Where to find sub-aggregate information about stock market?

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FrugalPatat
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Where to find sub-aggregate information about stock market?

Post by FrugalPatat »

It is unclear to me where to find sub-aggregate information about levels between the entire market and that of individual stocks.

With sub-aggregate information I mean aggregate information about 'components' of the stock market; especially in relation to the 'whole' of the stock market; a good example is this image from John Hussman's site: https://www.hussmanfunds.com/wp-content ... 91120b.png

A 'component' could be anything (sectors, factors, P/E deciles, ... but doesn't have to have a word for it). I'm not looking look for anything specific, just component-level information, data or visualisations ...


Where do you find this kind of stuff?

jacob
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Re: Where to find sub-aggregate information about stock market?

Post by jacob »

Generally you pay $$$$$ for it. Data is rather expensive and the more you can afford the more detail you get. This is why academic research lack that of practitioners by a couple of decades. As amateurs, we generally don't have $25000 lying around to pay for the annual subscriptions. One of the cheaper providers is ycharts lite at "only" $200/month.

There are two ways to ghetto a solution for free. You can build your own scraper, but websites generally don't like that. Alternatively, use googlesheets + googlefinance. This also has an upper limit to the number of entries you can pull. More importantly, numbers are delayed, sometimes wrong, or missing entirely (in fact cleaning data is a big part of quantitative work).

Tyler9000
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Re: Where to find sub-aggregate information about stock market?

Post by Tyler9000 »

The best free source I know of for stuff like this is the data library published by Kenneth French. It's primarily for factor research, but you can find lots of company data sorted by decile similar to the chart in the OP.

daylen
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Re: Where to find sub-aggregate information about stock market?

Post by daylen »

A middle ground between a subscription and DIY could be using an API that only charges for the data you need? I haven't really looked into it, though. I wonder what the rules are for reselling financial information.

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