Aggregating historical fundamental metrics by ETFs/Index through Refinitiv API

Hi guys,

I would loke to know if there is a smart way to get time series for valuation/fundamental data at etfs/index level.

The only way I found for now is to pull the historical weights and the fundamental/valuation data for each stock and then to aggregate manually, but this is - as you can imagine - not so clean, as some components are dropped, identifiers changes etc.

I have also noticed that, while some fundamental data are available for some constituent lists/indices, some key metrics seem to be missing (for example: historical WACC for the whole S&P500).

Is there any database/functionality, accessible via the refinitiv API, that could help me with that?

I see there is the AGGR functionality on the platform - is there something similar accessible via the API? What's the coverage?

Many Thanks,

Best,

Giorgio



Best Answer

  • [Deleted User]
    [Deleted User] Newcomer
    Answer ✓

    Hi @giorgio.broggi,

    Unfortunately, WACC fields are not populated for ETFs, as you pointed out. However, a new Fundamentals data set was exposed to APIs recently. Their field names all start with TR.F:

    1716992632022.png


    Let me know if you can find what's needed there. You may have to calculate WACC and other such values from fundamentals coming from TR.F fields.


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