Simulating S&P 500, Russel 1000, Russell 3000 in Research¶

It is fairly common in Research to want to run analyses on well known indices. Here are code snippets that try to approximate the S&P 500, Russell 1000, and Russell 3000 Indices. If you want to know more about each index's construction check out the links below.

S&P 500¶

S&P 500 Construction Methodology

import datetime
from sqlalchemy import or_

fundamentals = init_fundamentals()

sp_500 = get_fundamentals(
                        query(fundamentals.valuation.market_cap,
                             fundamentals.company_reference.primary_exchange_id)
                        .filter(fundamentals.valuation.market_cap > 4e9)
                        .filter(fundamentals.company_reference.country_id == "USA")
                        .filter(or_(fundamentals.company_reference.primary_exchange_id == "NAS", fundamentals.company_reference.primary_exchange_id == "NYS"))
                        .order_by(fundamentals.valuation.market_cap.desc())
                        .limit(500),
                        today)  # S&P 500 rebalances on an as needed basis, so we'll just use today

Russell 1000¶

Russell Indexes Construction Methodology

import datetime
from sqlalchemy import or_

fundamentals = init_fundamentals()

russell_1000 = get_fundamentals(
                        query(fundamentals.valuation.market_cap,
                             fundamentals.company_reference.primary_exchange_id)
                        .filter(fundamentals.company_reference.country_id == "USA")
                        .filter(fundamentals.valuation.market_cap > 30e6)
                        .filter(or_(fundamentals.company_reference.primary_exchange_id == "NAS", fundamentals.company_reference.primary_exchange_id == "NYS"))
                        .order_by(fundamentals.valuation.market_cap.desc())
                        .limit(1000),
                        "2015-05-31")  # Russell reconstitutes on the last day in May

Russell 3000¶

Russell Indexes Construction Methodology

import datetime
from sqlalchemy import or_

fundamentals = init_fundamentals()

russell_3000 = get_fundamentals(
                        query(fundamentals.valuation.market_cap,
                             fundamentals.company_reference.primary_exchange_id,
                             fundamentals.company_reference.country_id)
                        .filter(fundamentals.company_reference.country_id == "USA")
                        .filter(fundamentals.valuation.market_cap > 30e6)
                        .filter(or_(fundamentals.company_reference.primary_exchange_id == "NAS", fundamentals.company_reference.primary_exchange_id == "NYS"))
                        .order_by(fundamentals.valuation.market_cap.desc())
                        .limit(3000),
                        "2015-05-31")  # Russell reconstitutes on the last day in May