Finding Historical ETF Holdings and Constituent Changes
Summary
The document addresses where a researcher might obtain ETF holdings histories, including records of when securities enter or leave a fund. It points to ETF providers’ own websites, which may publish holdings as part of their disclosure practices, and to the Financial Times data archive as a possible source for historical data. It also names Quantpedia and QuanShare as places to investigate for market data and suggests checking whether a university already has access to relevant databases.
The response highlights a practical obstacle: collecting records separately from many fund websites can be labor-intensive when a large sample is needed. For broader historical coverage, it suggests exploring commercial data services, with Morningstar given as an example, and asking a university about subscription funding. The document does not compare source coverage, update frequency, historical depth, licensing terms, or data quality, and it does not establish that any one source supplies complete constituent-change histories. Researchers would need to verify availability and suitability for their sample and study period.
Key ideas
- ETF provider websites may publish fund holdings under disclosure requirements.
- Collecting holdings from individual fund websites can be arduous for large samples.
- The response suggests investigating a financial data archive and specialist historical-data directories.
- University databases or paid services may provide another route to historical holdings information.
- The document does not verify coverage, history depth, or licensing for the suggested sources.
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Full text
# Where can one get data concerning ETF holdings and changes in their holdings? # Where can one get data concerning ETF holdings and changes in their holdings? I am trying to write my masters thesis in finance and my topic will be ETF related. I wanted to ask whether it is possible to find data for an empirical analysis for my thesis. I have been searching far and wide on the Internet but it seems people either have no idea or not many deal with this topic. I wanted to ask whether someone can give me an advice on data access concerning ETFs. What I am more precisely looking is data on ETFs which include their holdings and information about the change of the holdings, when a certain stock was integrated in the ETF and when it was dropped by the ETF creator. Thanks in advance guys, any comments will be appreciated. ## Answer by Hamish Gibson (score 1) https://quant.stackexchange.com/a/53808 So according to this source here, ETFs are required to publish the type of data that they are looking for, they sometimes go on to publish such data on their own websites https://www.sec.gov/investor/alerts/etfs.pdf. But navigating to each ETFs own website and trying to source all this data is clearly arduous and not worth pursuing if large quantities of it is required. A source that doesn't seem obvious would the Financial Times, their data archive appears sound and data could be sourced directly or webscraped: https://markets.ft.com/data/archive Don't forget about sources such as Quantpedia: https://quantpedia.com/links-tools/?category=historical-data as well as QuanShare: https://www.quantshare.com/sa-466-download-historical-eod-data-for-the-stock-futures-etf-and-forex-markets. I hope these sources help, if not perhaps even ask your University and see if they have historical data! If they don't, see if they could allocate some funds for you to subscribe to datasources that have come with a premium- such as MorningStar. Hope this helps.
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