How To Weight By Fundamental Value?

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How To Weight By Fundamental Value?

Jamie Veitch (Azure Hawk)

posted

Hi,

I was wondering if it was possible to weight the stocks by their FCF Yield value.

I know it would be something along the lines of:

weight = (this_stocks_value)/(sum_of_all_values)

However, I'm not entirely sure how to do this, can someone show me how? I'm aiming to assign a higher weight to stocks with a higher FCF Yield.

4 responses

Some routes to consider, log values preview, and comments in the code.

I would use this:

def to_weights(factor):  
    demeaned_vals = factor - factor.mean()  
    return demeaned_vals / demeaned_vals.abs().sum()

Ah, I forgot. The pipeline factors have the .zscore() method too.

Jamie Veitch (Azure Hawk)

Thank you very much for your help

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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 Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.