3
$\begingroup$

To implement a portfolio generator, I require a set of suitable stocks. Ideally it would use the components of the MSCI World Index and use the index weights for the probability of picking a stock (the system uses heuristics to build a robust portfolio but must be provided with random - but weighted - seed stocks).

Currently, I am improvising by using traded volumes of the 6000 global stocks with the top market capitalization (and weighted by market cap). Since my EOD data source does not even contain market cap, I estimate that by using traded volume, too. Very shaky, e.g. a very volatile but rather negligible stock may end up in my set.

Is there a way to get the MSCI World Index components and weights at moderate costs? Any other suitable index e.g. from the S&P DJ family would be fine, too.

Improve this question
$\endgroup$

1 Answer 1

Reset to default
1
$\begingroup$

This information is available on subscription basis. I had found DJI weights on some site. However, DJI is price weighted, so its component weights change everyday. Using this requires adjustments to the results, hence, not advisable.

Link for S%P Component weights.

Improve this answer
$\endgroup$
1
  • $\begingroup$ Thanks for the link. Subscription - yes, but the subscriptions I found are not exactly tailored to the individual. I only require one good index but cannot spend more than about 200$ / year on the data. Luckily, my EOD provider just recently introduced MarketCap / IssuedShares data fields. I think I will build my own index from this. $\endgroup$
    – TvdH
    May 14, 2014 at 6:48

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Not the answer you're looking for? Browse other questions tagged or ask your own question.