DATASTREAM
US MUTUAL FUND CHANGES AND NEW COVERAGE
Effective from 15/12/13 Thomson Reuters Datastream will source US Mutual Fund content from
Lipper. Lipper are a Thomson Reuters company, and a global leader in supplying fund information,
analytical tools, and commentary.
Datastream will continue to support the following data items;
-
Fund Name
Fund Domicile
Fund Classification (Mutual Funds, Hedge Funds, Insurance Funds or Pension Fund)
Symbology (ISIN, SEDOL, CUSIP and NASDAQ Ticker)
Net Asset Value – full Lipper history, stored in time series data type ‘P’
Dividends
Corporate Actions
Clients should be aware of the following changes;
Daily Accruing Funds
Typically these accruals are distributed on the last working day of the month by the fund company
and reflected on Datastream as Monthly dividends.
If the month start or end period lies on a weekend then fund companies may spread their data in
one of 3 ways;
 The values are split over the weekend (Friday's value is included in the previous
month’s data, and Saturday’s and Sunday's values are included in the next month’s
data).
 All three values are included in the performance for the previous month.
 All three values are included in the next month’s data.
Lipper records data using the first option because it allows consistent reporting across the entire
fund universe, regardless of an individual fund company’s reporting methods. The first option also
ensures that each month is represented in its entirety. Lipper call this the ‘Mill Rate Methodology’see document attached for more information.
Mill Rate
Methodology.doc
Some fund managers will publish a monthly value using the second or third option, and currently
Datastream publish their distributions as such. This change in procedure will result in a discrepancy
in the Monthly dividend values. For example;
PIMCO TOTAL RETURN FUND (@PTTRX)
Datastream – dividends stored as reported
Lipper – illustration of the Lipper distributions for the same months
For the September 2013 payment Lipper have included a payment made on Friday 30/08, because
the payment was spread over a weekend\month end Lipper have split the payment over August
and September, hence the discrepancy.
In July the month start and end landed on business days so no discrepancy exists.
The impact on Return Index is none or minimal. The dividend amount over a given period should
be the same, however there may be a minimal discrepancy if the period start\end is a weekend.
Note: this change only applies to ongoing data, Datastream dividend history will be retained.
During this notification period Datastream are happy to provide sample dividend data based on the
new methodology, please direct requests to paul.burgess@thomsonreuters.com
Annualised DPS and Yield
Annualised DPS and Yield will be discontinued and existing histories purged, Annualised DPS is
not available in Lipper.
New Coverage
Datastream currently only cover US Mutual Funds, but as part of the migration Datastream will be
adding 2700 Hedge Funds and 4000 Insurance Funds with full Lipper histories.
Navigation
Where available the ISIN, SEDOL, CUSIP and NASDAQ Ticker code will be stored for each fund,
in addition Datastream will also be storing the Lipper ID to every fund record to improve navigation
and fund identification.
The Lipper ID is functional on Datastream by applying an ‘LP’ prefix, for example Lipper ID
68191565 = LP68191565.
To retrieve the Lipper ID for a fund please use the data type ‘LPID’.
Return Index
Return Index (RI) will be calculated by Datastream, using the following methodology;
Where:
= price on ex-date
= price on previous day
= dividend payment associated with ex-date t