Exchange-Traded Funds (ETF) Style Classifications User Guide

Transcription

1 Exchange-Traded Funds (ETF) Style Classifications User Guide

2 Client Support U.S. / Canada / South America Support Phones: or clientsupport@standardandpoors.com Mexico Phone: ; after the dial tone, dial Europe Phone: +44.(0) Fax: +44(0) clientsupport@standardandpoors.com Hong Kong Support Phone: clientsupport@standardandpoors.com Japan Client Support Website Sales and Support Phone: clientsupport@standardandpoors.com Copyright 2013 by Standard & Poor s Financial Services LLC. All rights reserved. No content (including ratings, credit-related analyses and data, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an as is basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages. Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P s opinions, analyses and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw or suspend such acknowledgement at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof. S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process. S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, (free of charge), and and (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at June 2013 v 1.0

3 Table of Contents Document Overview...1 What You Will Find in This Manual...1 Who Should Read This Manual...1 Other Supporting Documentation...1 Executive Summary...3 S&P Capital IQ Data...3 ETFs and Style Classification Codes...3 S&P Capital IQ ETF Data Package...4 Coverage Universe...4 Style Classification Methodology...5 ETF Style Classifications...5 Tiered Style Classifications...6 S&P Capital IQ ETF Database Schema...7 Table Descriptions...8 How the Tables Work Together...8 Appendix A Tree Structure of the etfcharacteristicvalue Table Appendix B Data Items etfcharacteristic Table Data Items etfcompany Table Data Items etfbenchmark Table Data Items etfrelationship Table Data Items etfmanagers Table Data Items Time Series Data Items etfaum Table Data Items etffee Table Data Items Appendix C Sample Query Solutions Identify ETFs Associated with a Specific Asset Category Identify ETF Style Classification Codes Identify ETF Characteristics Identify ETF Characteristics by Ticker Symbol Identify ETF Sector Emphasis Identify an ETF Benchmark Identify ETF Fees Identify ETF AUM Identify ETF Relationship Identify ETF Managers Appendix D Charts and Statistics Appendix E Frequently Asked Questions Revision History... 47

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5 Document Overview What You Will Find in This Manual The purpose of this manual is to provide a comprehensive overview of the S&P Capital IQ ETF Data package. This manual describes the: type of data included in the ETF data set data structure of ETF schemas including, reference tables, and all other components of the data. Who Should Read This Manual This manual is for use by Xpressfeed Loader v5 clients and those who download the files directly from the FTP server and write their own loading procedures. The Xpressfeed Loader generates a database schema and structure and loads data as a set of fully indexed tables. The Loader automates daily updates of ETF data. Other Supporting Documentation Other supporting documentation includes S&P Capital IQ Xpressfeed Loader User Guide, which outlines the features and capabilities of the Xpressfeed Loader. EDX FTP File Delivery Xpressfeed Technical Guide - S&P Capital IQ Data, which provides information for clients who download S&P Capital IQ data files directly from its Enterprise Data exchange (EDX) platform and write their own loading procedures. 1

6 S&P Capital IQ Exchange-Traded Funds (ETF) Classifications S&P Capital IQ Professional Data User Guide, which provides profiles professionals with current and prior board/company affiliations. Data includes biographies, standardized job functions, titles, education, compensation, options holdings, and full committee memberships. S&P Capital IQ Company Relationships User Guide, which provides a global database of all relationships between companies in the S&P Capital IQ universe. Relationship types include acquisitions, investments, investment arms, lenders, affiliates, index providers, and more. 2

7 Executive Summary S&P Capital IQ Data S&P Capital IQ provides over 120 financial and non-financial data sets to help clients enhance proprietary analytics, backtest investment theses, populate financial models, analyze portfolios, and support financial portals, CRM systems, and other integral business applications. Our clients value S&P Capital IQ data for its breadth, depth, accuracy, timeliness, and ease of integration. ETFs and Style Classification Codes The S&P Capital IQ ETF Style Classification Data package provides a comprehensive database with access to more than 2,400 publicly traded ETFs (Exchange-Traded Funds) and ETNs (Exchange-Traded Notes). ETF data is organized by the exposure or main theme of the funds. This allows you to quickly identify ETFs and their corresponding style classifications across asset classes. Additionally, you can screen data for ETF characteristics such as benchmark indices, expense ratio, leverage, and tax efficiency. ETFs are securities that track a selected index, commodity or group of assets. An ETF invests in either all of the securities or a representative sample of securities included in the index. For example, one type of ETF, known as Spiders or SPDRs, invests in all of the stocks contained in the S&P 500 Composite Stock Price Index. ETFs offer the advantages of trading like a stock. Unlike mutual funds, however, the NAV (Net Asset Value) for an ETF is not limited to one calculation at the end of every day. ETFs allow you to sell short, buy on margin, or purchase as little as one share throughout the day. Expense ratios for ETFs tend to be lower than on mutual funds because most are passively traded. 3

8 ETNs are unsecured, unsubordinated securities issued by an underwriting bank. Similar to debt securities, ETNs have a maturity date and are backed only by the credit of the issuer. Similar to ETFs, ETNs are traded daily on major stock exchanges. However, with an ETN, investors can hold the debt security until maturity. The returns of ETNs are usually linked to the performance of a market benchmark or strategy, less any investor fee. Note that, even if the market index does not change, the value of an ETN can decrease due to a downgrade in the issuer s credit rating. S&P Capital IQ ETF Data Package The S&P Capital IQ ETF Data package delivers all ETF and ETN style classifications and characteristics. ETF data is typically collected from all publicly available sources including feeds from the SEC, SEDAR, ASX and RNS, regulatory agencies, company websites, exchange websites and news agencies (e.g., Lexis-Nexis and Dow Jones). Data is provided with weekly full files on Saturday at 12:00 PM ET and once per day updates between 5:00 and 7:00 AM ET. Coverage Universe The S&P Capital IQ ETF Data package is delivered through Xpressfeed for the North American population, which consists of U.S. and Canadian companies. A Global population will be offered in a future release. 4

9 Style Classification Methodology Style Classification Methodology ETF Style Classifications Style classifications for ETFs are multi-dimensional, which can make it hard to assure you re getting the correct information. Take gold, for example. Funds in this group may be backed by vaulted gold or gold mining companies, or, in the case of ETNs, may track the price of gold using derivatives. The S&P Capital IQ ETF Data package uses a tiered style classification scheme to organize ETFs based on the exposure they provide. This allows you to quickly identify ETFs and their corresponding style classifications across asset classes. Additionally, you can identify specific data attributes with more than 40 standardized ETF characteristics such as geographic emphasis, benchmark indices, tax efficiency, and expense ratio. For more complete descriptions of the data items, please refer to the Data Items appendix. 5

10 Tiered Style Classifications The style classification tree makes it easy to quickly identify the investment category you want to use. Each ETF is classified according to its exposure using a four-tiered structure. The first level of the tree reflects the asset class in which ETFs make their primary investment. The following asset classes are available: Classification Code Asset Class Description 70 Commodity Invests in the commodities market directly in physical form like gold bullion or through a derivative contract. 75 Currency Invests in the foreign exchange market. Currency funds can be purchased to track most international currencies including the USD, CAD, EUR, GBP and Yen. 80 Fixed Income Funds that invest primarily in fixed income securities such as corporate bonds, government bonds, convertibles, debentures, and other fixed income securities. 85 Equity Invests in public equity markets. To hedge risk, equity funds generally invest a small part in fixed income securities. 90 Real Estate Invests primarily in Real Estate Investment Trust (REIT) stocks. 95 Multi-Asset Invests in two or more asset classes such as equity, commodity, currency, and fixed income instruments. One type of multi-asset fund, balanced funds, invest in equity and fixed income to provide a single fund that combines growth and income. Please use Primary Type to identify balanced funds. The next three levels further refine a particular asset class using commonly accepted nomenclature, for example, Metal > Precious Metals > Silver: 6

11 Style Classification Methodology To view the complete style classification tree, please refer to the ETF tab on The style classification code is left-justified and is two, four, six or eight digits depending on the information received from vendors. Note: If an ETF falls into more than one asset class category, S&P Capital IQ will determine the appropriate style classification code. S&P Capital IQ ETF Database Schema The schema reflects Xpressfeed Loader table names. The associated file name for non-loader clients is given for each table. Primary keys appear in bold font in the database tables and are designated with the abbreviation PK. file: etfcharacteristictype.txt etfclassificationcodes PK etfclassifcode etfclassifname file: etfclassificationcodes.txt etfcharacteristictype PK chartypeid chartypename etfcharacteristicvalue PK CharTypeId PK textvaluecode textvalue parenttextvaluecode childlevel leafflag file: etfcharacteristicvalue.txt etfcharacteristic PK companyid PK chartypeid PK textvaluecode numvalue file: etfcharacteristic.txt etfcompanystatustype PK companystatustypeid companystatustypename file: etfcompanystatustype.txt file: etfcompany.txt etfmanagers PK companyid PK personid PK etfcompany companyid firstname lastname middlename prefix suffix salutation title file: etfmanagers.txt companyname inceptiondate companystatustypeid etfclassifcode etfsecurity PK securityid companyid securityname inactivationdate etftradingitem PK tradingitemid securityid tickersymbol exchangeid etfexchange PK exchangeid exchangename countryid mic file: etfsecurity.txt file: etftradingitem.txt file: etfexchange.txt etfbenchmark etffee etffeetype etfcountry PK companyid PK benchmarkcompanyid benchmarkname weight file: etfbenchmark.txt etfrelationship PK companyrelid etfaum PK companyid PK asofdate PK currencyid assetsundermgmt latestflag file: etfaum.txt PK securityid PK asofdate feetypeid feepct latestflag file: etffee.txt PK feetypeid feetypename file: etffeetype.txt PK countryid country isocode file: etfcountry.txt companyid relcompanyid relcompanyname etfreltypeid file: etfrelationship.txt etfcurrency PK currencyid currencyname countryid majorcurrencyflag isocode etfrelationshiptype file: etfcurrency.txt PK etfreltypeid etfreltypename file: etfrelationshiptype.txt 7

12 Table Descriptions How the Tables Work Together etfcompany The etfcompany table is the primary table in the S&P Capital IQ ETF Data package. The etfcompany table contains the unique S&P Capital IQ identifier (companyid), which is used to tie in all other S&P Capital IQ packages. These packages may require additional subscriptions. etfcompany PK companyid companyname inceptiondate companystatustypeid etfclassifcode file: etfcompany.txt Table 1. etfcompany table Column Name Column Type Comments companyid int Unique company identifier across all S&P Capital IQ data sets. companyname varchar Name of the company. inceptiondate smalldatetime Date the ETF began trading. companystatustypeid smallint Unique identifier for each status type. etfclassifcode varchar Identifies the asset class the ETF currently invests in. 8

13 Appendix B Appendix C Sample Query Solutions This section provides sample queries and solutions for the ETF database. Due to space limitations, some sample results may be modified. Identify ETFs Associated with a Specific Asset Category The following is a sample MS SQL query that pulls all ETFs associated with a specific asset category, in this case, coffee. You can find the appropriate style classification code in the style classification tree. select * from etfcompany where etfclassifcode like ' ' Sample Results companyid companyname etfclassifcode ipath Dow Jones - UBS Coffee Subindex Total Return ETN ipath Pure Beta Coffee ETN Identify ETF Style Classification Codes The following is a sample MS SQL query that pulls style classification codes and their names for a particular asset class, in this case Commodity. select c.*, cc.etfclassifname from etfcompany c (nolock) join etfclassificationcodes cc (nolock) on c.etfclassifcode = cc.etfclassifcode where c.etfclassifcode like '70%' --Commodity ETFs 36

14 Appendix D Charts and Statistics This section provides a visual representation of individual queries. All data is valid as of 5/31/2013. The following chart illustrates the distribution of North American ETFs by asset class. Asset Class 3% 2% 2% 10% 16% 67% Commodity Currency Equity Fixed Income Multi-Asset Real Estate 42