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I want to generate a table of ETFs listed in the US and declared benchmarks. The idea is that I want to have the possibility to use the benchmark as a proxy of the ETF to run longer backtests when appropriate.

Among cheap data vendors, there is a nice table provided by ETF Global on Quandl that does the job. However, there is no ISIN or SEDOL for the ETFs and no identifiers for the benchmark, making not possible to automatically download the corresponding total return time series from Thomson Reuters or Bloomberg afterwards.

I've spent hours with Eikon, Datastream and chatting with the support to create this table using Thomson Reuters data, but many benchmarks are wrong or missing. I do not have access to Bloomberg.

Question: is it possible to retrieve such table from Bloomberg or Thomson Reuters?

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You can find the underlying data for the big indices, such as S&P 500, on our website www.simfin.com, freely available and instantly downloadable as excel.

To this date, we have financial ratios, Financial statements (directly sourced from the SEC's XBRL data and up to 10y back) and stock prices for over 1000+ US companies, which hopefully might provide you some valuable info on generating your table.

For your case, it will be advisable to filter the data regarding the index membership.

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So here's the answer for Bloomberg I suppose plus some extra advice when looking at the data you get from there.

There is the function ETF that lets you screen for ETFs. Unfortunately, I have not found a possibility to screen by benchmark.

Take AGG US Equity as an example. There is the field "FUND_BENCHMARK_PRIM" which points to the BM ticker. (This is what you see when you use the COMP function). With the help of this ticker, you can easily download the bm timeseries.

So what you could try:

  • Export the filter results from the ETF function into excel

  • Download the BM ticker via the Excel BB API

A couple of warnings: If you compare the BM returns to the one of the ETF on Bloomberg via ticker, be aware that the Exchange code DOES matter. On some of them, the ETF is scarcely traded and as a result there are lots of stale prices in Bloomberg. Of course, you could still sell this on the secondary market. Just choose a different exchange with more liquid prices to compare. Or you could look at the NAV instead (also, if you NAV trade the ETFs of course). If you look at Asian or EM ETFs, there is the currency conversion that gives you lots of TE so its better to look twice before jumping to conclusions.

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