Using Datastream Constituency Lists

Datastream is a powerful source for acquiring data that covers a number of different statistical categories–including equities, indices, economics, options, exchange rates, interest rates, futures, and bonds. Access to this database is on a standalone machine located in the Long Library and is restricted to staff, faculty, and students in the Haas School of Business.

This guide shows how to use the constituency list feature on the DataStream Excel Add-in, the easiest method for extracting data from this huge database. As we will see, this method allows us to drop data directly into Excel.

Datastream provides pre-packaged, constituency lists of companies that make up various segments of a country's economy or that are part of an index. For instance, if we want to obtain price data on all of the stocks in the S&P Utilities index, we can use a constituency list to quickly download the desired data for all 35 equities at one time. Please note that not all of the lists are usable from the Haas machines.

1. To start off, we open up Excel from the desktop on the Datastream machine in the Long Library. Once Excel is opened, we click on the Datastream-AFO on the menu line.
   
   
   
   
   
   
2. When the pull-down menu opens up, we select Time Series Request.
   
   
   
   
   
   
3. We click on the icon to the right of the Series box that looks like a list.
   
   
   
   
   
   
4. When the lists window opens, we click on the Constituent Lists tab [1] on the top of the page. We see an inventory of all of the pre-selected lists. We can scroll down through the hundreds of lists by using the scroll bar [2] on the right hand side of the window or if we type the beginning letters of the list that we are after, we will be taken directly to entries that start with these letters.
   
   
   
   
   
   
5. So when we type in S&P [1] in the search box on the bottom of the screen, we go to the entries starting with S&P. By double clicking on the S&P UTILITIES [2] entry, this window will close.
   
   
   
   
   
   
6. The S & P UTILITIES list name is inserted in the Series [1] search box in the newly reopened Time Series Request window. At this point in time, we can adjust other variables.
   
   
   1. By clicking on the Dt icon [2], we can designate a specific type of output for the equities on our list. Datatypes such as earnings, dividends, volume, price and other equity related statistics are available. (Note that more than one datatype can be used.) If we leave the datatype box empty, Datastream will use its default type — in this case, the adjusted price for these equities. (For a more detailed discussion of Datatypes see Introduction to Datastream Datatypes.)
      
      
   2. Next, we can select the time period we want covered. We can either specify a fixed range of dates by filling in the Start Date and End Date boxes or put in a relative period of time such as -2Y [3] in the Start Date box. -2Y indicates that we want data going back 2 years from today's data.
      
      
   3. Now we select the frequency of the data (yearly, quarterly, monthly, weekly, or daily): we pick daily data.
      
      
   4. Before we submit our request, we must make sure that the TS, Row Titles, Col Titles, Headings, and Currency [5] boxes are all checked.
      
      
   5. We click on Submit [6] to start the downloading process.
      
      
   
   
   
   
7. Datastream will now be queried, and data for each of the 35 utilities companies will be downloaded directly into Excel.