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Reconstructing Point-in-Time Sector Fundamentals from ETF Constituents

Article Quant Q&A · Author: rubikscube09
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Summary

The document asks where to obtain historical GICS sector fundamentals, particularly point-in-time price-to-book ratios. Reconstructing those values from individual companies would require knowing which securities belonged to each sector at each date, making historical constituent data a central part of the task.

A reply suggests using publicly available information about MSCI and S&P 500 exchange-traded funds and points to constituent data files as a possible starting point. This is a sourcing lead, not a ready-made fundamentals dataset or a complete reconstruction procedure. The document does not explain how to combine constituent histories with company-level accounting data, handle reporting dates, or avoid look-ahead bias, and it does not establish that the cited files cover every sector or period of interest.

Key ideas

  • Point-in-time sector price-to-book data requires historical sector membership information.
  • Reconstructing sector fundamentals from company data is complicated by changing constituents.
  • Public ETF constituent records for MSCI and S&P 500 products are suggested as a potential input.
  • The reply offers a data lead rather than a complete method or validated dataset.

Tags

EquitiesFactor investingPortfolio construction
Full text
# Historical Fundamentals Data for Sectors


# Historical Fundamentals Data for Sectors












I am interested in a one-time download of GICS sector (e.g. XL- etfs) historical fundamentals data (in particular, point-in-time price/book ratios). Does anyone know where this can be found? I am willing to pay of course, assuming things are priced reasonably. I was considering reconstructing this using individual equity fundamental data, but this would be challenging as I'd need to know the composition of each sector at every point in time.

## Answer by Si Chen (score 1)

https://quant.stackexchange.com/a/68255

We built this from publicly available information about ETF's for MSCI and S&P 500. Look for the CSVs which say "constituent" here: https://github.com/opentaps/open-climate-investing/tree/main/data

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.