fundamental-classification

name

fundamental-classification

description

Use to look up the exact path or spelling of any Morningstar ASSET CLASSIFICATION field on a QuantConnect/LEAN `Fundamental` object — everything under `f.asset_classification.*` (Morningstar sector / industry-group / industry codes, style box, financial health grade) — plus the named code constants (`MorningstarSectorCode`, `MorningstarIndustryGroupCode`, `MorningstarIndustryCode`, ...) the integer `*_code` fields compare against. Triggers — "path to sector code / industry group code / how do I filter to Technology / SIC or NAICS code". For other field families start at the equity-fundamental-data skill.

Asset-classification fields and code constants — Fundamental data points

Full path from the snapshot f with the field's description — copy the path rather than guessing from English names; a wrong path wastes a backtest run. The path-reading rules and the index of all field-family skills are in the equity-fundamental-data skill.

Reading the paths

• A path ending in .[value 1M 2M 3M 6M 9M 12M] is a MultiPeriodField — append one period accessor to read the number. .value is the most recent reported period; the 1M–12M tokens are .one_month .two_months .three_months .six_months .nine_months .twelve_months respectively (trailing-twelve-month at 12M). e.g. f.financial_statements.income_statement.net_income.twelve_months. Forgetting the accessor is silent — the wrapper compares as truthy and numeric inequalities give nonsense.
• A path with no bracket is read directly. e.g. f.valuation_ratios.pe_ratio.
• The integer *_code fields compare against the named constants in the Classification code constants section at the end, e.g. f.asset_classification.morningstar_sector_code == MorningstarSectorCode.TECHNOLOGY.

Data points

Data point	Description
f.asset_classification.stock_type	The purpose of the Stock Types is to group companies according to the underlying fundamentals of their business. They answer the question: If I buy this stock, what kind of company am I buying? Unlike the style box, the emphasis with the Stock Types is on income statement, balance sheet, and cash-flow data-not price data or valuation multiples. We focus on the company, not the stock. Morningstar calculates this figure in-house on a monthly basis.
f.asset_classification.style_box	The Morningstar Equity Style Box is a grid that provides a graphical representation of the investment style of stocks and portfolios. It classifies securities according to market capitalization (the vertical axis) and value-growth scores (the horizontal axis) and allows us to provide analysis on a 5-by-5 Style Box as well as providing the traditional style box assignment, which is the basis for the Morningstar Category. Two of the style categories, value and growth, are common to both stocks and portfolios. However, for stocks, the central column of the style box represents the core style (those stocks for which neither value nor growth characteristics dominate); for portfolios, it represents the blend style.
f.asset_classification.growth_grade	The growth grade is based on the trend in revenue per share using data from the past five years. For the purpose of calculating revenue per share we use the past five years' revenue figures and corresponding year-end fully diluted shares outstanding; if year- end fully diluted shares outstanding is not available, we calculate this figure by dividing the company's reported net income applicable to common shareholders by the reported fully diluted earnings per share. A company must have a minimum of four consecutive years of positive and non-zero revenue, including the latest fiscal year, to qualify for a grade. In calculating the revenue per share growth rate, we calculate the slope of the regression line of historical revenue per share. We then divide the slope of the regression line by the arithmetic average of historical revenue per share figures. The result of the regression is a normalized historical increase or decrease in the rate of growth for sales per share. We then calculate a z-score by subtracting the universe mean revenue growth from the company's revenue growth, and dividing by the standard deviation of the universe's growth rates. Stocks are sorted based on the z-score of their revenue per share growth rate calculated above, from the most negative z-score to the most positive z-score. Stocks are then ranked based on their z-score from 1 to the total number of qualified stocks. We assign grades based on this ranking. Stocks are assigned A, B, C, D, or F. Morningstar calculates this figure in-house on a monthly basis.

Classification code constants

MorningstarSectorCode

Value	Description
BASIC_MATERIALS	Companies that manufacture chemicals, building materials, and paper products. This sector also includes companies engaged in commodities exploration and processing.
CONSUMER_CYCLICAL	This sector includes retail stores, auto and auto-parts manufacturers, restaurants, lodging facilities, specialty retail and travel companies.
FINANCIAL_SERVICES	Companies that provide financial services include banks, savings and loans, asset management companies, credit services, investment brokerage firms, and insurance companies.
REAL_ESTATE	This sector includes companies that develop, acquire, manage, and operate real estate properties.
CONSUMER_DEFENSIVE	Companies that manufacture food, beverages, household and personal products, packaging, or tobacco. Also includes companies that provide services such as education and training services.
HEALTHCARE	This sector includes biotechnology, pharmaceuticals, research services, home healthcare, hospitals, long-term-care facilities, and medical equipment and supplies. Also include pharmaceutical retailers and companies which provide health information services.
UTILITIES	Electric, gas, and water utilities.
COMMUNICATION_SERVICES	Companies that provide communication services using fixed-line networks or those that provide wireless access and services. Also includes companies that provide advertising & marketing services, entertainment content and services, as well as interactive media and content provider over internet or through software.
ENERGY	Companies that produce or refine oil and gas, oilfield-services and equipment companies, and pipeline operators. This sector also includes companies that mine thermal coal and uranium.
INDUSTRIALS	Companies that manufacture machinery, hand-held tools, and industrial products. This sector also includes aerospace and defense firms as well as companies engaged in transportation services.
TECHNOLOGY	Companies engaged in the design, development, and support of computer operating systems and applications. This sector also includes companies that make computer equipment, data storage products, networking products, semiconductors, and components.

MorningstarIndustryGroupCode

AGRICULTURE, BUILDING_MATERIALS, CHEMICALS, FOREST_PRODUCTS, METALS_AND_MINING, STEEL, VEHICLES_AND_PARTS, FURNISHINGS, FIXTURES_AND_APPLIANCES, HOMEBUILDING_AND_CONSTRUCTION, MANUFACTURING_APPAREL_AND_ACCESSORIES, PACKAGING_AND_CONTAINERS, PERSONAL_SERVICES, RESTAURANTS, RETAIL_CYCLICAL, TRAVEL_AND_LEISURE, ASSET_MANAGEMENT, BANKS, CAPITAL_MARKETS, INSURANCE, DIVERSIFIED_FINANCIAL_SERVICES, CREDIT_SERVICES, REAL_ESTATE, REI_TS, BEVERAGES_ALCOHOLIC, BEVERAGES_NON_ALCOHOLIC, CONSUMER_PACKAGED_GOODS, EDUCATION, RETAIL_DEFENSIVE, TOBACCO_PRODUCTS, BIOTECHNOLOGY, DRUG_MANUFACTURERS, HEALTHCARE_PLANS, HEALTHCARE_PROVIDERS_AND_SERVICES, MEDICAL_DEVICES_AND_INSTRUMENTS, MEDICAL_DIAGNOSTICS_AND_RESEARCH, MEDICAL_DISTRIBUTION, UTILITIES_INDEPENDENT_POWER_PRODUCERS, UTILITIES_REGULATED, TELECOMMUNICATION_SERVICES, MEDIA_DIVERSIFIED, INTERACTIVE_MEDIA, OIL_AND_GAS, OTHER_ENERGY_SOURCES, AEROSPACE_AND_DEFENSE, BUSINESS_SERVICES, CONGLOMERATES, CONSTRUCTION, FARM_AND_HEAVY_CONSTRUCTION_MACHINERY, INDUSTRIAL_DISTRIBUTION, INDUSTRIAL_PRODUCTS, TRANSPORTATION, WASTE_MANAGEMENT, SOFTWARE, HARDWARE, SEMICONDUCTORS

MorningstarIndustryCode

Value	Description
AGRICULTURAL_INPUTS	Companies that manufacture nitrogenous and phosphatic fertilizers, pesticides, seed, and other agricultural chemical products.
BUILDING_MATERIALS	Companies that manufacture construction materials, including stone, clay, and brick products, cement, lime, gypsum, and concrete and other construction products. Excludes companies that manufacture finished and semi finished building products.
CHEMICALS	Chemical manufacturing companies engaged in diverse chemical and chemical-related operations, and basic chemicals manufacturing.
SPECIALTY_CHEMICALS	Companies that use base chemicals to produce value-added chemicals that are used in a variety of products. Includes companies that produce polishes, adhesives and sealants, explosives, printing ink, paint, carbon black, acids, repellants, and cleaning solutions.
LUMBER_AND_WOOD_PRODUCTION	Companies that grow timber, mill lumber, and manufacture wood and wood products for construction.
PAPER_AND_PAPER_PRODUCTS	Companies that manufacture and market paper and paper-related products from wood pulp and other fibers. Excludes companies that produce paper packaging products and are classified in the packaging and containers industry.
ALUMINUM	Companies that produce, refine, market, and distribute aluminum and related aluminum-based products.
COPPER	Companies engaged in the exploration, mining, smelting, and refining of copper ores and related copper products.
OTHER_INDUSTRIAL_METALS_AND_MINING	Companies that mine, refine, produce, smelt, and mill industrial ores, including copper, lead, zinc, radium, vanadium, nickel, tin, titanium, and other related materials.
GOLD	Companies principally engaged in gold exploration, mining, processing, extraction, and smelting.
SILVER	Companies principally engaged in silver exploration, mining, processing, extraction, and smelting.
OTHER_PRECIOUS_METALS_AND_MINING	Companies that mine, refine, produce, smelt, and mill precious metals, including silver, platinum, palladium, diamond, and other related minerals.

MorningstarEconomySphereCode

Value	Description
CYCLICAL	The cyclical Super Sector includes industries significantly affected by economic shifts. When the economy is prosperous, these industries tend to expand, and when the economy is in a downturn they tend to shrink. In general, the stocks in these industries have betas of greater than 1.
DEFENSIVE	The defensive Super Sector includes industries that are relatively immune to economic cycles. These industries provide services that consumers require in both good and bad times, such as healthcare and utilities. In general, the stocks in these industries have betas of less than 1.
SENSITIVE	The sensitive Super Sector includes industries that ebb and flow with the overall economy, but not severely. Sensitive industries fall between defensive and cyclical, as they are not immune to a poor economy, but they also may not be as severely affected as industries in the cyclical Super Sector. In general, the stocks in these industries have betas that are close to 1.