What are the Sector ETFs?

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What are the Sector ETFs?

posted

In the post on the Quantopian Risk Model, we are told that "A sector ETF is specified to represent each sector factor." What ETFs are those? Thanks ...

6 responses

Abhijeet Kalyan

Hi @Ted,

Here's the mapping:

Basic Materials: XLB  
Consumer Cyclical: XLY  
Financial Services: XLF  
Real Estate: IYR  
Consumer Defensive: XLP  
Healthcare: XLV  
Utilities: XLU  
Communication Services: IYZ  
Energy: XLE  
Industrials: XLI  
Technology: XLK

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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.

Thank you!

Thanks, Abhi for the ETF Sectors mapping.

Any reason for Real Estate: IYR (not XLRE) and Communication Services: IYZ (not XTL)?

Is there also an overview which stocks are included in which ETF? Thanks.

@Karl Don't know for sure why the use of IYR and IYZ but one reason may be the inception dates for XLRE and XTL are 2011 and 2015 respectively. IYR and IYZ are both 2000.

@Aenig Fett To find out which stocks are included in each ETF it's best to go to the provider website https://www.ishares.com/us and https://us.spdrs.com/en/ Note that the holdings change periodically so what was in a particular basket in 2005 will probably not be there today. Not sure of a good source for past historical holdings if that even makes a difference?

Robin Gane-McCalla

Here's a mapping of sector ETF sid to Morning Star Industry code

context.sector_codes = {'19654':101,'19662':102,'19656':103,'19661':206,'19660':207,  
                '19655':309,'19657':310,'19658':311,'19659':205,'52116':308,'49472':104}

Also worth knowing that

49472 (XLRE) data starts 2015-10-12
and
52116 (XLC) starts 2018-06-19

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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.