Go to Research / Imported Stock Factors. Give your factor a name. Then upload a CSV file with the following format: in the date column put the starting and ending dates; in the value column put 1 for in the list and 0 for not in the list; in the ticker column put the ticker. Make sure to use the correct date format.
Let’s say your imported stock factor is called inlistxx. Then add to your universe rules simply $$inlistxx.
That should do the trick. If it doesn’t, please let me know.
If I set universe = benchmark, all of the stocks in the benchmark should be picked and the annual returns should match, correct? In other words, the screen should pick all of the stocks in the NASDAQ 100 and it should match the index.
Here is what I get with universe and benchmark both = NASDAQ 100
Screen: 9.19%
Benchmark: 10.24
Why the difference? Does it have something to do with dividends?
There could be various reasons for the difference:
Weighting. Screens rebalance to equal weight at the end of every period. The NASDAQ 100 is cap-weighted.
Reconstitution schedule. The NASDAQ 100 gets reconstituted every December; it’s possible that your screen’s reconstitution schedule is slightly different.
Missing or extra stocks. Because of data vagaries, sometimes we have slightly fewer or more than 100 stocks in the NASDAQ 100.