Is there a clever way of combining Europe and US large cap universes? A simple mktcap filter won’t work since US stocks are much larger than Europe, so US would dominate. Is there a way of taking top 1500 from US (S&P500) and top 600 from Europe like STOXX600?
Create a universe and set the Starting Universe to "North Atlantic (Primary)"
Add this rule: Universe(EU600) or Universe(SP500)
The Universe codes are here if you want the code for SP1500 or others: www.portfolio123.com/doc/doc_detail.jsp?factor=Universe
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This is another option if you wanted the top 500 by Mktcap from each group you define. In this case the groups are US Companies and Non-US companies. Use the North Atlantic universe.
ShowVar(@group, Eval(Country("USA")=True, 0, 1))
FOrder("mktcap",#GroupVar) <= 500
You could nest additional Eval statements if you wanted to add groups for additional countries.
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