Historical Fundamental Stock Data

Discussion in 'Strategy Building' started by ET180, Mar 9, 2018.

  1. djames

    djames

    Keen to hear about this data quality. I currently don't have point in time fundamentals data, I only have recent data for company fundamentals
     
    #11     Mar 13, 2018
  2. jharmon

    jharmon

    OpenFIGI doesn't help at all to determine the effect of corporate actions.
     
    #12     Mar 13, 2018
  3. djames

    djames

    How do you handle security master? Who do you track entities through corporate actions ?
     
    #13     Mar 13, 2018
  4. jharmon

    jharmon

    I let my data vendor do that for me (Norgate). I also don't actually care what happens in a corporate action, nor do I really want to know the details - I just want the price data adjusted correctly. Perhaps if I was a fund manager trying to figure out what just happened to my Liberty position I'd really want to know, but I only take 0-15 stock positions at any one time.

    My point with fundamentals is that these sorts of corporate actions are horrendously complicated and fundamentals with their limited timeframes (quarterlies/annuals/staggered reporting) are just continued from prior reporting periods even though a massive structural change has occurred. It's not even the same company any more!
     
    #14     Mar 13, 2018