ETF constituent movers on a list of dates

arun.sharma3

Given a list of dates, I want the individual returns for each of the constituents of an ETF (for each of those dates)

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Accepted answers

zoya faberov

Hello @arun.sharma3,

Reviewing this previous discussion thread may be helpful with the approach to obtaining this result set.

Next I would tweak/tune the approach to your requirements, and Data Item Browser tool can be helpful to look up available Returns for your target ETF constituents and tune the request:

Therefore, a request similar to:

# obtain constituents at date
df, err = ek.get_data('RPV',['TR.ETPConstituentRIC','TR.ETPConstituentWeightPercent'],{'SDate': '2017-01-03'})
# create a list of constituents at date
list(df['Constituent RIC'])
# request returns per list
df, err = ek.get_data(list(df['Constituent RIC']),['TR.TotalReturn','TR.TotalReturn1Wk'],{'SDate': '2017-01-03'})
df

Would result in:

And if you require this for a list of dates you would run the tuned request per each required date to obtain the results for the date.

Hope this information helps

All comments

zoya faberov

Hello @arun.sharma3,

Reviewing this previous discussion thread may be helpful with the approach to obtaining this result set.

Next I would tweak/tune the approach to your requirements, and Data Item Browser tool can be helpful to look up available Returns for your target ETF constituents and tune the request:

Therefore, a request similar to:

# obtain constituents at date
df, err = ek.get_data('RPV',['TR.ETPConstituentRIC','TR.ETPConstituentWeightPercent'],{'SDate': '2017-01-03'})
# create a list of constituents at date
list(df['Constituent RIC'])
# request returns per list
df, err = ek.get_data(list(df['Constituent RIC']),['TR.TotalReturn','TR.TotalReturn1Wk'],{'SDate': '2017-01-03'})
df

Would result in:

And if you require this for a list of dates you would run the tuned request per each required date to obtain the results for the date.

Hope this information helps

jason.ramchandani01

@arun.sharma3 Please see the following:

dates =['2021-11-01','2021-10-01']
df = pd.DataFrame()

for date in dates:
    cons, err = ek.get_data(['ISF.L'], ['TR.ETPConstituentRIC.calcdate',
                                        'TR.ETPConstituentRIC',
                                        'TR.ETPConstituentName',
                                        'TR.ETPConstituentPrice'],
                                    parameters={'SDate': "'" + date + "'"})
    if len(df):
        df = pd.concat([df, cons], axis=0,ignore_index=True)
    else:
        df = cons

df

I would then get the daily returns separately as Zoya has described above. I hope this can help.

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