ETF Reference & Taxonomy

Everything You Need to Know About an ETF.

Overview: In addition to our Level 3 Depth of Book Data and Closing Prices for ETFs, DIH offers ETF reference and taxonomy data that includes ETF profiles, daily fund flows, risk & reward scores,
constituents, and taxonomy (categories).

Coverage: Currently we cover the USA, Canada, and Europe.

History: The data goes as far back as 2012 for most data points, and as far back as 1993 for daily fund flows.

Updates:  We update our data daily.

Delivery:  You can receive our data in bulk files via SFTP, S3 to S3, or on-demand via API.

License Terms: We license our data for either your internal use only or for display/redistribution to your clients. Unlike other data providers, DIH does not have purge clauses – so if you ever stop receiving data from us, you do not have to a ransom to keep the data you’ve already received and for which you’ve paid.

Pricing: Several inputs go into the pricing for our data. For example, do you want data for all available countries/markets and securities, or a subset? How much history do you want? Do you want updates going forward? Contact us to learn more.

Effectively Managing ETF Data Is Hard – DIH Can Help.

Exchange-Traded Funds (ETFs) are traded like stocks and typically track an index, sector, commodity, or other assets as a benchmark. ETFs have taken the world by storm. In 2008 ETF assets totaled just over $700 billion. By 2020 ETF assets had expanded to $7.7 trillion.

The sheer size of the ETF global market makes it even more important for institutions to manage their risk exposure to the holdings within an ETF. Firms also must ensure they are compliant with client mandates or other regulatory requirements.

A big part of such risk management involves validating ETF data with benchmark data. However, such risk management is surprisingly difficult due to the unique challenges of ETF data. The biggest challenges are the completeness and quality of the data available to firms.

ETF data originates from multiple sources, including ETF sponsors, distributors, and custodians. These institutions are required to disclose some data (e.g. assets under management, fees, holdings composition & weightings). However, a similar level of disclosure is not required from ETF portfolio managers.

Also, ETFs change over time as portfolio managers desperately try to closely track their benchmarks. They often introduce cash or other derivatives into the portfolio, take long or short positions, or diversify their weightings.

All of this makes data consistency a major challenge within the ETF market.

Quality ETF Data from DIH.

DIH offers comprehensive ETF data that includes:

ETF Profiles — We provide detailed ETF Profile data, including over 50 data points. Receive information on ETF expenses, index, assets under management, trading, bid-ask spread, etc. along with industry-specific information on service providers, lead market makers, etc. Plus, get classification details on market exposures, geographic exposures, industry exposure, and more.

ETF Daily Fund Flows — See daily net fund flows as far back as 1993 driven by the ETF creation and redemption process, including actual capital added or withdrawn, plus shares outstanding and NAV.

ETF Risk & Reward Models — We also offer analytics derived from our ETF data from the USA. The Reward Model includes twenty-two (22) factor scores gauging momentum, sentiment, valuation, and macro views on sectors and countries. Qualitative measures include liquidity, diversification, and issuing firm. The Risk Model has seven (7) factor scores measuring volatility, deviation, country, structure, liquidity, and efficiency.

ETF Constituents — We have daily holdings information including product constituent ID, shares, and weight.

ETF Taxonomy — Our newly expanded ETF Taxonomy classifies U.S. Listed Exchange-Traded Products by Asset and Geographic segmentations, along with Product Structure, Strategy, Style, and Exposure
attributes. Through the addition of 20 new data fields, our taxonomy now spans 25 categories, bringing an
unmatched level of precision and flexibility to ETP research, data, analysis, and product design. Within this expanded taxonomy, we now have a total of 2,354 unique variables across our 25 total taxonomy categories and 1,557 unique combinations across our 8 primary taxonomy categories.

All of our raw ETF data is sourced from fund sponsors, custodians, distributors, and administrators.

Who Can Benefit from DIH’s ETF Data?

Because ETFs make up such a large part of the capital markets, a wide variety of firms rely upon DIH’s data, including:

• Investment banks
• Brokerage firms
• Hedge funds (systematic & non-systematic)
• Asset managers
• Private equity firms
• Venture capitalists
• Proprietary trading firms
• High net worth investors
• Exchanges and trading venues
• Service providers (e.g. OMS, EMS, data vendors, etc.)

ETF data touches virtually all departments in a firm. For example, in the front-office investment banking, capital markets, wealth management, sales & trading, and research rely upon this data. The middle-office’s technology, compliance, legal, and risk management teams need access to such data. Finally, the back-office needs ETF data to fuel such critical functions as clearing & settlements, and technology.

All of these departments benefit from having high-quality data.

ETF Data is Hard, Even for the Largest Firms.

Maintaining complete and accurate ETF data has always been challenging, but several factors have made it even harder in recent years:

• The Number of ETFs Offered Now: ETFs started trading in the 1990s. In 2020 there were over 7,600 trading globally.
• Disjointed Sources: ETF data originates from fund sponsors, custodians, distributors, and administrators. They are not all required to disclose the same level of details.
• Depth & Breadth of Data Points: Not only are there a lot of ETFs trading around the world now, but the amount of information about each ETF is also staggering.

For a firm to build and maintain a do-it-yourself (DIY) system for collecting, validating, and maintaining ETF data is not cost-effective. So firms turn to DIH to provide them with complete and accurate data.

Flexible Updates & Delivery.

Our ETF data is updated on a daily basis.

You may customize our data to best suit your needs. For example, specify the ETFs, exchanges, or countries from which you’d like to receive data.

We offer several ways to access our data:

Bulk File Download – For most of our clients, downloading our data in bulk files is most convenient. We can deliver files in CSV via SFTP or S3 to S3 transfer.

API – Some use cases are better suited for on-demand delivery of specific data points via an API.