The Reuters Worldwide Fundamentals data available through Interactive Brokers consists of 2 datasets:
The estimates/actuals dataset and the financial statements dataset both contain financial metrics that can be used in backtesting and trading. The following table will help you decide which dataset to use. Generally, the financial statements dataset offers more indicators and broader coverage, while the estimates/actuals dataset offers a longer history of quarterly reports.
|Estimates and actuals||Financial statements|
|Number of securities covered||good||better|
|Number of indicators||approx. 20||approx. 125|
|Period types||Annual, Semi-annual, or Quarterly||Annual or Interim|
|Annual reports available||5 years||6 years|
|Quarterly reports available||8 quarters||6 quarters|
|Includes filing date (point in time)||yes||yes|
|Includes analyst estimates||yes||no|
The Reuters Worldwide Fundamentals dataset does not provide data back to a fixed start date but rather provides a rolling window of historical data from the time the data is collected. The typical amount of data available is shown below:
|Report type||Period type||Data depth|
|Estimates and actuals||Annual||5 years|
|Estimates and actuals||Quarterly||8 quarters|
|Financial statements||Annual||6 years|
|Financial statements||Interim||6 quarters|
The Reuters estimates dataset provides analyst estimates and actuals for a variety of metrics. The Reuters financial statements dataset provides over 125 income, balance sheet, and cash flow metrics.
BVPS: Book Value Per Share CAPEX: Capital Expenditure CFSHR: Cash Flow Per Share CPS: Cash Flow Per Share CSH: Cash Earnings Per Share DDPS1: Dividend Per Share - Common Stock Primary Issue DPS: Dividend Per Share EBIT: Earnings Before Interest and Tax EBITD: Earnings Before Interest, Taxes, and Depreciation EBITDA: Earnings Before Interest, Taxes, Depreciation and Amortization EBS: EBITDA Per Share EIBT: Net Income Before Taxes EPS: Earnings Per Share Excluding Exceptional Items EPSEBG: Earnings Per Share Before Goodwill EPSREP: Earnings Per Share Reported EV: Enterprise Value FFO: Funds From Operations Per Share GPS: GAAP Earnings Per Share GROSMGN: Gross Margin NAV: Net Asset Value Per Share NDEBT: Net Debt NETDEBT: Net Debt NPROFIT: Net Profit Excluding Exceptional Items NPROFITEBG: Net Profit Before Goodwill NPROFITREP: Net Profit Reported OPROFIT: Operating Profit PPROFIT: Pre-Tax Profit Excluding Exceptional Items PPROFITEBG: Pre-Tax Profit Before Goodwill PPROFITREP: Pre-Tax Profit Reported REVENUE: Revenue ROA: Return On Assets ROE: Return On Equity ROEPCT: Return On Equity SCEX: Capital Expenditures SDBF: Diluted EPS Excluding Extraordinary Items SREV: Revenue
AACR: Accounts Receivable - Trade, Net ACAE: Cash & Equivalents ACDB: Cash & Due from Banks ACSH: Cash ADEP: Accumulated Depreciation, Total ADPA: Deferred Policy Acquisition Costs AGWI: Goodwill, Net AINT: Intangibles, Net AITL: Total Inventory ALTR: Note Receivable - Long Term ANTL: Net Loans APPN: Property/Plant/Equipment, Total - Net APPY: Prepaid Expenses APRE: Insurance Receivables APTC: Property/Plant/Equipment, Total - Gross ASTI: Short Term Investments ATCA: Total Current Assets ATOT: Total Assets ATRC: Total Receivables, Net LAEX: Accrued Expenses LAPB: Accounts Payable LCLD: Current Port. of LT Debt/Capital Leases LCLO: Capital Lease Obligations LDBT: Total Deposits LLTD: Long Term Debt LMIN: Minority Interest LPBA: Payable/Accrued LSTB: Total Short Term Borrowings LSTD: Notes Payable/Short Term Debt LTCL: Total Current Liabilities LTLL: Total Liabilities LTTD: Total Long Term Debt QEDG: ESOP Debt Guarantee QPIC: Additional Paid-In Capital QRED: Retained Earnings (Accumulated Deficit) QTCO: Total Common Shares Outstanding QTEL: Total Liabilities & Shareholders' Equity QTLE: Total Equity QTPO: Total Preferred Shares Outstanding QTSC: Treasury Stock - Common QUGL: Unrealized Gain (Loss) SBDT: Deferred Income Tax SCMS: Common Stock, Total SCSI: Cash and Short Term Investments SINV: Long Term Investments SLTL: Other Liabilities, Total SOAT: Other Assets, Total SOBL: Other Bearing Liabilities, Total SOCA: Other Current Assets, Total SOCL: Other Current liabilities, Total SOEA: Other Earning Assets, Total SOLA: Other Long Term Assets, Total SOTE: Other Equity, Total SPOL: Policy Liabilities SPRS: Preferred Stock - Non Redeemable, Net SRPR: Redeemable Preferred Stock, Total STBP: Tangible Book Value per Share, Common Eq STLD: Total Debt SUPN: Total Utility Plant, Net
CEIA: Equity In Affiliates CGAP: U.S. GAAP Adjustment CIAC: Income Available to Com Excl ExtraOrd CMIN: Minority Interest DDPS1: DPS - Common Stock Primary Issue EDOE: Operations & Maintenance EFEX: Fuel Expense EIBT: Net Income Before Taxes ELLP: Loan Loss Provision ENII: Net Interest Income EPAC: Amortization of Policy Acquisition Costs ERAD: Research & Development ETOE: Total Operating Expense NAFC: Allowance for Funds Used During Const. NGLA: Gain (Loss) on Sale of Assets NIBX: Net Income Before Extra. Items NINC: Net Income RNII: Net Investment Income RRGL: Realized & Unrealized Gains (Losses) RTLR: Total Revenue SANI: Total Adjustments to Net Income SCOR: Cost of Revenue, Total SDAJ: Dilution Adjustment SDBF: Diluted EPS Excluding ExtraOrd Items SDNI: Diluted Net Income SDPR: Depreciation/Amortization SDWS: Diluted Weighted Average Shares SGRP: Gross Profit SIAP: Net Interest Inc. After Loan Loss Prov. SIIB: Interest Income, Bank SINN: Interest Exp.(Inc.),Net-Operating, Total SLBA: Losses, Benefits, and Adjustments, Total SNIE: Non-Interest Expense, Bank SNII: Non-Interest Income, Bank SNIN: Interest Inc.(Exp.),Net-Non-Op., Total SONT: Other, Net SOOE: Other Operating Expenses, Total SOPI: Operating Income SORE: Other Revenue, Total SPRE: Total Premiums Earned SREV: Revenue SSGA: Selling/General/Admin. Expenses, Total STIE: Total Interest Expense STXI: Total Extraordinary Items SUIE: Unusual Expense (Income) TIAT: Net Income After Taxes TTAX: Provision for Income Taxes VDES: Diluted Normalized EPS XNIC: Income Available to Com Incl ExtraOrd
FCDP: Total Cash Dividends Paid FPRD: Issuance (Retirement) of Debt, Net FPSS: Issuance (Retirement) of Stock, Net FTLF: Cash from Financing Activities ITLI: Cash from Investing Activities OBDT: Deferred Taxes OCPD: Cash Payments OCRC: Cash Receipts ONET: Net Income/Starting Line OTLO: Cash from Operating Activities SAMT: Amortization SCEX: Capital Expenditures SCIP: Cash Interest Paid SCTP: Cash Taxes Paid SDED: Depreciation/Depletion SFCF: Financing Cash Flow Items SFEE: Foreign Exchange Effects SICF: Other Investing Cash Flow Items, Total SNCC: Net Change in Cash SNCI: Non-Cash Items SOCF: Changes in Working Capital
Valuation metrics such as EPS or P/E ratio compare a company's fundamentals to its share price or market value. These metrics are useful for comparing companies, unlike metrics such as net income which scale with the size of the company and thus aren't typically used for company-to-company comparisons.
The estimates and actuals dataset contains a variety of valuation metrics including Book Value Per Share, Earnings Per Share (several variants), Net Asset Value Per Share, Cash Flow Per Share, Return on Equity, Return on Assets, and a few others.
The Reuters financial statements dataset is more "raw" and does not include any precalculated valuation metrics. You can, however, calculate valuation metrics yourself in conjunction with historical price data. Due to the larger number of available fields in the financial statements dataset, it is possible to derive valuation metrics that are not provided by the estimates and actuals dataset, such as enterprise multiple.
The estimates and actuals dataset provides two date fields:
FiscalPeriodEndDate: the end date of the fiscal period the estimates and actuals are for
UpdatedDate: the date (and time) the information was recorded in Reuters' system.
UpdatedDate field can be used for point-in-time analysis.
UpdatedDate applies to actuals only. Estimate dates are not provided; estimates are the latest estimates prior to the announcement of the actuals.
The financial statements dataset provides two date fields:
FiscalPeriodEndDate: the end date of the fiscal period the report is for
SourceDate: the date the report was released (for U.S. companies, this is usually the Form 10-K filing date)
SourceDate field can be used for point-in-time analysis.
The estimates and actuals dataset does not include restatements.
The financial statements dataset includes restatements.
Restatements, like the original statements, are time-indexed to their release date via the
SourceDate field, so you know when the data became available. Restated data are distinguished from as-reported data, making it possible to exclude restated data from analysis and backtests if you choose.
When restated data is available for a particular fiscal period and financial statement (income statement, balance sheet, or cash flow statement), the corresponding as-reported financial statement is not provided by Reuters. As depicted in the table below, this can create a gap in the data as your research and backtest won't have access to the as-reported financials that would have been available in real time.
|Corporate event||Filing date||Included in Reuters data|
|2014 annual report||February 4, 2015||yes|
|2015 annual report||February 3, 2016||no (overwritten by restatement)|
|2016 annual report and restatement of 2015 report||February 2, 2017||yes|
This limitation only applies to financial statements that pre-date your use of QuantRocket. As you continue using QuantRocket to keep your Reuters fundamentals database up-to-date, QuantRocket will preserve the as-reported and restated financials as they appear in real-time, increasing the accuracy of your backtests.
The occurrence rate of restatements is shown below for a variety of countries:
The following charts show the availability of Reuters fundamental data for select countries and exchanges, broken down by indicator code. (Only the most common countries and exchanges are shown.)
Neither Interactive Brokers nor Reuters provides readily available documentation about the Reuters Worldwide Fundamentals datasets. To learn more about the available financial statement metrics and how they are calculated, search Google for "Reuters Fundamentals Glossary" to try to locate a copy of Reuters PDF glossary which contains hundreds of pages of information about the dataset.
To learn more about the metrics in the estimates and actuals dataset, search Google for "Refinitiv I/B/E/S Quantitative File System QFS" .
The Reuters data available via the IBKR API is also available in Trader Workstation (TWS). It may be helpful to look up fundamentals for one or two companies in TWS to help orient to the API data.
To get started working with fundamental data in QuantRocket, see the usage guide.