Accessing MSCI World Constituents and Index Weights
Summary
The document considers the data needed to build a globally diversified equity portfolio: MSCI World constituents and weights, prices and historical records, corporate actions, and security identifiers and attributes. Its central practical point is that index membership and weight data can help define a tradeable universe, while clean portfolio construction also depends on reliable extraction, transformation, and loading of data. Errors in asset classification or foreign exchange data can distort a portfolio even when the selection process itself appears sound.
The answer explains the commercial constraint: index providers generally monetize detailed constituent data, so free access is more likely to include current holdings and weights than full history or a complete data package. Such holdings may also include identifiers and descriptive fields. This is a limited sourcing suggestion, not a solution for obtaining daily historical membership, prices, or corporate actions at no cost. The document offers no comparison of providers or evidence that free holdings downloads meet a production system’s data quality needs.
Key ideas
- Portfolio construction requires consistent constituent, price, corporate-action, and security reference data.
- Classification errors can admit unsuitable instruments into an equity universe.
- Foreign exchange data errors can distort the relative weights of assets across countries.
- Free index-provider downloads may offer current holdings and weights, along with identifiers and descriptions.
- Detailed historical index data may be costly or unavailable through free downloads.
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Full text
# Where to get MSCI World Index constituents (+ weights) # Where to get MSCI World Index constituents (+ weights) Where can I download - The MSCI World index constituents and their weights (daily update) - The current prices of the constituents plus three years of EOD (or weekly) history - Corporate actions of the constituents (if the history is not adjusted already) - ISIN, Name, country, currency of the constituent Background: I started working on http://www.aivest.com about ten years ago and the goal is (primarily for myself) to be able to construct a globally diversified stock portfolio after inputting only the investable amount and my home currency. I am about to give up on the project, my main problem is what business intelligence developers call ETL - extract, transform, load. I currently use a data provider that costs about 600 USD per year and there are always surprises, e.g. suddenly a batch of bonds will be listed as stocks and my system will happily select them as highly capitalized stocks. Or: there are errors in the forex data and suddenly Canadian stocks outweigh US stocks. If you look at the selection probabilities (http://www.aivest.com/Statistics) it is currently obvious that something went wrong again. MSFT, AAPL and the likes should be leading in this list. I created my own index from the top capitalized stocks worldwide but that includes stocks that have trade limitations which is bad. One feature of the MSCI World constituents is that they are tradeable and I get a solid list with weights, which would be a dream for my system. But I cannot spend thousands of dollars per year for the MSCI data and use policy, so it will probably remain a dream. Constructing a portfolio without any registration can be tested with user demo and password demo123 (http://www.aivest.com/login). ## Answer by Chris (score 2) https://quant.stackexchange.com/a/47152 As you'd alluded to, selling the data underlying their indexes is the primary way index providers make money aside from ETF licensing. About the best you'll be able to do for free is current holdings with weights--most providers offer a top N list as well as a download of current holdings for most of their indexes. This will likely come with some accompanying set of IDs (ie, SEDOL, ISIN) and descriptive info.
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