conclusion: no ETF's in morningstar data. Prev title: List of ETF's from morningstar (or anywhere?)

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posted Jun 25, 2015

Well, I did find this: https://www.quantopian.com/help/fundamentals However, it is making me think there is no ETF data in the morningstar data...

security type Each security will be assigned to one of the below security type classifications; Common Stock (ST00000001) Preferred Stock (ST00000002)

stock_typeThe purpose of the Stock Types is to group companies according to the underlying fundamentals of their business. They answer the question: If I buy this stock, what kind of company am I buying? Unlike the style box, the emphasis with the Stock Types is on income statement, balance sheet, and cash-flow data—not price data or valuation multiples. We focus on the company, not the stock. Morningstar calculates this figure in-house on a monthly basis.

Right now I am trying to get a list of ETF's and follow certain fundamental critera.
Was thinking it may be stock_type or security_type. Where is the documentation of the morning star data? All I can find is the little bit on the API from the help. It would be great to just have some list of all fields and a few sample values. Or a way to look up a stock and see all the morning star data on it. Is there a way to do that?

dfFund = get_fundamentals(  
      query(  
            fundamentals.asset_classification.stock_type,  
            fundamentals.share_class_reference.security_type,  
            fundamentals.valuation.shares_outstanding,  
            fundamentals.valuation.market_cap  
      )  
      .filter(fundamentals.asset_classification.stock_type = "ETF"  
      .filter(fundamentals.valuation.market_cap < 2000000000 )  
      .order_by(fundamentals.valuation.market_cap.desc())  
      .limit(500)  
   )

5 responses

Lincoln Probst

Jun 25, 2015

Tried to use the debugger -- just shows stock-type resolves to some code that needs to be interpreted... and security type is the same deal.

DataFrame:  
security           Security(13891 [LXK]) Security(8284 [WSM])  \  
stock_type                             7                    4  
security_type                 ST00000001           ST00000001  
shares_outstanding              78102426            105950000  
market_cap                    1991611863           1985655035   

security           Security(7414 [TFX]) Security(27669 [WBMD])  \  
stock_type                            3                      1  
security_type                ST00000001             ST00000001  
shares_outstanding             39727071               57713567  
market_cap                   1976421782             1972085205   

security           Security(19898 [JLL]) Security(8289 [WSO_B])  \  
stock_type                             3                      3  
security_type                 ST00000001             ST00000001  
shares_outstanding              41835565               32043496  
market_cap                    1959996220             1958817435

Lincoln Probst

Jun 25, 2015

Tried this and it gives me nothing. Makes me think there are only companies in the data.

   dfFund = get_fundamentals(  
      query(  
            fundamentals.company_reference.primary_symbol,  
            fundamentals.asset_classification.stock_type,  
            fundamentals.share_class_reference.security_type,  
            fundamentals.valuation.shares_outstanding,  
            fundamentals.valuation.market_cap  
      )  
      .filter(fundamentals.company_reference.primary_symbol == 'SPY' )  
      .order_by(fundamentals.valuation.market_cap.desc())  
      .limit(num_stocks)  
   )

I put a break after this line and use the debugger:

dfFund  
DataFrame:  
Empty DataFrame  
Columns: []  
Index: [primary_symbol, stock_type, security_type, shares_outstanding, market_cap]

André Pajak

Jun 26, 2015

The first paragraph at the address you posted above states:

In addition to pricing data, Quantopian provides access to fundamental data, free of charge. This data, which comes from Morningstar, consists of over 600 metrics measuring the financial performance of companies traded in the US and is derived from public filings made by these companies.

(Emphasis added.). Tough luck.

Josh Payne

Jun 26, 2015

Confirmed. No funds (ETF or otherwise) are included in the data from Morningstar. Sorry to disappoint.

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Lincoln Probst

Jun 26, 2015

Is there any way to limit it in the set_universe or set up any sort of filters in the set_universe ? I haven't seen anything like that. Am thinking i need to step up my game to figure this one out. Here is what I have so far:
Quandl - wiki data doesn't have funds either, only US Listed companies.
Google finance - has the data but no easy way to query it. https://www.google.com/finance?q=etf&restype=company&noIL=1
morningstar website has the data... http://news.morningstar.com/etf/Lists/ETFReturns.html
etf.com - This also is a fabulous source. http://www.etf.com/etfanalytics/etf-finder I think this is the winner. 1740 ETF's, they show the expense ratio, Assets-Under-Management, have a great filter. Am going to use the 583 US Equity ETF's and reduce that based on daily volume/liquidity. Bingo. Hopefully this helps someone else with that same question.

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