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

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Accepted answers

jonathan.legrand

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:

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.

All comments

jonathan.legrand

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:

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.

Anufriyev

Dear @jonathan.legrand , interesting answer. Could you recommend a way how a user could follow any updates/changes in the api? e.g. how could I noticed your example on my own?

jonathan.legrand

Hi @Anufriyev; The Data Item Browser is the best tool to keep up to date with available fields. Pleaase note that it works for the Refinitiv Data API and Workspace as well as the Eikon Data API Eikon. I'm afraid that there is no 'notification' setting to be notified of new implemented datasets...

You can also have a look at the Data Catalogue, but again, no 'notification' setting:

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