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I hope this question is on-topic. What is a convenient way to get MSCI index performance data from the web? I would be interested in daily performance data of the factor indices momentum, minvol, small cap and enhanced value.

I know that I can download files from MSCI end of day index data search. It is just not conveniant. If I take longer periods I can only use monthly data. But I would like to have at least weekly, preferable daily data. I don't have direct access to Bloomberg at the moment. But can I use the web site of BB to scrape the data? Qandl doesn't offer what I need and I have not seen the data on google finance. Do I have to switch to investable ETFs to get the data? I would like to have the last 10 years.

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  • $\begingroup$ Looking through the elements on this page: msci.com/end-of-day-data-search It doesn't appear like it would be too hard to scrape. $\endgroup$ – amdopt Nov 28 '17 at 14:27
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Index providers typically don't make their data publicly available and you would have to look at the ETFs or mutual funds that track these benchmarks or pay for the index data.

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  • $\begingroup$ Of course one usually has to pay for data like individual stock weights and returns. But just for the index performance I can go to the web page of MSCI and download it for free. So I wonder whether there is an auomatic way to do it. I would like to avoid the manual handling. $\endgroup$ – Richard Nov 22 '17 at 7:22
  • $\begingroup$ @Richard Outside of what's provided on yahoo or google unfortunately no easy way $\endgroup$ – pyCthon Nov 28 '17 at 0:20
  • $\begingroup$ @Richard, I'm pretty sure you can use certain Python libraries for the web scraping (BeautifulSoup), data cleaning and exporting as a CSV file (Pandas). This essentially would automate the process for you. If this is of interest I'd be happy to provide more information... $\endgroup$ – Vladimir Nabokov Nov 28 '17 at 14:20
  • $\begingroup$ @VladimirNabokov thank you for your offer. At the moment I would need it 1- 3 times. Tt would be conveniant but I would't want/neet to set-up the process "seriously". The rest would be in R and a python/R combi framework is overkill at them moment. $\endgroup$ – Richard Nov 29 '17 at 7:27
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Unfortunately, unless you're willing to pay or can get to Bloomberg, you'll likely have to be satisfied with the ETF data. I use the free and very easy to use AlphaVantage API.

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