DarthSidious, I don't use that info and if there is an easy listing somewhere I wouldn't know. An idea would be to use your charting app (Amibroker/Amiquote will do it) to download "Fundamental" data from Yahoo, which gives you Outstanding and Free float shares. Multiply with share price and divide by total market cap of your basket to get the market cap weight or float weight.
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S&P 500 Constituents - GICS Sector, Industry Group, and Industry Classification
- Thread starter dareminator
- Start date
DarthSidious, I don't use that info and if there is an easy listing somewhere I wouldn't know. An idea would be to use your charting app (Amibroker/Amiquote will do it) to download "Fundamental" data from Yahoo, which gives you Outstanding and Free float shares. Multiply with share price and divide by total market cap of your basket to get the market cap weight or float weight.
Yahoo lists both outstanding and free float. I don't know how accurate it is. The resolution is fairly low (IBM is displayed as 1.28 B). You can use Amibroker/Amiquote, and probably many other charting apps, to download and automate your calculations.Quote from johnnyqpublic:
... but no access to public float information. Is this hard to come by, or am I looking in the wrong places?
Have also done some work using Eureqa (http://ccsl.mae.cornell.edu/eureqa) to calculate the weightings, but at present it's not possible as >256 variables, and secondary constraints, are not supported.
Eureqa looks like one neat technology. Thanks for the pointer.
Quote from dareminator:
Yahoo lists both outstanding and free float. I don't know how accurate it is. The resolution is fairly low (IBM is displayed as 1.28 B). You can use Amibroker/Amiquote, and probably many other charting apps, to download and automate your calculations.
Eureqa looks like one neat technology. Thanks for the pointer.
Thanks for the Yahoo tip. A little more poking around led me to Bloomberg's site, which has the float numbers in greater precision, as well as info for some stocks that Yahoo lacks, such as BRK/B.
I've got some Ruby+Nokogiri code to pull float information (could be used to pull any field Yahoo or Bloomberg exposes) from the command line, if anyone would find it useful.
Quote from WinstonTJ:
Do you have the weightings
This guy http://web.archive.org/web/20080731201706/http://www.indexarb.com/indexComponentWtsSP500.html used to publish a nice list of weightings, but hasn't updated it lately. You might ping him, see if he could help you offline and/or update his site.
Quote from Rodney King:
This guy http://web.archive.org/web/20080731201706/http://www.indexarb.com/indexComponentWtsSP500.html used to publish a nice list of weightings, but hasn't updated it lately. You might ping him, see if he could help you offline and/or update his site.
Following up on my previous post, I've written some code that uses the Bloomberg numbers (and falls back on Yahoo's) to calculate the float-adjusted weightings. The results are here: http://tx-0.org/sp500/
Quote from johnnyqpublic:
Thanks for the Yahoo tip. A little more poking around led me to Bloomberg's site, which has the float numbers in greater precision, as well as info for some stocks that Yahoo lacks, such as BRK/B.
I've got some Ruby+Nokogiri code to pull float information (could be used to pull any field Yahoo or Bloomberg exposes) from the command line, if anyone would find it useful.
Hi Johnnyqpublic
I would be keen to take a look at your code if you can email it to me. Thanks