Download ESG data historical series of the companies included in a market stock index
You can use Datastream Formula from the Excel add-in “Workspace” to download time series for a wide variety of data, including ESG data. The add-in “Workspace” is automatically integrated in Excel when downloading LSEG Workspace desktop version on a Windows PC.
To download data with Datastream Formula open an Excel worksheet, position yourself on an empty cell where the formula for downloading will appear and click “Datastream Formula”:
Let’s perform a sample search:
We want to find different ESG data (ESG score, ESG combined score, Environment pillar score, Government pillar score, Social pillar score and ESG controversies score) of all companies of the S&P500 index for a 5 year period from 31/12/2017 to 31/12/2021.
Select your securities in the first section on the top. Click the “Find series” button on the right to access the navigator:
In the “Category” section on the left, select “Constituent list”:
Look for S&P 500 in the search bar and press “Enter”. Select the relevant index, clicking the symbol in blue:
Your costituent list is now added.
If the message “Do you want to make a time series for list request” appears click “Yes”:
You can start selecting the data you are interested in, using the second search box “Datatypes/Expressions”. Click the button “Find datatype” to access the data navigator:
In the “Refine search” section click “Clear all” in the top right corner of the left column to make sure you delete all previous filters and click “ESG” in the section “Source” to apply a filter by source and narrow down the list of datatypes:
You can then browse all data available in the “ESG” section or type keywords in the top search bar and press “Enter”.
Click the stars on the left to see more information on the datatype, it can help you identifying what you need:
You can select all the data you need ticking the box on the left. You can select as many as you like and then click “use” in orange colour in the left corner:
You have now added all the relevant codes in the “Datatypes/Expressions” box.
Therefore, you can choose the relevant period of time. The “Start-end” option is selected by default, don’t change it if you need to download historical series. Fill the boxes “From” and “To” with specific start and end dates written in this format: “dd/mm/yy”.
Also, you need to set the frequency: for ESG data we recommend “yearly” as this is the frequency these data are produced and shared.
You can experiment with different options to customize how your data will be displayed. For example, click on “Transpose data” if you want the data displayed horizontally.
Finally, click “Insert” to retrieve your data:
