Historical Fundamental Stock Data

[djames]

That was my thought too. I chatted with them and their EOD data contains all data, not just going back to 2000 or some other arbitrary date like some other providers. I am going to shortly try this service out and vet the data. The other selling point for me is they have a REST API which I need. Anyhow, hopefully the data is good. I will report back when I know more.

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

 

[jharmon]

Would a service like openFIGI help here? They claim to track entities across mergers etc through a static id

OpenFIGI doesn't help at all to determine the effect of corporate actions.

 

[djames]

OpenFIGI doesn't help at all to determine the effect of corporate actions.

How do you handle security master? Who do you track entities through corporate actions ?

 

[jharmon]

How do you handle security master? Who do you track entities through corporate actions ?

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!