I came across the Industries and Sectors section under Data. How do those values get calculated?
Is it possible to do similar calculations with other stock factors and/or within different universes?
Given G is one of #All, #Sectory, #SubSector, #Industry, #SubIndustry:
Performance and Correlation
These are computed daily using our in-house taxonomy benchmarks. Those can be replicated with rules like Ret%Chg(21, 0, G) and Correl(1, 21, #Bench, G). Period is 1Day=1, 1Wk=5, 1Mo=21, 3Mo=62, 6Mo=125, 1Yr=251.
r 6Mo: Correl(5, 26, #Bench, G)
r 1Yr: Correl(5, 52, #Bench, G)
Since they’re based on precomputed benchmarks, these formulas will only give varying results depending on region, not universe.
Fundamentals and Estimates
These are computed daily with formulas like FMedian("ROE%TTM", G).
(Yield is FMedian("Yield", G, TRUE) to exclude zero.)
You may use formulas like these to calculate any factor from any universe in your systems. Note that, aside from #Previous, cross-sectional functions such as FMedian operate over all universe constituents, not the stocks filtered by rules.
I hope this helps!
There are some limitations and tips to mention if your use case is more involved than this.