WRDS Country Indices

Recently I had a look at some relatively new WRDS (Wharton Research Data Services) databases that have been created concerning indices. The databases are available through the main WRDS screen via World Indices by WRDS. The databases contain country total return data based on indices that they have created for over 40 countries. The available frequency for the data is Daily and Monthly and they could possibly serve as alternatives to existing country indices. The daily and monthly data are available as separate databases. Additionally it is possible to find out what companies are part of the indices that were created, using the WRDS World Index Constituents part database.

The data that the WRDS Indices are based on, originates from Capital IQ’s Compustat Global Security Daily part database. The (2016) methodology that the data is based on is made available as part of the documentation. It also has an appendix that lists the correlation of the WRDS index for each country with comparable specific country indices.
The main total return data for countries includes two series: country total return data with dividends or without dividends. I did a simple comparison for the Dutch AEX index based on monthly data from the Compustat Global part database with price index data. I compared it to the monthly return data from the WRDS indexes for the Netherlands and they seem to compare pretty good as a representation of stock market developments over time.

N.B.: I used AEX Index prices from Compustat Global to calculate the monthly return using the simple formula: (PriceB – PriceA) / PriceB. Brighter minds then mine can probably think of a better formula to do a more accurate comparison.

 

 

Availbility of the Euro Stoxx 600

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.

FactSet and historical index lists

Somebody asked me recently: is it possible to call up historical lists of an index, for instance: the AEX for an older year? My answer was yes, although I do not think this option is available for all indexes as some of them are proprietary and may require an extra license. I am also not sure how far back index compositions are available.

This is how it works:

• Start up FactSet and click the Universal Screening option
• In the next screen select the option Starter Screen to get to the Basic Start Screen
  
• Remove the example S&P 500 index and in the Add criteria box search for the index: AEX
• Select the option that is presented for Netherlands AEX (Index). The selection of this list will automatically generate a list of companies that are currently part of the AEX index
  
• In the criteria screen now click on the selected index: Netherlands AEX (Index). Clicking the option will make it turn yellow and show the following formula in the criteria search box: FG_CONSTITUENTS(181010,0,CLOSE)
   
• Clicking on this formula calls up a popup that shows more options that can be changed. Replace the zero in the formula with the date of choice to get something like: FG_CONSTITUENTS(181010,1/1/2005,CLOSE)
   
• Changing the formula will generate a new list for the index with the selection of companies in the index of that time

You can now choose to download the list or change it first (by adding columns with static data) and then download the list as you need it

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Compustat & stock indexes

One of the latest expansions to the Compustat databases is the inclusion of more stock indexes to the Compustat Global databases. These indexes are available through the part database Index Constituents. This can be found in the menu on the left side in portal Wharton Research Data Services just the same as the with the North America database:

 

 

More and more indexes keep being added to Index Constituents database. 4 major European index examples are:

Dutch stock index: AEX
GKEYX: 150262
Ticker: I3NLD014
Start index: 1983
Available range: 1994 – now

French stock index: CAC 40
GVKEYX: 150093
Ticker: I3FRA001
Start index: 1987
Available range: 1987 – now

German stock index: DAX 30
GVKEYX: 150007
Ticker: I3DEU003
Start index: 1987
Avalable range: 1993 – now

UK stock index: FTSE 100
GVKEYX: 150008
Ticker: I3GBR049
Start index: 1984
Available range: 2008 – now

Not every index is available from the start of its original beginning but I assume more historical index component data may be added later.

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