Sparsity in fundamental data metrics

Quantopian's community platform is shutting down. Please read this post for more information and download your code.

Back to Community

Sparsity in fundamental data metrics

edited Feb 10, 2016

Seeking Help Using Data Tools and Tips Feature Request

For one of my algorithms I would like to access the financial_assets of a company, which as I understand includes cash_and_cash_equivalents, and perhaps other related instruments. But then I started looking at how many stocks in the fundamental data had this metric defined. Turns out, very few. cash_and_cash_equivalents on the other hand are defined for almost all stocks. Which means for my algorithm I'm much better off approximating financial_assets as cash_and_cash_equivalents. Financial liabilities (which are represented by the possibly misspelled metric tradingand_financial_liabilities) is defined for only one stock. This seems broken, but then I understand that all balance sheets are not the same. I was hoping however that morningstar or quantopian would make an attempt to compute metric values in places where they are not directly defined.

At the very least, is there a place where the number of defined values for each metric can be looked up? The utility of any given metric is heavily dependent on how many stocks actually define it. I could create a notebook that lists all the metrics and outputs the non-NaN value count, but it would be nice if I could look it up instead.

Thanks!

Sunil

2 responses

Hi Sunil,

No such place exists today pre-built but there was a great notebook created in the past that went through the trouble of listing all the fundamentals fields for use in investigations such as this. You might find it helpful: https://www.quantopian.com/posts/notebook-all-fundamentals-database-fields

Thanks
Josh

Disclaimer

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.

Hi Josh, thanks for the link! I had started doing some investigation on the data that I am planning on using... I've created a notebook covering all the balance sheet metrics. It is pretty crude, but has proven to be quite useful. Unfortunately I can't seem to attach it through the forums UI. As you might imagine it is quite large, and I get a timeout before the notebook can be attached.

I'm in the process of doing the same for all the income metrics.

Sunil

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

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.

About Quantopian

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.