New Thomson Reuters ESG scores added to Datastream.

Thirteen new ESG Scores measures have been added to Datastream.

Thomson Reuters ESG Scores are an enhancement and replacement for the existing equally weighted ASSET4 ratings. They reflect Thomson Reuters’ new strategic ESG framework.
Thomson Reuters ESG Scores are calculated and available for all companies and historical fiscal periods in the ESG Global Coverage, consisting of 6,000+ public companies globally.
NB: We advise all users of the ASSET4 ratings to migrate to the new ESG Scores in the coming months, as we plan to retire the ratings in 2018.

Below are the corresponding Datastream datatypes, titles and definitions:

DS Datatype DS Title DS Definition
TRESGS ESG Score ESG Score is an overall company score based on the self-reported information in the environmental, social and corporate governance pillars.
TRESGCS ESG Combined Score ESG Combined Score is an overall company score based on the reported information in the environmental, social and corporate governance pillars (ESG Score) with an ESG Controversies overlay.
TRESGCCS ESG Controversies Score ESG Controversies Score measures a company’s exposure to environmental, social and governance controversies and negative events reflected in global media.
TRESGENRRS Resource Use Score Resource Use Score reflects a company’s performance and capacity to reduce the use of materials, energy or water, and to find more eco-efficient solutions by improving supply chain management.
TRESGENERS Emissions Score Emissions Score measures a company’s commitment to and effectiveness in reducing environmental emission in the production and operational processes.
TRESGENPIS Environmental Innovation Score Environmental Innovation Score reflects a company’s capacity to reduce the environmental costs and burdens for its customers, thereby creating new market opportunities through new environmental technologies and processes or eco-designed products.
TRESGCGBDS Management Score Management Score measures a company’s commitment to and effectiveness in following best practice corporate governance principles.
TRESGCGSRS Shareholders Score Shareholders Score measures a company’s effectiveness in the equal treatment of shareholders and the use of anti-takeover devices.
TRESGCGVSS CSR Strategy Score CSR Strategy Score reflects a company’s practices to communicate that it incorporates the economic (financial), social and environmental dimensions in its day-to-day decision-making processes.
TRESGSOWOS Workforce Score Workforce Score measures a company’s effectiveness towards job satisfaction, healthy and safe workplace, maintaining diversity and equal opportunities, and development opportunities for its workforce.
TRESGSOHRS Human Rights Score Human Rights Score measures a company’s effectiveness in respecting the fundamental human rights conventions.
TRESGSOCOS Community Score Community Score measures the company’s commitment to being a good citizen, protecting public health and respecting business ethics.
TRESGSOPRS Product Responsibility Score Product Responsibility Score reflects a company’s capacity to produce quality goods and services, incorporating the customer’s health and safety, integrity and data privacy.
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Creating indexes and constituent lists for industries in Datastream

Creating indexes and constituent lists for industries in Datastream

Worldscope (DW) Equity Datatypes

A comprehensive set of new fundamental datatypes is now available for Datastream Global Equity indices and equities. The data is sourced from Worldscope and based on a trailing twelve month period if applicable. The data represents the sum of the relevant item reported in the last twelve months. From the fiscal period 2002, the items are populated from the quarterly, semi-annual and trimester time series based on the availability of the underlying data. The new 4 character datatypes can be used with the Datastream Global Equity indices and also all companies covered by Worldscope on Datastream.

CAPEX (Datastream Worldscope) DWCX
Common / Shareholders Equity (Datastream Worldscope) DWSE
EBIT (Datastream Worldscope) DWEB
EBITDA (Datastream Worldscope) DWED
Enterprise Value (Datastream Worldscope) DWEV
Enterprise Value/ EBITDA (Datastream Worldscope) DWEE
Free Cash Flow (Datastream Worldscope) DWFC
Interest Charge Coverage (Datastream Worldscope) DWIC
Net (Profit) Margin (Datastream Worldscope) DWNM
Net Debt (Datastream Worldscope) DWND
Net Profit (Income) (Datastream Worldscope) DWNP
Number of Employees (Datastream Worldscope) DWEN
Return on Equity (Datastream Worldscope) DWRE
Sales (Datastream Worldscope) DWSL
Total Assets (Datastream Worldscope) DWTA

With these data types you can, for example, request sales for an entire industry in Datastream.

For example for the “Healthcare Industry in The Netherlands”. You can enter via “Series / Lists” HLTHCNL, for Europe: HLTHCER or for the World: HLTHCWD. With datatype you enter DWSL for the Sales.

You can for example use these Industry Codes to create an Index:

Basic Materials: BMATR
Consumer Goods: CNSMG
Consumer Services: CNSMS
Financials: FINAN
Healthcare: HLTHC
Industrials: INDUS
Oil & Gas: OILGS
Technology: TECNO
Telecommunication: TELCM
Utilities: UTILS

It is also possible to adjust the above industry codes so that you can request the underlying constituents in Datastream. You can do that like this:

Example for the Netherlands: LHLTHCNL
L= List
HLTHC= Industry code Healthcare
NL= Netherlands

Example for the Europe: G#LHLTHCER
G#L= Global List
HLTHC= Industry code Healthcare
ER= Europe

Example for the World: G#LHLTHCWD
G#L= Global List
HLTHC= Industry code Healthcare
WD= World

 

The new conditional statement builder in WRDS (Compustat)

In this example we”ll show you some of the new functions of the WRDS conditional statement builder (in Compustat). We’ll use an example that shows how to select a SIC range.

First in step 2 select “Search the entire database”

If you try to activate the conditional statement builder and you haven’t selected any variables yet, you”ll get the following erros message.

So first select variables that you want to use in the conditional statement builder. In this example we select “SIC — Standard Industry Classification Code” and “CONML — Company Legal Name”

Now you can create a conditional statement. Add a rule and specify that  the company name start with an A , add a group and add a rule where you specify that the sic code starts with a 2. Add another rule to this group and specify that the sic code starts with a 3. Within this group select “OR”.The query preview should look like this

The end result of your query is a list of companies with sic >= 2000 and sic <=3999 (sic starts with 2 or 3) and the company name starts with an A.

Some industry classifications

Different databases use different industry classifications. Here is a (non-exhaustive) list of classifications:

SIC -Standard Industrial Classification

ICB -Industry Classification Benchmark

Classification of Dow Jones Indexes and FTSE. Used in Thomson One

NAICS           http://www.census.gov/cgi-bin/sssd/naics/naicsrch?chart=2007

The North American Industry Classification System

The standard used by Federal statistical agencies in classifying business establishments for the purpose of collecting, analyzing, and publishing statistical data related to the U.S.business economy.

GICS             http://www.standardandpoors.com/indices/gics/en/us

(choose GICS Maps)

Global Industry Classification Standard

Developed by Standard & Poor’s and MSCI Barra, GICS consists of 10 sectors, 24 industry groups, 68 industries and 154 sub-industries.

TRBC               http://thomsonreuters.com/content/financial/pdf/i_and_a/indices/trbc_quick_guide.pdf

Thomson Reuters Business Classification system.

TRBC consists of four levels of hierarchical structure. Each company is allocated an Industry, which falls under an Industry group, then Business Sector, which is then part of an overall Economic Sector. There are 10 Economic Sectors, 25 Business Sectors, 52 Industry Groups and 124 Industries.

USED IN DATASTREAM!

Orbis uses the NACE industry classifications made by the European Commission. They also have a convertor from other industry classifications to this NACE.

 

Why is the stock price in CRSP preceded by a minus sign?

Sometimes you see negative stock prices in CRSP. This means that there was no closing price available for that period. Instead, the bid/ask average was used. To distinguish the bid/ask averages from actual closing prices, CRSP puts a leading dash in front of the price when the bid/ask average was used. If neither price nor bid/ask average is available, Price or Bid/Ask Average is set to zero.

Find repurchases in ThomsonOne

This is the definition used by SDC: “Repurchases: indicates all deals in which a company buys back its shares in the open market or in privately negotiated transactions or a company’s board authorizes the repurchase of a portion of its shares.”

Repurchases can be found in the Thomson One –> Screening and Analysis –> Deals & league Tables –> M&A –> Advanced Search. Repurchases are a specific Deal Type in the M&A module. Go to Deal Info > Deal Type and select Repurchases.

You can also use the item ‘Repurchase Flag (Y/N)’ – this item can be selected by using the Item Search option (it’s not in the Item List).

FAQ: Industry codes in Datastream

When you need a list of companies or stocks in a particular industry, and your startpoint is Datastream, then what are your options?

  1. Via the internet version of Datastream Navigator
    In the Explore option you can choose Equities > a country  and then you get a list by industry. This list is based on the sector level of the ICB classification
  2. Via Find Series in the Datastream Excel Add-in
    • The Explore option there has the same as in the internet version of Datastream Navigator
    • In the Criteria Search option you can choose Equities. One of the search criteria is Sector – also based on the ICB classification.
      The advantage is that you can combine this with other search criteria – you are not limited to one particular country as in the Explore option.

When you already have a list of company codes compatible with Datastream (DS Codes, DS Mnemonics, ISINs, SEDOLs) than you can request other industry codes in a Static Request.

  • SIC – the source of this item is Worldscope. Worldscope gives up to 8 SIC codes per company, so in Datastream you can select SIC Code 1, SIC code 2 etc. In your output you will only see the SIC code, not a description.
  • ICB – you can request the industry, supersector, sector and subsector levels from the ICB classification – both the code and the name/description. In the list of datatypes select the codes that start with ICB, the ones that start with FTSL are not available to us.

Looking for companies in the Fortune 500 (US/ Global)?

The Fortune 500 is available on the website of CNN Money, but unfortunately no company identifiers are added to the company names. This makes it impossible to upload this list of companies into a financial database.

This is a workaround via Bloomberg:

How can I see a list of Fortune 500 companies?

We do not have an index tracking Fortune’s lists of the highest revenue companies. However, you can search for the list of companies that meet specific criteria on the Equity Screening (EQS) function. To create your equity screen for highest revenue companies, from EQS <GO>: 1) From the “Screening Criteria” section, click “Country of Domicile”. 2) In the “Enter Query” box, start typing a country, then select from the list of options that appears. Note: You may select more than one country or region. 3) After making your selection(s), click the “Update” button. Note: To see Fortune Global companies, skip steps 1-3. 4) In the “Add Criteria” section, in the amber field, start typing “Revenue”, then select “Revenue – Screening/Display Field” from the list that appears. 5) In the drop-down menu below “Revenue”, select “Rank”. In the field next to “Top”, enter the number of companies you want to see, then press <GO>. 6) Click “See Results | WATC” to see the list of companies.

  • To see the list as of a historical date, change the date at the top-right of the screen.
  • To add more data columns, in the “Add Column” field, enter keywords to search for the data you’d like to see. See more on adding columns in the EQS Help Page: LPHP EQS:0:1 1469311 <GO>.
  • To export the results data to Excel, from the toolbar, select “Actions > Output > Excel”.

See more on adding criteria, such as city of domicile, to your screen in the EQS Help Page: LPHP EQS:0:1 998054 <GO> Excel Integration To dynamically download your EQS search results into Excel, you must save your search. From the Results screen, from the toolbar select “Actions > Save”. In the “Name” field, enter a title for the search, then click the “Update” button. To download the results, use a BEQS formula. The syntax is =BEQS(“Screen Name”). For example, if your screen is named “Fortune” the formula is =BEQS(“Fortune”)