Not too long ago a student asked me if a specific index was available and how to get data on it. In this specific case it concerned the Euro Stoxx 600. Initially, I thought of two options (that I have available) to get this type of data: FactSet and Capital IQ’s Compustat Global database.
Option 1: FactSet
This option seemed straightforward. Using the Charting option in the advanced interface (or using the Excel add-in) it is easy to get at the data:
If your research involves specific companies over time that are (or have been) part of the index, then the advanced interface allows you to do this using the Screening option. After selecting the screening option you choose Universal screening and click on the option “Starter Screen”. The default series that is shown is the S&P 500 (Index). To go on from there you remove this index: hover with the mouse over the index and click on the red button to Remove. Use the search bar to find “stoxx 600” and click the index option that is presented (from the list). Initially, the current Euro Stoxx 600 list of companies are presented:
By clicking the series in the Select part of the screen you can get the formula to appear in the search bar. By clicking the formula in the search bar it is possible to call up options that include changing the date, which makes it possible to call up an older (historical) list of constituents for this index:
It does, however, require not just access to FactSet, but also an additional subscription to have access to older constituent lists for Stoxx indexes. Another downside is, that it is not possible to get a list of constituents over a period of time. FactSet only allows you access to lists for specific points in time.
Option 2: Compustat Global
The database is available through the WRDS platform (this requires a separate subscription). The part database Index Prices allows you to search for and downloads index data on an index as a whole. At step two in the search screen it is possible to search for the index code using the option “Code Lookup“:
Looking for stoxx 600 will get you the Dow stoxx 600 code 150376. Using this code it is possible to download price data for this index.
Within the platform it is also possible to browse to the part database “Index Constituents“. The same “Code Lookup” option is available to find the same code: 150376. Using this code it is possible to download historical lists of the companies in this index going back to 2000:
On the face of it, the list from Compustat appears to be the Euro Stoxx 600. Unfortunately, this is not the case. The index was originally introduced in 1998 to represent a proxy of overall (stock) market developments in Europe. It is derived from the STOXX Europe Total Market Index (TMI) and is a subset of the STOXX Global 1800 Index. The joint venture Stoxx Limited provides the Stoxx indexes and was formed as a joint venture. In 2009 Dow Jones exited this joint venture and the Stoxx indexes were now renamed by removing the DJ/Dow Jones prefixes. This means that the Euro Stoxx 600 index available through Compustat may be very similar from 2000 until 2009 but after the demerger will likely deviate from the actual Stoxx 600 indices from Stoxx Ltd. The name in the download still indicates Stoxx Indices, however, which may cause confusion as to which index it is. At this point in time the actual indices from Stoxx Ltd are not available (anymore) through Capital IQ’s Compustat in WRDS.
Filed under: Compustat, Data quality, FactSet, Stock index | Comments Off on Availbility of the Euro Stoxx 600