Subject: Real Estate Sector: SIP changes and GTR1
TopLineFirst's field [RealEstate] can continue to be used with no change. The field [stypRealEstate] can also be used, with about 80% overlap with [RealEstate].
TopLineFirst posted a field to handle the 2018 SIP industry change:
RealEstate: pref(if(trbc2.s=60,1,if(trbc7.s=5540201!5540202!5540301!5540302!5540303!5540304,1,0)),if(incd.s=933,1,0))
http://www.datahelper.com/mi/s...
TopLineFirst's [RealEstate] can be used with both the 2023 SIP data and today's SIP data. (The field [trbc7.s] had 7 digits in the 2023 SIP data, and has 5 digits today. The Real Estate sector number did not change (trbc2.s=60).) The number of S&P 1500 stocks in the Real Estate sector increased from 27 to 121 in the last 20 years (using SIP data), and fell to 108 with the new SIP data (13 Mortgage REITs were moved to the Finance sector).
Security Type can also be used to find Real Estate stocks:
stypRealEstate: if(styp.a=18!48,1,0)
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The screen {RealEstate2024} compares the 2 fields [RealEstate] and [stypRealEstate]. Stocks passing step2 are in the Real Estate sector according to either trbc2 or styp. Stocks passing step3 are in the Real Estate sector according to both trbc2 or styp. The Jaccard Index (intersection size over union size) is also calculated.
Define {RealEstate2024}
Create [sumFlags]: [[RealEstate] + [stypRealEstate]]
Create [JaccardIndex]: [[# Eligible at step4]/[# Eligible at step3]]
step0: [S&P 1500 Member] == 1
step1: [Max([SI Sales Q1], [SI Sales Y1])] > 0
step2: [sumFlags] >= 1
step3: [sumFlags] == 2
step4: [JaccardIndex] != -987
https://gtr1.net/2013/?~RealEs...
The Jaccard Index (IoU) using [RealEstate] and [stypRealEstate] was beetween 78% and 93%.
There was only 1 RE stock in the S&P 1500 before 20011009, and IoU was 0%.
Between 2002 and 2013, IoU was about 90%.
Something happened in early 2014 to decrease IoU to 78%.
The SIP 2018 data change increased IoU to 93%.
The SIP 2024 data change decreased IoU to 79%.
IoU IoU
From To Average StdDev
19970902 20011009 0% 0%
20011010 20140126 90% 3%
20140127 20181028 78% 3%
20181029 20241006 93% 2%
20241007 20241204 79% 0%
With the latest SIP data, there are:
97 stocks with [RealEstate]= 1, [stypRealEstate]=1.
11 stocks with [RealEstate]= 1, [stypRealEstate]=0.
16 stocks with [RealEstate]= 0, [stypRealEstate]=1.
There are 97 stocks where the fields agree, and 27 stocks where the fields disagree. IoU is 97/124 = 78%. About half of the disagreement is from Mortgage REITs. With the latest SIP data, there are:
13 stocks with [RealEstate]= 0, [stypRealEstate]=1, trbc7.s = 40204.
402040 "Mortgage Real Estate Investment Trusts (REITs)"
Removing these 13 stocks would change IoU to 97/111 = 87%.
https://gtr1.net/2013/?~RealEs...