I am interested in a one-time download of GICS sector (e.g. XL- etfs) historical fundamentals data (in particular, point-in-time price/book ratios). Does anyone know where this can be found? I am willing to pay of course, assuming things are priced reasonably. I was considering reconstructing this using individual equity fundamental data, but this would be challenging as I'd need to know the composition of each sector at every point in time.

  • $\begingroup$ In my experience, potential issues with sector aggregated data from a provider who aggregates it for you are much larger than those from sectors not being point in time. $\endgroup$
    – LazyCat
    Commented Oct 4, 2021 at 19:58
  • $\begingroup$ That makes sense - how do you suggest i perform the reconstruction? Find a source with historical ETF constituents? $\endgroup$ Commented Oct 4, 2021 at 20:12
  • $\begingroup$ Yeah using ETF holdings will make it easier to make sure it's point in time $\endgroup$
    – LazyCat
    Commented Oct 4, 2021 at 20:56
  • $\begingroup$ I ended up getting fundamentals data for my universe (russell 3000 US stocks) from a provider. I then grouped them by sector, and within each sector, computed robust statistics (e.g. medians), as there were often large outliers. I am not sure if the data is free from biases, but the pictures I have plotted look reasonable. $\endgroup$ Commented May 11, 2022 at 19:42

1 Answer 1


We built this from publicly available information about ETF's for MSCI and S&P 500. Look for the CSVs which say "constituent" here: https://github.com/opentaps/open-climate-investing/tree/main/data


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.