I know mutual fund data can easily be found on CRSP or Thomson Reuters, but where can I find solid ETF data, specifically their flows?
$\begingroup$
$\endgroup$
1
-
2$\begingroup$ Bloomberg terminals have the .SO (shares outstanding) data for most (all?) ETFs. You can deduce the flows from that. $\endgroup$– experquisiteCommented Feb 15, 2016 at 19:47
Add a comment
|
1 Answer
$\begingroup$
$\endgroup$
There is no easy answer to this question. Several providers do provide partial solutions, but nothing that could be considered research-grade like CRSP's mutual fund data. Beyond holdings and flows, there are all sorts of variables one could be interested in when looking at ETFs, e.g. discount to NAV, creation/redemption baskets, etc.
Here's a partial list:
- Thomson Reuters' Lipper, which is now one of the primary sources for CSRP and is more detailed and up to date.
- Factset's ETF Analytics data, which in some cases goes back to 1993.
- Morningstar's historical data, which goes back to 2003.
- CRSP Survivor-Bias-Free US Mutual Fund data, which includes US ETF data. There would be no information about ETF redemption baskets, for example.
Most of these options, except CRSP, cost in the hundreds of thousands of dollars a year. Depending on your purpose/affiliation/profile you could also try reaching out to the largest players and ask for historical data, which would not be exhaustive but probably a lot cheaper.
Note that I do not have access to all of this data and that the coverage can vary quite a bit between vendors. You should reach out to them for a sample and access to the data dictionary for their products. Sadly the marketplace for financial data is not very efficient.
