Datastream Advance and Excel

Walkthrough

Datastream Data Gategories

• Equities • Equity indices • Constituent lists – Datastream lists, e.g. a list of companies included in a

particular equity index • Local lists - User created lists of companies that are accessible from Excel • Unit trusts / Investment trusts – Mutual funds • Bonds and convertibles • Bond indices and cds • Warrants • Economics • Exchange rates • Interest rates – zero curves, money market rates and swaps • Futures • Options • Commodities

Datastream Data

• Static Data – Snapshot of the latest data • Time Series – Time series data

Retrieving Single Time-series from Datastream Advance

Select Time-Series Data, by clicking the fourth icon on the upper right window.

Click Series Navigation, a red arrow on the left lower corner. This will open Datastream Navigator. Select the correct Data Gategory, e.g. Equities. You can search by Name DS Mnemonic DS Code Market Currency Exchange etc. Status, i.e. whether the share class is still active Result set for search Name - Begins with nokia shows all the different listed shares for Nokia Corporation and Nokian Renkaat. We select the Nokia stock quoted on the Helsinki Exchange by clicking on the M:NOKP

Now we have selected the company for the data retrieval.

After selecting the company we can select the correct datatype by clicking on the magnifying class icon on the lower left corner.

This will open Datastream Navigator for Datatype Search. We can select first the Data Gategory - Equities, Type - Time Series, then Group -Datastream Time Series and Find by Name that Contains - Return

Total Return Index, RI, is the Return Index , by clicking on the icon book on the left side we get a detailed definition for a particular data item.

Return index – datatype (RI) A return index (RI) is available for individual equities and unit trusts. This shows a theoretical growth in value of a share holding over a specified period, assuming that dividends are re-invested to purchase additional units of an equity or unit trust at the closing price applicable on the ex-dividend date. For unit trusts, the closing bid price is used. For all countries except the USA and Canada detailed dividend payment data is only available on Datastream from 1988 onwards. Up to this time the RI is constructed using an annualised dividend yield, as follows:

Where:

= return index on day t

= return index on previous day

= price index on day t

= price index on previous day

= dividend yield % on day t N = number of working days in the year (taken to be 260)

From 1988 onwards (and from 1973 for US and Canadian stocks), the availability of detailed dividend payment data enables a more realistic method to be used in which the discrete quantity of dividend paid is added to the price on the ex-date of the payment. Then:

except when t = ex-date of the dividend payment Dt then:

Where: = price on ex-date

= price on previous day

= dividend payment associated with ex-date t Gross dividends are used where available and the calculation ignores tax and re-investment charges. Adjusted closing prices are used throughout to determine price index and hence return index. Ris for new issues will initially be based on an anticipated annualised dividend until data on the first actual dividend payment becomes available. At this point the RI is calculated back to the base date.

By clicking the Mnenomic for the Datatype selects the item.

Then select the Time Period and Currency from the lower left corner

Clicking Run Now Returns data to the Datastream Advance worksheet. By clicking the Excel icon on the toolbar ( 6th icon from the left ) exports data to an Excel workbook.

How to Create a Local List in Datastream and Retrieve Data via Excel Interface

Select Data Category - Local Lists

Click on the List Wizard button

Select Create a New List and click Next button

Select the appropriate Data Category and Click on the Red Arrow to search for Companiesm Equity indices etc.

Click on the My Selections and Use Selected Items. List Description can be given in to the textbox below the selection grid. Click Next

You can give a name for the list file when saving it to the local disk. Click Finish.

A Local list is now created can be used from Excel. Open Excel and goto Datastream-AFO menu. Select Time-Series Request

Select the list of companies by clicking on the Magnifying Glass icon. Select the correct list and click Ok.

Next you can select the datatypes, e.g. RI, Start Date and End Date

Datastream creates the time-series for the list of companies.