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MarketScalpel Sector Structure and Data Methodology

MarketScalpel's research services are based on proprietary, value-added sector data generated by our innovative and proprietary sector database and analytics framework.

This delivers comprehensive primary sector data compiled on a bottom-up basis from a total universe comprising stocks listed on the three main US exchanges. 

Broad Stocks Universe with Market Cap Screen

We currently track approximately 3,700 active, individual stocks, comprising the sector universe. Of these approximately 3,100 are US companies, and the balance Non-US domiciled companies maintaining either a primary or secondary US listing.

Stocks are selected for inclusion in the sector database on the basis of a market cap and liquidity screen, with the list of constituents reviewed and updated quarterly. 

Our universe includes common stocks (or similar such as ADRs) only, and does not incorporate preference shares, structured products or other quasi-equity instruments such as warrants.

This is critical for the high quality of our sector internals data, which reflects solely sentiment towards equities, in contrast to, for example, NYSE exchange-wide data, that includes a high proportion of components correlated with fixed income and non-equity related factors.

Breakdown of Total NYSE Issues by Instrument Type


August 2008

Breakdown of NYSE listed securities by Instrument type; common stocks only account for approx 58%

Sector Structure & Index Approach

The MarketScalpel database maps the stocks universe to a 5 tier hierarchical sector structure, comprising a total of 153 industry groups organized under the 10 standard top level sectors.  The structure is best illustrated by drilling down into the sector nodes on the demo of our Market Navigator online research platform (uses stale data).

The sector structure incorporates lessons from existing index providers.  It most closely resembles the Dow Jones approach, where industries are grouped vertically; in other words for example producers and distributors will appear in the same sector. 

Although this differs from, for example, Bloomberg's more narrow approach, we believe it not only reflects the modern business climate, where supply chain management improvements have eliminated most of the cyclical lag present in vertical industries in the past, but also allows the assessment of  investor sentiment towards industries and sectors defined in the broadest possible sense.

Regional Sector Data

The sector structure is replicated across regional lines.  In this way we produce three separate sector datasets; US Domiciled Companies, Non-US Domiciled and All Domiciles (global sectors) for a total of more than 450 discrete sectors, for which daily time series data are extracted typically starting from 1995.

Sector Data Methodology Highlights

  • Comprehensive, proprietary, quantitative sector data are extracted on a bottom-up basis (see sector data for details)
  • Price Indices are market cap weighted but not free float adjusted, and not designed as a actuarial record, with some survivorship bias in historical data particularly prior to 2002
  • To our knowledge the most comprehensive price index series available from any provider
  • Price Indices are adjusted for special dividends (but not ordinary dividends)
  • Volume data (and sector prices) adjusted for stock splits in sector components
  • History normally starts from the end of 1995, depending on the industry
 


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