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Upcoming Change to Morningstar Industry and Industry Group Classifications

Hey everyone,

Later this week, we are expecting an update from Morningstar to the way that they classify US companies at the Industry and Industry Group level. The change includes additions, removals, and changes to labels at both the Industry and Industry Group level, but the new classification system will only be applied going forward (the old system will not be retroactively updated). Both the old classification system and the new one are detailed in our documentation (old system / new system).

Please note that if you have any Industry or Industry Group codes hard coded in your algorithms, the behavior of those algorithms on simulation dates after this week might change from what you've seen. However, the behavior on backtest/simulation dates prior to this week should not be changed, since historical data is unaffected by the change.

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4 responses

Thanks Jamie. Just to clarify, will any of the sector codes change or just Industry Group numbering?

Hi Kamran,

According to Morningstar, it's just the Industry and Industry Group classifications that we should expect to see change, not Sector.

Today when submitting an algo to the contest, I got the following error:

Algorithm contains deprecated fundamental fields. Please remove and re-submit.  

As far as I can tell. the only fundamentals field I was using in this algo is Fundamentals.morningstar_industry_group_code.latest. Is this deprecated?

@Viridian: Sorry for the trouble. I don't expect the morningstar_industry_group_code field to be deprecated so I started looking into what might be causing the error. I just tried reproducing the issue but the contest algorithm validation step succeeded without raising the error you mentioned above. Do you have an example that reproduces the issue without revealing your secret sauce? If we can reproduce the issue on our end, we will be in a better place to triage the issue.