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Who are the major suppliers of index data that cover multiple index providers, e.g. MSCI, FTSE, S&P etc?

There are a huge number of people sourcing e.g. equity data, but index data is much harder to come by.

I am only looking for very high level information and at low frequency - the EOD number for each index would almost be enough.

Basic information on the constituents and their weights would also be useful, but in depth analysis and such like of the indexes and their constituents isn't required.

Sites like Yahoo Finance just seem to cover a small number of major indexes, whereas I'm interested in sector indexes and such like that aren't commonly covered, e.g. MSCI World Telecommunication Services.

I am looking for a provider with historical data (going back e.g. 10 years) who will also provide data day-by-day going forward.

Currently I work with a data aggregator who, before they supply particular data, requires us to negotiate agreements directly with the individual index providers, e.g. MSCI or FTSE, rather than handling this on our behalf.

They also provide the data in a highly non-standardized form, e.g. data from MSCI will come in a different form to that from FTSE.

And they only sell the data in very non-flexible bundles, e.g. rather than just buying basic EOD numbers one has to buy a hugely expensive package of in-depth analysis of which these numbers are a tiny part.

It's not that I don't expect to pay for this data - but it would be nicer if possible to pay for just the basic data needed and to have the negotiation with the actual index providers handled behind the scenes by the data provider themselves.

Apologies if you feel this, as a rather commercial question rather than something interesting on e.g. option pricing, isn't directly appropriate to this stack exchange.

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  • $\begingroup$ The licensing of index data depends very much upon usage. Non-professional investor, commercial usage, redistribution, generation of derived data, size of entity using data etc. The terms and conditions for distribution are complex. What sort of entity are you? $\endgroup$
    – Richard at NorgateData
    Sep 2, 2015 at 10:45
  • $\begingroup$ We are interested in this data as a small fintech firm that will use the data in decision making algorithms on behalf of clients (the index data itself will not be redistributed to those clients). $\endgroup$
    – George Hawkins
    Sep 3, 2015 at 10:11
  • $\begingroup$ Usually in academic works, data on US equity comes from CRSP/Computstat and for the rest of the world from Datastream. The data on indexes is usually taken directly from either MSCI or Bloomberg. Check for instance: Asness, Moskowitz and Pendersen (2013). $\endgroup$
    – phdstudent
    Sep 3, 2015 at 13:51
  • $\begingroup$ Did you find the right data provider ? $\endgroup$
    – user18739
    Dec 22, 2015 at 13:21
  • $\begingroup$ @Nim - a little late to be replying but we stuck with Datastream from Reuters. We're using a Reuters product called QAD and the licensing, that has to be arranged with individual index providers, is extremely painful (and for whatever reason index data from MSCI comes in a completely different format from all the others). $\endgroup$
    – George Hawkins
    Jan 3, 2016 at 10:12

3 Answers 3

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I dont know of any provider that fulfills your whole requirements, but perhaps I can give you some useful information.

General thoughts:

  • Some vendors (e.g. MSCI) can have statements in their license agreements that prohibit an entity from storing historical data older than e.g. 3 years. This could be one obstacle in finding a supplier who has full 10 year coverage of all required vendors and indexes. Historical data would probably need to be requested separately which would induce extra cost.

  • The licensing agreements are a big issue here. You would probably need a license for derived data as you use the data in your decision making algorithms. The company that provides the data to you would either need a distribution license or a custom agreement with the vendor for your company and your specific data.

  • Some vendors might not issue license agreements on fractals of theirs portfolio. It is possible that you have to pay for full packages.

Rimes offers index and constituent data from different providers in a format that you can discuss with them (e.g. CSV).

  • As far as I know, you need to provide them with a license up-front as well, so this solution would probably not ease the burden of license agreements. I however can't guarantee this - you would have to contact them to be sure.
  • You would have to pay separately for every index - constituents are not included, but you could buy them for an extra fee. As you said that you need a large number of indexes, the cost could become very high. You would need to find the break-even point between this approach and bulk licensing.

Transparency: I work for this company - not in the sales department

InvestmentDataServices could offer you a unified way to retrieve the data that you need.

  • Customized processing logic could be added to your data exports e.g. forward filling, reports on missing values etc. This could however involve extra development cost - depending on your specification.

  • Maybe it is possible that you can outsource your license negotiations here. At the moment there is no such offering as far as I know, but they are very flexible when it comes to customer requirements.

I am quite sure that both vendors could at least provide you with loads of index data from different providers and custom tailored data files.

But you need to get in contact with them to discuss your requirement and to get a cost estimation to see if it pays off.

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I am not sure of the cost involved or if they have a minimum fee to partner with, but MARKIT (https://www.markit.com/Product/All) has a pretty wide offering. I was at a large investment bank for years and they provided much of the index composition data we used

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Quandl.com is the way to Go. Just have a look !

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    $\begingroup$ Last time I checked Quandl only had price data, is this changed? $\endgroup$
    – Bob Jansen ♦
    Sep 8, 2015 at 21:57
  • $\begingroup$ Much as I like Quandl, as @BobJansen says, I don't think it covers this kind of data. If I search Quandl e.g. for MSCI ACWI or World I find lots of trackers but not the data for the actual indexes themselves. $\endgroup$
    – George Hawkins
    Sep 10, 2015 at 8:04
  • $\begingroup$ You're right Guys, I apologize for that crappy answer. Next time I'll read and think twice before posting. Especially because it seems that we can't delete shameful answers. @BobJansen Quandl has a bit more than price data. You can access stuffs about fundamentals, CFTC's reports, twitter analytics. But lots aren't free. $\endgroup$
    – Capeya
    Sep 25, 2015 at 22:00
  • $\begingroup$ Mistakes happen to all of us, no worries. You should be able to delete but it's counterintuitive, see this: meta.math.stackexchange.com/questions/752/… if that doesn't work: I could do it. $\endgroup$
    – Bob Jansen ♦
    Sep 25, 2015 at 22:05

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