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Where can I download

  1. The MSCI World index constituents and their weights (daily update)
  2. The current prices of the constituents plus three years of EOD (or weekly) history
  3. Corporate actions of the constituents (if the history is not adjusted already)
  4. ISIN, Name, country, currency of the constituent

Background:

I started working on http://www.aivest.com about ten years ago and the goal is (primarily for myself) to be able to construct a globally diversified stock portfolio after inputting only the investable amount and my home currency.

I am about to give up on the project, my main problem is what business intelligence developers call ETL - extract, transform, load. I currently use a data provider that costs about 600 USD per year and there are always surprises, e.g. suddenly a batch of bonds will be listed as stocks and my system will happily select them as highly capitalized stocks. Or: there are errors in the forex data and suddenly Canadian stocks outweigh US stocks.

If you look at the selection probabilities (http://www.aivest.com/Statistics) it is currently obvious that something went wrong again. MSFT, AAPL and the likes should be leading in this list.

I created my own index from the top capitalized stocks worldwide but that includes stocks that have trade limitations which is bad. One feature of the MSCI World constituents is that they are tradeable and I get a solid list with weights, which would be a dream for my system. But I cannot spend thousands of dollars per year for the MSCI data and use policy, so it will probably remain a dream.

Constructing a portfolio without any registration can be tested with user demo and password demo123 (http://www.aivest.com/login).

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    $\begingroup$ For the index, you've answered your own question - you have to pay MSCI for it. $\endgroup$ – D Stanley Aug 16 '19 at 14:09
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As you'd alluded to, selling the data underlying their indexes is the primary way index providers make money aside from ETF licensing. About the best you'll be able to do for free is current holdings with weights--most providers offer a top N list as well as a download of current holdings for most of their indexes. This will likely come with some accompanying set of IDs (ie, SEDOL, ISIN) and descriptive info.

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  • $\begingroup$ Yes, constituents are available at msci.com/constituents - it is not a "download friendly" page but will do. No ISIN or the like, only names though. Requires pattern matching to work with my data. I would rather calculate my own weights but this is a way to get started. What I was hoping is, that there is a data vendor that offers this data (plus, ideally, the constituent price data). I know MSCI is not interested to deal with me, but a smaller vendor might. $\endgroup$ – TvdH Aug 17 '19 at 10:59
  • $\begingroup$ This is more usable and should track he index accurately enough: ishares.com/de/privatanleger/de/produkte/251882/… $\endgroup$ – TvdH Aug 17 '19 at 11:21
  • $\begingroup$ @TvdH, I can't imagine they wouldn't be interested in having you purchase a data license...and that's correct. Assuming the index is cap-weighted, you can use the market cap field present to calculate index weight. $\endgroup$ – Chris Aug 17 '19 at 20:50

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