How often do you update your investment universe?

Dear All,

Just seeking food for thought on how often do you all update your investment universe? I want to have relatively up to date set of top cap companies in my #170 universe, as the list continues to change, it needs a regular refresh. I aim for once a quarter, but considering once a month. What is you experience though? I think if too often it becomes counterproductive. 

Thanks in advance for your view on this.

Regards,

Pawel

Fully agreed Pawel; the entry strategy is paramount here and deserves special care. I have myself been struggling with that.

No worries :)

Btw - I still think screener is great and massively helpful for initial system / backtest research, simply saves a lot of time - but once you want to go live with a system it is worth going through every ticker one by one and making sure you want them included and in what priority order.

Thanks Pawel! I wouldn't have thought there would be a difference until you brought it up. I'd scrub my list and see what differences I can find. :)

Glanies,

I do it manually - I found some deviations between the list of PY 150 top cap and data coming from the Stock Exchange web site directly (in sequence of capitalization) and there were some instruments included in the 150 screener list I didn't want (ETFs, REITs, Funds) as I wanted pure equity list. I will be probably doing the same now as we have the 200 limit.

I also found that in short term - it is worth updating the list manually - I do it from the beginning and such systems perform better than with the screener filtering. Don't know about monhtly vs quarterly refresh - as I've been using PY for 2 months now.

Hope that's helpful

Thanks!
Pawel

Hi Pawel,

Thanks for sharing, and for sharing your example of having a delta of ~15 equities. 

How did you include 170 stocks in your top cap list? Through the screener, the options are only top 150 and recently top 200. Did you select top 150 from the screener, and then manually add 20 in the backtest page?

Hi Glanies,

Apologies for a late reply. Yes - indeed that's how I would do this. I don't know another way of setting it in existing strategy. I will just create a second backtest (based on the previous one), allow it to run live in parallel to the old one for a few days, and when I'm ready I switch (usually when rebalancing of the old one comes up anyway). E.g. last time I had a delta of ~15 equties that changed in the top cap 170 list and that translated to 3 replacements in the 20 equities invested. 

Give me a shout if you have any thoughts.

Thanks,

Pawel

Thanks for raising this question, Pawel. 

Would updating your investment universe mean running a new backtest and abandoning the existing live strategy? Or is there a way under the settings section to update the investment universe of your existing live strategy? 

Hi Pawel,

No hard and fast rule. Once a month seems a bit too frequent for my liking. Perhaps once a quarter would be more ideal. 

Kind Regards,

The PyInvesting Team