Historical ETF Holding Weights

User23
User23
in Eikon Data APIs

Dear Refinitiv Team,

I know this question was discussed already a couple of times - but I am not succeeding: I am trying to get the ETF holdings weights (overtime) for the RPV - "Invesco S&P 500 Pure Value Index" which tracks the ".SP500PV". I am also fine with the holding weights of the underlying index the "SP500PV".


I tried several things to get either the weights of the ETF or of the SP500PV itself:

The "best" I could do was (where date_for_query is a variable).

ek.get_data('Index('RPV',' + date_for_query + ')',['TR.IndexConstituentWeightPercent','TR.RIC'])[0]

Unfortunately, this request results in the same table for any date. Hence I don't get the weights over time.


I also tried to access the holding weights via the following but no weights are reported:

ek.get_data('RPV',['TR.ETPConstituentRIC','TR.ETPConstituentWeightPercent'],{'SDate': '2012-01-01'})


I also tried to access the weights with the Index and the "0#" method.


Is there a way to obtain the "tracking basket" of the ETF over time? Another alternative would be to get the DERIVED HOLDINGS (it's only monthly though).


Many thanks

Lorenzo






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Best Answer

  • jason.ramchandani01
    jason.ramchandani01
    Answer ✓

    @User23 Unfortunately we don't carry historical constituents for all indices. I was able to get the constituents for a particular date (I checked these do change overtime) for the RPV ETF but sadly not the weights - the vendor does not supply us the weights.

    df, err = ek.get_data('RPV',['TR.ETPConstituentRIC','TR.ETPConstituentWeightPercent'],{'SDate': '2017-01-03'})

    df

    image

    If you would like to request the data please submit a content enhancement request via Contact Us. I hope this can help.

Answers

  • User23
    User23

    Thanks a lot for the update.

    Is there a way to get the constituents of the Underlying Index (SP500PV) or is there a way to obtain the "tracking basket" of the ETF over time?

    Best Lorenzo


  • Jirapongse
    Jirapongse
    @User23

    You can directly contact the Eikon support team via MyRefinitv for a way to retrieve the required information with the =TR function in Eikon Excel.

    If we have a formula in Eikon Excel to retrieve the data, we can apply the formula to the get_data method in Eikon Data API.

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