Is it true that no any ETF ni the Q3000US, Q1500US and Q500US? In which universe can I find the ETFs?

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Is it true that no any ETF ni the Q3000US, Q1500US and Q500US? In which universe can I find the ETFs?

posted Aug 17, 2020

I happened to find out all the securities in Q3000US, Q1500US and Q500US has sector code. This means there is no any ETF in there.

How about a universe contains ETF?

2 responses

The built in universe filters Q3000US, Q1500US, Q500US and QTradableStocksUS only contain common stock and not ETFs or ETNs. You can see the specific definitions of each of those in the documentation.

To find ETFs one must filter by the FactSet EquityMetadata security_type field. ETFs will have a value of 'ETF_ETF'. So, the following will return a pipeline with only ETFs.

def make_etf_pipeline():  
    asset_type = EquityMetadata.security_type.latest

    return Pipeline(  
        columns = {'asset_type': asset_type},  
        screen = asset_type.element_of(['ETF_ETF'])  
    )

There isn't a good way to get the symbol and name for ETFs in pipeline. Normally those can be found in the Morningstar dataset. However, Morningstar doesn't include ETFs. However, they can also be gotten from the asset object after pipeline is run. Check out the attached notebook for how that can be done if desired.

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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.

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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.