC500 universe..well it's not the Rusell 1000! The R1000 has 1000 tickers, rebalanced by mkt cap every a certain amount of time

Jared Broad

Feel free to customize its open sourced code to your needs Emiliano.

Emiliano Fraticelli INVESTOR

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