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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.

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  • $\begingroup$ 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
    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? $\endgroup$ 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
    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. $\endgroup$ May 11, 2022 at 19:42

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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

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