F.A.Q.

Last modification: August 18, 2015

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General information (access, content...)

Technical information (extraction, EUROFIDAI code...)

Data information (types of data, indexes construction...) 

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General information

First you have to fill out the contact form, indicating your contact information, your institution and the data you are interested in getting an access to. EUROFIDAI staff will then send you the access conditions. Contribution fees are required to get access to the data, the amount is defined depending on the number of databases and the number of years subscribed.
Also, EUROFIDAI offers researchers technical assistance, in order to shorten the time required for these steps. Experienced with the content and functioning of our own databases, we can provide an ad hoc service, tailored to specific needs. 

A trial account for a limited duration and with a limited access to the databases can be set up on demand, just fill the trial account request form and we will send you a login and password. With a trial account, you can consult the extraction results but the download is not permitted.

It is not possible to change the password in the website. Also it is not possible to choose your own password. In order to generate an over password please follow the “I forgot my password” process by clicking to the link below : https://www.eurofidai.org/en/user/password

Not all of EUROFIDAI's data is readily accessible via the internet. If you are looking for specific data, do not hesitate to contact us: Daily stocks and EUROFIDAI benchmark indices for the Asia/Pacific/Middle-East area, Subscription rights, Interest rates, Forward exchange rates, Securities listed in other countries (e.g. European securities listed in the USA), Valuation of mutual funds by all European suppliers, Warrants, And more

In order to shorten the time required for research, EUROFIDAI offers researchers technical assistance and ad hoc service, tailored to specific needs.

Technical information

  • How does one extract data?
    • For stocks, mutual funds, other indices, EUROFIDAI benchmark indices and exchange rates: you must first obtain the EUROFIDAI code associated with the wanted instrument (from the “Codes research” tab). You then use the EUROFIDAI code to extract data (from the “Data extraction” tab). Please consult the user guide for each databases to proceed.
    • For corporate events, data extraction is done from the issuer code or from the instrument code (ISIN, VALOREN, or EUROFIDAI). Therefore, you must first obtain one of these codes from the “Codes research” tab and then proceed to the extraction.
       
  • What is a EUROFIDAI code?

A EUROFIDAI code is a unique identifier associated with an instrument and a trading place that enables following the instrument during its trading history. The EUROFIDAI code is built according to a homogeneous structure for all instruments. 
On the one hand, a EUROFIDAI code tracks the whole transaction history of the security, regardless of whether the security has experienced a delisting, reorganization or change of ISIN code, etc. On the other hand, it provides information on the security’s trading places, not only the principal trading place, but the secondary trading places as well. 

THE CONSTRUCTION OF EUROFIDAI CODE 

Whatever the instrument, the EUROFIDAI code is made up of fifteen numeric digits, the first number characterizes the instrument type (1 for stocks, 2 for mutual funds, 3 for other indices and EUROFIDAI indices and 5 for exchange rates). The last five numbers correspond to the stock exchange, the data provider, the country or the geographical area depending on the instrument type. 
For stocks, other indices, EUROFIDAI indices and mutual funds, the structure of the EUROFIDAI code is identical. More precisely, the first three numbers of the code correspond to the instrument nature: 110 for a stock, 120 for a subscription right, 200 for a mutual fund, 300 for a traditional index, 301 for an equally-weighted EUROFIDAI index (general or sector), 302 for a value-weighted EUROFIDAI index (general or sector), 311 for the size factor, 312 for the book-to-market factor, 313 for the momentum factor, 321 for the smallcap portfolio, 322 for the midcap portfolio, 323 for the bigcap portfolio, 331 for the Value portfolio, 332 for the Neutral portfolio, 333 for the Growth portfolio, 334 for the negative book-to-market portfolio, 341 for the low momentum portfolio, 342 for the medium momentum portfolio and 343 for the high momentum portfolio.

GENERAL STRUCTURE OF EUROFIDAI CODE
The last five numbers of the EUROFIDAI code correspond: for stocks to the stock exchange, for traditional indices to the stock exchange or the provider, for EUROFIDAI indices to the country or the geographical area and for mutual funds to the stock exchange, the provider or the currency in which the net asset value is expressed. 
For stocks, mutual funds and traditional indices, the seven intermediate numbers of the EUROFIDAI code correspond to a unique identifier. For EUROFIDAI indices, these seven numbers are “0000000”, except for sector indices where they represent the associated sector. 
For exchange rates, the structure of the EUROFIDAI code is as follows: the first number is 5000, the next six digits represent the codes of base currency and counter currency and finally, the last five ones correspond to the exchange rate provider.

 

On the “Codes Research” tab, enter your codes list by clicking on the “List of ISIN Codes (submit a file)" button, then click on the “Search” button.

For code research or data extraction, the results file is downloaded in .csv format. However, when you open the results file in Excel, it makes assumptions about the data type based on the cell content: the default number format that Excel applies for large numbers is the scientific format. The EUROFIDAI code is a fifteen digit number. The scientific format can cause damage: the EUROFIDAI code is rounded and will become inconsistent and unusable for the purposes of data extraction. The scientific format displays a number in exponential notation. For example, a 4-decimal scientific format displays 500081433320251 as 5,0008E+14, which is 5,0008 times 10 to the 14th power. 
In general, there is not an easy way to control the format Excel applies when opening a .csv file. When applying corrections to the results file you may damage the EUROFIDAI code. If you want to make corrections, you must format this code (in the Excel “number” format expressed as a whole number without decimal places). 
However, every time you save and close the file, Excel applies the scientific format. Therefore, remember to correct the format code whenever you modify and close the file. It is very important to respect this point. 
This formatting operation has to be applied to all variables containing EUROFIDAI codes. The results file can have several variables containing EUROFIDAI codes. In particular, you may be confronted with this problem for stocks (permanent code for the principal trading line) and for spot exchange rates (the EUROFIDAI code of initial exchange rate and the inverted exchange rate). 
This kind of problem will not occur if you open the results file in text editor (for example in Notepad, Notepad++ or Wordpad) or in another spreadsheet such as Calc (for LibreOffice or OpenOffice).

There is no limit in the file size to search a EUROFIDAI code or extract data.

The results file is a text file (more precisely, in “.csv” format). As this file is in “.csv” format, you can open it in Excel. This remark applies to all EUROFIDAI databases, except for corporate events where a detailed extraction will be in “.txt” format. 

Data information

You can find this list in the presentation page of the database under consideration. You just have to click on the link “Data overview: Download”. It gives you an overview of the database content. This file includes the list of all available instruments in our database, and specific information associated with them (name, source or stock exchange, the number of available observations and the availability period). 

Selection of stocks depending on the stock exchange and/or sector.

To get this instrument list, you must select the stock exchange and/or sector in the “Codes research” tab of the European stocks database. 

Selection of other indices depending on provider.

To get this instrument list, you must select the provider in the “Codes research” tab of the other indices database. 

Selection of mutual funds negotiated on the over-the-counter market depending on issuer domicile and/or investment type.

To get this instrument list, you must select the issuer domicile and/or the investment type in the “Codes research” tab of the database of mutual funds negotiated on the over the counter market. 

Selection of mutual funds quoted on official markets depending on stock exchange and/or issuer domicile and/or investment type.

To get this instrument list, you must select the stock exchange and/or the issuer domicile in the “Codes Research” tab of the database of mutual funds quoted on official markets. 

Selection of exchange rates depending on base currency and/or counter currency and/or provider.

To get this instrument list, you must select the base currency and/or the counter currency in the “Codes research” tab of the exchange rates database.

Selection of corporate events depending on issuer domicile and/or corporate events type.

To get this instrument list, you must select the issuer domicile and/or the corporate events type in the “Codes research” tab of the corporate events database. 

You could obtain this information in the file listing all instruments which you can dowload on the presentation page of each database. 

On the “Codes Research” tab, enter the ISIN code or the instrument name, then select the information you want. Finally, click on the “Search” button. 

Note that some ISIN codes are copyrighted, particularly those with the prefix “AN”, “BM”, “BS”, “CA”, “KY “US” or “VG”) 

  • Stock

 

We only provide information for common stocks. For other instruments we can provide a personalized extraction upon request.

We have classified the trading lines of a security as “principal” or “secondary”.

A security in EUROFIDAI’s stock database can have more than one trading line if it is traded on more than one markets or has temporary alternatives (e.g. secondary stocks). The principal trading line is, by definition, the trading line with the biggest number of quotations on the stock market of the issuer country. 
(for more information, see Stocks User guide page 34) 

The information about stock eligibility for SRD is not available in our online database. EUROFIDAI can provide these data upon request. The variable is available since 2000 and indicates whether the stock is eligible for SRD, for SRD long only, or whether it is not eligible for SRD. To obtain these data, please contact us using the contact form.

 

  • Exchanges rates

 

The list of currencies and currency pairs available in our exchange rates database is accessible on the Exchange rates user guide (p12). The list is also available using the "codes Research" tab. You can click on “List” in order to select the base currency and the counter currency. 

This option gives a simplified result, providing one single code selected by EUROFIDAI and on single quotation (per say and per exchange rate type) instead of listing all codes and/or quotations from different contributors (suppliers or places). The selected EUROFIDAI code is the one with the most observations.

This category created by EUROFIDAI can be a useful tool for the user in the preliminary step of data extraction. It is a short summary of our database content: for each requested instrument, the results file presents corporate event types available for this instrument and information dates. It is useful because corporate event research is done (in the “data extraction” part) based on the issuer code and the corporate event type.

Change of name, class action, issue/change of capital structure, split/reverse split/consolidation, securities assimilation, company reorganization, and redenomination of nominal currency, debtor change, purchase/repurchase/exchange, listing/delisting/suspension, liquidation/bankruptcy, settlement proceedings, meeting/general meeting, dividend payment and other events.

Note that corporate events contained in the EUROFIDAI European Corporate events Database are classified into 51 subclasses. The number of available variables (information date, effective date, capital type etc.) depends on the subclass of the event of interest. It means that a specific variable may not be consultable for some subclasses as a variable that is informative for one subclass of events may be meaningless for another.

Please note that when there is no information for a variable, we discard it instead of assigning a default value, for instance, "." or "NA". 

The data frequency for NAV depends on the type of mutual funds. Very often, the quotation is daily but for some mutual funds, the quotation is given with another frequency (monthly for instance).

Mutual Fund - Structure of EUROFIDAI Code

The primary fund code corresponds to the EUROFIDAI code without the last five digits, which represent the stock exchange or the currency in which the net asset value is expressed. Indeed, a mutual fund can be traded on several stock exchanges or its net asset value can be expressed in different currencies. In this case, the fund has as many EUROFIDAI codes as stock exchanges and currencies. But, additional information associated with the fund is not specific to a stock exchange or a currency. Therefore, instead of a EUROFIDAI code, the primary code is proposed in the result files for “further information”.

EUROFIDAI provides information on mutual funds (name, nature, status, investment type, type of target investors, inception date, expiration date, expiration reason, manager name, manager address, number of observations, availability period), information on fund issuer (name, type, status, legal form, domicile, expiration date, expiration reason, original issuer name, original issuer domicile), minimum amount of subscription for the fund, country in which the fund complies with the legal requirements for being sold, actual and planified fees (management fees, performance fees, custody fees...), investment policy (type of financial assets, countries, sectors or companies in which the fund may invest according to its initial statement), fund asset allocation (type of financial assets, countries, sectors or companies in which the fund invests) and institutions related to the fund issuer (it can be for example a depositary bank, an auditor, an administrator or this institution can have the function of fund management). 

Funds characteristics presented in the “Codes research” tab are included in the variables grouped under the heading "General characteristics" on the “Further information” tab, but with one difference: the first variables correspond to the most recent information, while the second ones are historical data

The EUROFIDAI mutual funds database contains additional information concerning general characteristics of funds, fund classification, related institution, management fees, minimum amount of subscription, authorized sale country, investment policy, fund asset allocation, benchmark and tax/regulation/reporting.

The heading “other indices" covers several types of indices: in particular, equity indices, commodity indices and economic indices. They are provided by an external source or a stock exchange, in contrast with the EUROFIDAI indices, that we build.

The EUROFIDAI index value is calculated in a standard way: with cumulative daily returns for the daily index and with cumulative holding returns on the holding period. The index value is then corrected, such that the index value at the period end is equal to 100. To do this, we apply a factor multiplying the index value at the period beginning and 100 divided by the index value at the period end.

EUROFIDAI indices are composed of ordinary shares (main trading lines). The country and sector indices are computed either without foreign securities or with foreign securities. The Europe indices are computed only without the foreign stocks.

They correspond to the weighted average of common stock returns and are calculated by country (general EUROFIDAI indices) or by country and sector (sector EUROFIDAI indices). For general and sector-based indices, we provide value-weighted or equal-weighted indices. The equal-weighted EUROFIDAI market portfolio weights each common stock with the same weight. The value-weighted EUROFIDAI market portfolio weights each common stock by its last market capitalization available at the end of the last year. To have homogeneous indices, equal-weighted and value-weighted indices are calculated from the same sample of securities. 

The sector classification is divided into ten sectors: Energy, Materials, Industrials, Consumer Discretionary, Consumer Staples, Health Care, Financials, Information Technology, Telecommunication Services and Utilities. 

We distinguish two types of factors and specific EUROFIDAI indices: factors (size, book-to-market and momentum) on the one hand and, on the other, associated portfolios. For a complete and accurate definition, you can refer to the sections on factors and portfolios respectively

Every year, we compose three terciles for stocks with the last market capitalization of the last year. Three size portfolios are constructed by distinguishing between firm sizes (smallcap, midcap and bigcap). The return of each size portfolio is the value-weighted mean of stock returns.

Four book-to-market portfolios are formed on the book-to-market at the end of December each year. Thus, we construct four portfolios: the first one with negative book-to-market (for bankrupt firms), the second one with the lowest third of positive book-to-market (for “Growth” securities), the third one with the middle third of positive book-to-market (for “Neutral” securities) and the fourth one with the highest third of positive book-to-market (for “Value” securities). The return of each book-to-market portfolio is the value-weighted mean of stock returns.

Each month, we split the sample into three terciles according to prior 2-12 returns and build three momentum portfolios. The first momentum portfolio consists of securities with low past returns, the second of stocks with medium past returns and the third of securities with high past returns. The return of each momentum portfolio is the value-weighted mean of stock returns.

The size factor (SF) is formed annually and is obtained as follows. Each year we sort firms based on the market capitalization at the end of the preceding year. From the median of market capitalizations, we divide the sample into two classes of firm size. Furthermore, each year we sort firms by the book-to-market available at the end of the preceeding year and split the sample in three terciles. To construct the size factor, we use six value-weighted portfolios. The portfolios are the intersections of two portfolios formed on size and three portfolios formed on book-to-market. The size factor is formed in the same way as the book-to-market factor. The difference between the size factor and the book-to-market factor is from the definition of the factor return. The return of the size factor is the average return on the three small capitalization portfolios minus the average return on the three big capitalization portfolios. In other words, 

SF = 1/3 (Small Value + Small Neutral + Small Growth) - 1/3 (Big Value + Big Neutral + Big Growth)

The book-to-market factor (BMF) is formed annually and is obtained as follows. Each year we sort firms based on the market capitalization at the end of the preceding year. From the median of market capitalizations, we divide the sample into two classes of firm size. Furthermore, each year we sort firms by the book-to-market available at the end of the current year and split the sample in three terciles. To construct the book-to-market factor, we use six value-weighted portfolios. The portfolios are the intersections of two portfolios formed on size and three portfolios formed on book-to-market. The book-to-market factor is formed in the same way as the size factor. The difference between the size factor and the book-to-market factor lies in the definition of the factor return. The return of the book-to-market portfolio is the average return on the two Value portfolios minus the average return on the two Growth portfolios. In other words, 

BMF = 1/2 (Small Value + Big Value) – 1/2 (Small Growth + Big Growth)

The momentum factor (MOM) is formed annually and is obtained as follows. Each year we divide the sample into two classes by firm size based on the firm’s market capitalization at the end of the preceding year. At the same time, we sort firms by the annual return of the previous year and then form three portfolios. The previous annual return breakpoints are the 33rd and 66th percentiles. To construct the momentum factor we use six value-weighted portfolios. The portfolios are the intersections of the two portfolios based on size and the three portfolios based on prior returns. The return of the momentum factor is the average return on the two highest prior returns portfolios minus the average return on the two lowest prior returns portfolios. In other words, 

MOM = 1/2 (Small Size High Return + Big Size High Return) - 1/2 (Small Size Low Return + Big Size Low Return)

 

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