Abnormal return formula for Datastream

The abnormal return is a term used to describe the returns generated by a given security or portfolio over a period of time that is different from the expected rate of return. The rate of return for equities is usually estimated by analysists based on asset pricing models, using a long run historical average or multiple valuation. Abnormal returns can be caused by events like mergers or earnings announcements.

According to the Thomson Financial helpdesk the formula for downloading the abnormal return in Datastream is as follows:

REGR#(PCH#(X(LI),1D),PCH#(X*1.0000000,1D))

Using the Excel Datastream AFO (macro/add-inn) you can look up the equities and in the field/box for the Data Type you can copy this formula to download the abnormal return for the selected equities. In the formula X stands for one or more equities (depends on your selection).

The LI stands for the comparison Local Market Index. If you want to know which Local Market Index is used for each stock/equity, you can do a static request for these equities using the data type LI#MNEM or LI#NAME.

Investopdia definition: Abnormal Return

Wikipedia website: Abnormal Return

Background Information: On Financial Databases Blog

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12:51 AM - 5 August 2010

Equities and BETA formulas

Using Datastream you can calculate and download the BETA for 1 or more equities using a formula that looks like: REGB#(LN#(X/LAG#(X,1M)),LN#(Y/LAG#(Y,1M)),60M).

This is an example of the BETA formula which I mentioned in an earlier post.

It kan be difficult to look up the BETA for several equities using this formula if you want to do this for many equities. In Excel, however, it is easy to generate the correct formula for each equity (+ market) using the Concatenate function. You can see how I did this in a short movie here:

When you have the necessary formulas for the equities you can search and download the BETA in one go using the Request Table search tool which Datastream has (see the AFO in Excel). Just remember that you can copy the formulas in the column for the equities and you can leave the Data type Column empty.

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01:03 AM - 6 July 2010

Sustainability indexes And Datastream

Corporate Sustainability refers to the business approach by companies to consider not only economical needs in their strategies and practices, but also environmental and social needs. By incorporating this concept companies can aim to improve their profitability, competitiveness, and market share without compromising resources for future generations. The following website gathers / provides links to many coporate sustainability reports: http://www.sustainability-reports.com/

The Dow Jones has established the Dow Jones Sustainability World Index (DJSIW) in 1993. The DJSI World comprises "the leading companies in terms of sustainability around the world. It captures the top 10% based on long-term economic, environmental and social criteria out of the biggest 2500 companies worldwide. Components are selected according to a systematic corporate sustainability assessment that identifies the sustainability leaders in each of 57 industry groups." The composition of the index is available through the Dow Jones website (after free registration to get access). Information on the composition of the DJSWI can also be found on the following: website.

Datastream of Thomson Reuters provides data on the several Dow Jones sustainability indexes. If you want to download data of the World Index (for instance the total return) you can use the following memonics:

DJSWDCF (Swiss Franc, Base date: 6 January 1994)
DJSWDCE (Euro, Base date: 29 August 2008)
DJSWDC (US Dollar, Base date: 31 December 1993).

Datastream provides information on the composition of the "DJSI World Composite" as follows: the indices and monthly constituents are freely available but the daily constituent lists are restricted. The monthly composition is available through the constituent lists: LDJSWDCE, LDJSWDCE0410, LDJSWDCE0402.

The last list can be used to call up the composition back in time from April 2002 to now. To call up the composition of an old list you can use the "Static request" search option and download the relevant identification codes like: Datastream code, Name and or ISIN (International Security Identification Number).

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01:04 AM - 7 May 2010

Simple functions & Datastream - Addendum

In an earlier post I said that the asterisk is necessary when doing a combined download that includes one or more functions and/or data types. The last few days when I do the same search in Datastream it seems the asterisk is not necessary.

The search example *LOG#(14352P(RI)), *14352P(RI) can be done as follows: LOG#(14352P(RI)), 14352P(RI)

I do not know why the asterisk is no longer necessary but it seems like this is a good thing. If in future, the searches no longer work I will, however, try including an asterisk again to see if this works instead.

A similar search can also be done for a group of equities by selecting the equities in the Navigator and putting the following in the field for the Data type: LOG#(X(RI)), X(RI)

The X here, stand for each separate equity.

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08:30 PM - 23 February 2010

Currency conversion in Datastream - Supplement

When downloading data it is important to find out first if the data you are downloading can be meaningfully converted into a different currency. It is, to name a fictive example, not very meangifull to convert a series of numbers into dollars if these numbers are, for instance ratio's. The components of calculated data (ratio's), however, may of course be converted if you want to recalculate data using numbers based on a different currency.

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06:08 PM - 20 January 2010