S&P/TSX Equity Index Products

Why Use S&P/TSX Equity Index Data?

  • The official record of Canadian equity performance
  • Algorithmic trading, analytics and basket trading
  • Portfolio benchmarking
  • Support investment products

Product Description

TMX Datalinx is pleased to offer a comprehensive suite of S&P/TSX Index product packages which provide investable indices for the Canadian equity markets and international global mining and preferred share markets.

Index data provided includes comprehensive index level files, index constituent data files, index corporate action files, and index notices (upcoming changes). Clients may choose from four product packages offered.

Effective Sept. 16, 2016, S&P/TSX Index files are provided in the S&P Dow Jones Indices Universal File Format (UFF 2.0). The UFF 2.0 index format was developed based on global index standards and input from global vendors, and provides the comprehensive index information benefits to our clients listed below.

UFF 2.0 Index Format Benefits:

  • Standardized global index format enabling easy comparison of indices on a global basis.
  • An index key that represents all characteristics of an index, providing the ability to use filters to easily search for indices or extract constituent data for child indices.
  • Comprehensive global security identifier codes for index constituents such as ISIN, CUSIP (optional, subject to licensing), SEDOL (optional, subject to licensing), Reuters Instrument Code and Bloomberg Ticker (subject to third party license requirements).
  • Significantly greater decimal precision for index values.
  • Corporate actions/events file, providing current and up to 30 days advance notice of corporate actions/events details that affect indices and index constituents.
  • More opportunities to automate index data.

S&P/TSX INDICES^

CANADIAN INDICES

60 INDEX SERIES COMPOSITE INDEX SERIES OTHER INDICES
CAD & USD CAD & USD SmallCap
Hedged 1 Capped Completion
Capped Equal Weight Venture Composite
Equal Weight GICS Sectors
GIC Sectors Banks – Industry Canadian Dividend
Aristocrats 1
Income Trust
Carbon Efficient 1 Dividend Capped GICS Sector Series
Fossil Fuel Free 1 High Dividend 1 High Income Energy 1
Fossil Fuel Free Carbon Efficient 1 High Beta 1 Preferred Share
Low Volatility 1
ESG Shareholder Yield 1 Equal Weight Industrials
Shariah Buy Back Equal Weight Oil & Gas
VIX™ Renewable Energy & Clean Technology
130/30 Strategy
Risk Control
(5%, 8%, 10%, 12%, 15%)

GLOBAL INDICES

Equal Weight Global Base Metals 2 Global Gold 1
Equal Weight Global Gold Global Mining 1
Global Base Metals 1 North American Preferred Stock 1 2 3

^Virtually all the indices include price return and total return versions

1 Canadian and US Dollar
index versions

2 Canadian Hedged
Index versions

3 Including Net Total
Return version


S&P/TSX Index Level Files, Daily (Canadian and Global files)

Coverage includes price return, total return, net total return, Canadian dollar and US dollar indices.

Data includes:

  • Index Name
  • Index Code
  • Unique Index Key
  • GICS Industry Classifications (where applicable)
  • ISO Currency Code
  • Index Level Values
  • Market Capitalization At Close
  • Close Divisor
  • Number Of Index Securities (Close Count)
  • Daily Index Return
  • Index Dividend (If Applicable)
  • Adjusted Market Capitalization
  • Adjusted Close Divisor
  • Adjusted Number Of Index Securities For Next Trading Day.

End of Month Index Level Files (Canadian and Global files)

The Index End of Month Index Level Files include:

  • Same data the S&P/TSX Index Level File (see above)

plus, fundamental data as indicated below:

  • Current price earnings ratio (FYO P/E)
  • 1 Year Forward P/E
  • 2 Year Forward P/E
  • 12 Month Trailing P/E
  • Price/Book Value
  • Price/Cash flow
  • Price/Sales
  • Return on Equity
  • Dividend Yield
  • Indicated Yield
  • Value Traded

S&P/TSX 60 Daily Risk Control Index File, Daily

The S&P/TSX 60 Risk Control Indices represent portfolios consisting of the S&P/TSX 60 index and a cash component accruing interest. The indices are dynamically adjusted to target a level of volatility (5%, 8%, 10%, 12%, 15%).

S&P/TSX Index Corporate Events Files, Daily (SDE) (Canadian and Global files)

The Index Corporate Events file consists of comprehensive index event, country event and stock event details (including corporate actions) impacting the index constituents and thus the index. Events in the file are as of the current file date and up to the following thirty (30) calendar days.

Data provided includes:

  • Index Name, Index Code, Index Key, Index Currency, Action Type, Action Group, Status, Last Updated Date, Close Of Business Date, Effective Date, Reference Date, Announcement ID, Sequence No., Stock Key FX Rate, Ratio Received, Ratio Held, Subscription Price, Price Adjustment, Dividend Currency, Dividend, Net Dividend, Franking Rate, Acquirer Name, Cash Amount, Spin/Target Name, Spin/Target Ticker, Spin/Target Stock Key, Spin/Target MIC, Spin/Target Is Index Co, Replacement Stock Key, Comments, as well as:
     
  • Changes (current & new values) to Company Name, RIC, Bloomberg Ticker, CUSIP (optional, subject to licensing), ISIN, SEDOL (optional, subject to licensing), Ticker, GV Key, GICS Code, DJI Industry Code, market identification code (MIC), Country Of Domicile, Country Of Listing, Currency Code, Shares Outstanding, IWF, AWF, Index Shares, Price, Tax Rate.

S&P/TSX Index Constituent File Packages (1 through 8 packages)

Eight S&P/TSX Index Constituent File Packages provide index constituent data for all of the S&P/TSX indices. Each package includes close and adjusted close files (next day pre-market open) index constituent data for specific groups of indices. Index coverage for each of package, as of October 2016, is provided below:

Index Constituent
File Packages
Indices Covered
Package 1 S&P/TSX Composite Index
Package 2 S&P/TSX 60 Index, S&P/TSX Capped Consumer Discretionary Index, S&P/TSX Capped Consumer Staples Index, S&P/TSX Capped Energy Index, S&P/TSX Capped Financial Index, S&P/TSX Capped Health Care Index, S&P/TSX Capped Industrials Index, S&P/TSX Capped Information Technology Index, S&P/TSX Capped Materials Index, S&P/TSX Capped Real Estate Index, S&P/TSX Capped Telecommunication Services Index, S&P/TSX Capped Utilities Index, S&P/TSX Completion Index, S&P/TSX Composite Equal Weight Index, S&P/TSX 60 Equal Weight Index, S&P/TSX Equal Weight Diversified Banks Index, S&P/TSX Equal Weight Oil & Gas Index, S&P/TSX Equal Weight Industrials Index, S&P/TSX SmallCap Index
Package 3 S&P/TSX 60 Capped Index, S&P/TSX Capped Composite Index
Package 4 S&P/TSX Composite Buyback Index, S&P/TSX Composite Shareholder Yield Index, S&P/TSX 60 ESG Index, S&P/TSX Composite High Beta Index, S&P/TSX Composite Low Volatility Index, S&P/TSX Canadian Dividend Aristocrats Index, S&P/TSX Composite Dividend Index, S&P/TSX Capped REIT Index, S&P/TSX Income Trust Index, S&P/TSX Composite High Dividend Index, S&P/TSX High Income Energy Index, S&P/TSX Preferred Share Index
Package 5 All Canadian S&P/TSX Indices: The indices included in Packages 1, 2, 3, 4, 7 & 8.
Package 6 All Global S&P/TSX Indices: S&P/TSX Equal Weight Global Base Metals Index, S&P/TSX Equal Weight Global Gold Index, S&P/TSX Global Base Metals Index, S&P/TSX Global Gold Index, S&P/TSX Global Mining Index, S&P/TSX North American Preferred Stock Index (Price Return) (CAD)
Package 7 S&P/TSX Venture Composite Index
Package 8 S&P/TSX 60 Shariah Index, S&P/TSX Renewable Energy and Clean Technology Index, S&P/TSX 60 Carbon Efficient Index, S&P/TSX 60 Carbon Efficient Select Index, S&P/TSX 60 Fossil Fuel Free Index, S&P/TSX 60 Fossil Fuel Free Carbon Efficient Index, S&P/TSX 60 Fossil Fuel Free Carbon Efficient Select Index

Constituent data provided includes:

  • Index name, index code, a unique index key, effective date, company name, Reuters instrument code, Bloomberg ticker, CUSIP (optional, subject to licensing), ISIN, SEDOL (optional, subject to licensing), stock ticker, Compustat GV key, Dow Jones stock key, GICS industry code, alternate classification code, market identification code (MIC), country of domicile (ISO code), country of listing (ISO code), currency (ISO code), local stock price, FX rate, shares outstanding, investible weight factor, additional weight factor, index shares, index market capitalization, weight of stock index, daily price return, daily total return, dividend (if ex-date is current day), net dividend.

S&P/TSX Proforma Index Constituent Files

The S&P/TSX Proforma Index Constituent files provide advance notice of index rebalancings throughout the year. Data provided is the same as data provided in the S&P/TSX Index Constituent File packages, except that it reflects upcoming updates of shares outstanding, investable weight factors and changes in index constituents that reflect upcoming index rebalancings.

S&P/TSX Index Notices

Receive critical and timely information on our indices with S&P/TSX Index Notices.

Notice TypeFrequencyFormatDescription
Index Email Notice End-of-day 1 MS Word Advance notice of index changes, via email
Index Email Notice End-of-day 1 HTML 12 month history of above Index Notices on TMXDatalinx.com
Index Report Monthly PDF Index statistics, including index changes, via email
Quarterly Changes Quarterly MS Word Summary of index changes, via email

1 Issued only if index changes announced.

Delivery

  • S&P/TSX Index Files: FTP pick-up and email
  • S&P/TSX Index Notices: email

Product Sheets, Specifications and/or Samples:

S&P/TSX Index Product Subscription Options

Clients can select one of the S&P/TSX equity index product packages described below to get the data that best fits their needs.

Subscription Option 1
  • S&P/TSX Index Level File Package, Daily (SDL.zip)
  • S&P/TSX Global Index Level File Package, Daily (SDL.zip)
  • S&P/TSX 60 Daily Risk Control Index File, Daily (60SDRC.txt)
  • S&P/TSX Index End of Month Files (SDL.zip)
Subscription Option 2
  • Any single S&P/TSX Index Constituents File Package, Daily (CLS.zip and ADJ.CLS.zip)
Subscription Option 3
  • Any single S&P/TSX Index Constituents File Package, Daily (CLS.zip and ADJ.CLS.zip)
  • S&P/TSX Notices
  • S&P/TSX Index Corporate Events Files, Daily (SDE.zip)
Subscription Option 4
  • S&P/TSX Index Level File Package, Daily (SDL.zip)
  • S&P/TSX Global Index Level File Package (SDL.zip)
  • S&P/TSX 60 Daily Risk Control Index File (60SDRC.txt)
  • S&P/TSX Index End of Month Files (SDL.zip)
  • All S&P/TSX Index Constituents File Packages (1-8), Daily (CLS.zip and ADJ.CLS.zip)
  • S&P/TSX Index Notices
  • S&P/TSX Index Corporate Events Files, Daily (SDE.zip)

To Order

Call: +1 416 947-4778, toll free at +1 888 873-8392, ext. 4778
Email: marketdata@tmx.com.

 


S&P/TSX Equity Index Products are products of S&P Dow Jones Indices LLC ("SPDJI") and TSX Inc. ("TSX"). Standard & Poor's® and S&P® are registered trademarks of Standard & Poor's Financial Services LLC ("S&P"); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"); and TSX® is a registered trademark of TSX. SPDJI, Dow Jones, S&P and TSX do not sponsor, endorse, sell or promote any products based on the S&P/TSX Equity Index Products and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions or interruptions of the S&P/TSX Equity Index Products or any data related thereto.

The VIX Methodology is the property of the Chicago Board Options Exchange ("CBOE"). CBOE has granted S&P Dow Jones Indices LLC ("S&P") a license to use the VIX Methodology to create the S&P/TSX 60 VIX index and has agreed that S&P may permit values of the S&P/TSX 60 VIX index to be disseminated. Neither CBOE nor S&P nor TSX Inc. ("TSX") or their respective affiliates makes any representation regarding such index or the advisability of relying on such index for any purpose. Neither CBOE, S&P nor TSX sponsors, endorses, sells or promotes any investment product that is or may be based on the S&P/TSX 60 VIX index.

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