Fundamentals Glossary: ETF

7 min readMar 17, 2025

What’s inside the Fundamental Data API?

The second fundamentals glossary, building on our common stock glossary, covers ETF fundamentals fields. This glossary details key data elements provided by Fundamental Dat API for ETF tickers, following a standardized format across all exchanges.

General

Code: The ETF’s ticker symbol.
Type: The security type, which in this case is an ETF (Exchange-Traded Fund).
Name: The official name of the ETF.
Exchange: The stock exchange code as per eodhd.com (not necessarily the primary exchange).
CurrencyCode: The three-letter ISO 4217 currency code of the stock.
CurrencyName: The full name of the currency in which the ETF is traded.
CurrencySymbol: The commonly used currency symbol (e.g., $ for USD, £ for GBP).
CountryName: The country where the stock exchange is located.
CountryISO: The ISO code of the country.
OpenFigi: The Open Financial Instrument Global Identifier (FIGI) code.
Description: A brief description of the ETF.
Category: Classification of the ETF based on Morningstar categories.
UpdatedAt: The most recent update date of the ETF’s fundamentals file, whether updated manually or automatically.

Technicals

Beta: The 5-year levered beta based on key indices in the ETF’s country.
52WeekHigh: The highest recorded price over the past year.
52WeekLow: The lowest recorded price over the past year.
50DayMA: The 50-day simple moving average (SMA).
200DayMA: The 200-day simple moving average (SMA).

ETF Data

ISIN: The International Securities Identification Number (non-unique, as multiple tickers of the same company may share the same ISIN).
Company_Name: The name of the ETF issuer.
Company_URL: The official website of the ETF issuer.
ETF_URL: The direct link to the ETF’s dedicated page on the issuer’s website.
Domicile: The country where the ETF is registered and regulated.
Index_Name: The benchmark index for the ETF category, as classified by Morningstar.
Yield: The trailing twelve-month (TTM) yield of the ETF.
Dividend_Paying_Frequency: The frequency at which the ETF distributes dividends.
Inception_Date: The date when the ETF began trading.
Max_Annual_Mgmt_Charge: The maximum annual management fee, expressed as a percentage of the fund’s value.
Ongoing_Charge: The ongoing cost percentage deducted yearly as long as the investment is held (e.g., 0.2000 represents 0.2%).
Date_Ongoing_Charge: The date when the ongoing charge was set or last modified (if available).
NetExpenseRatio: The total annual operating expense ratio of the ETF, expressed as a percentage. It covers fund management costs and is deducted from dividend and capital gains distributions. (e.g., 0.00150 equals 0.15%).
AnnualHoldingsTurnover: The percentage of the ETF’s holdings replaced annually.
TotalAssets: The total assets under management (AUM) for the ETF.
Average_Mkt_Cap_Mil: The average market capitalization of the ETF’s holdings, in millions.

Market Capitalization

Represents the distribution of the ETF’s holdings across different market cap categories. Not applicable to bond ETFs.

Mega: Percentage of holdings in “mega” or “giant” companies.
Big: Percentage of holdings in “big” or “large” companies.
Medium: Percentage of holdings in mid-sized companies.
Small: Percentage of holdings in small-sized companies.
Micro: Percentage of holdings in micro-cap companies.

Asset Allocation

Describes how the ETF’s portfolio is allocated among different asset classes, including equities, fixed-income securities, and cash. Each category includes three metrics:

Long_%: Percentage allocated to long positions in the asset type.
Short_%: Percentage allocated to short positions in the asset type.
Net_Assets_%: Net allocation after accounting for both long and short positions.

Possible asset classes include:

Cash: Currency-based investments.
NotClassified: Investments that do not fit into predefined categories.
Stock non-US: Non-U.S. equity holdings.
Other: Non-stock investments.
Stock US: U.S. equity holdings.
Bond: Fixed-income investments.

World Regions

Breakdown of the ETF’s holdings by geographic region.

Possible regions include:

North America
United Kingdom
Europe Developed
Europe Emerging
Africa/Middle East
Japan
Australasia
Asia Developed
Asia Emerging
Latin America

Each region is represented by two figures:

Equity_%: The ETF’s exposure to the region.
Relative_to_Category: The regional allocation compared to the average for similar ETFs.

Sector Weights

Distribution of the ETF’s portfolio across different economic sectors.

Possible sectors include:

Basic Materials
Consumer Cyclicals
Financial Services
Real Estate
Communication Services
Energy
Industrials
Technology
Consumer Defensive
Healthcare
Utilities

Each sector includes two metrics:

Equity_%: The ETF’s exposure to the sector.
Relative_to_Category: The sector allocation compared to the average for ETFs in the same category.

Fixed Income

This section includes data related to fixed-income securities such as treasury notes and bonds. These figures describe key metrics of the fund’s bond holdings and provide comparisons with the average for similar ETFs.

Effective Duration: Measures bond sensitivity to interest rate changes, accounting for embedded options.
Fund_%: Expressed in years.
Relative_to_Category: Average duration for all ETFs in the category.
Modified Duration: Quantifies the percentage change in bond value due to interest rate fluctuations.
Fund_%: Expressed in years.
Relative_to_Category: Average modified duration across all ETFs in the category.
Effective Maturity: The time until a bond reaches maturity, considering early repayments.
Fund_%: Expressed in years.
Relative_to_Category: CreditQuality is a subfield within the Fixed_Income section, providing bond-related data for ETFs that hold bonds. However, due to multiple credit quality ratings (e.g., AAA, AA, A), the Fund_% field does not function as a simple average for this data. As a result, this field requires adjustments for accurate representation.
At this time, it is recommended to ignore the CreditQuality field until further improvements are made.
Coupon: The annual interest rate paid on bonds, based on face value.
Fund_%: Expressed as a percentage.
Relative_to_Category: Average coupon rate for all ETFs in the category.
Price: The recent average price of bonds in the ETF’s portfolio.
Fund_%: Average bond price.
Relative_to_Category: Comparison with the category average.
Yield to Maturity (YTM): The total return expected from bonds if held to maturity.
Fund_%: Expressed as a percentage.
Relative_to_Category: Comparison with the average YTM for ETFs in the category.

Holdings Count

The total number of holdings in the ETF.

Top 10 Holdings

A breakdown of the top 10 holdings in the ETF, ranked by Assets_% (the percentage of total ETF assets allocated to each holding).

Each holding includes:

AAPL.US: Full ticker code (if available).
Code: Stock ticker symbol.
Exchange: The exchange where the stock is listed.
Name: Company name.
Sector: The sector in which the company operates.
Industry: The industry classification.
Country: The country where the exchange is located.
Region: The broader geographic region.
Assets_%: The percentage of the ETF’s assets allocated to this holding.

Holdings

A comprehensive list of all holdings within the ETF, if available.

Valuations & Growth

This section presents valuation metrics and growth rates for the ETF’s portfolio and compares them to similar ETFs within the same category.

Valuation Rates (Portfolio-Specific)

These figures reflect the valuation ratios for the ETF’s own holdings:

Price/Prospective Earnings — The average price-to-earnings (P/E) ratio based on future earnings estimates.
Price/Book — The average price-to-book (P/B) ratio of the ETF’s holdings.
Price/Sales — The average price-to-sales (P/S) ratio of the ETF’s holdings.
Price/Cash Flow — The average price-to-cash-flow (P/CF) ratio of the ETF’s holdings.
Dividend-Yield Factor — The average dividend yield of the ETF’s holdings.

Valuation Rates (Category Comparison)

These ratios compare the ETF’s valuation metrics against the averages for similar ETFs within the same category:

Price/Prospective Earnings — The average P/E ratio of the holdings across similar ETFs.
Price/Book — The average P/B ratio of holdings within the category.
Price/Sales — The average P/S ratio of category holdings.
Price/Cash Flow — The average P/CF ratio of category holdings.
Dividend-Yield Factor — The average dividend yield factor for ETFs in the same category.

Growth Rates (Portfolio-Specific)

The following figures represent the historical and projected growth rates of the ETF’s holdings:

Long-Term Projected Earnings Growth — The estimated future earnings growth rate.
Historical Earnings Growth — The average historical earnings growth rate of the ETF’s holdings.
Sales Growth — The average revenue growth rate.
Cash-Flow Growth — The average cash-flow growth rate of the ETF’s holdings.
Book-Value Growth — The average book value growth rate of the ETF’s holdings.

Growth Rates (Category Comparison)

These figures compare the ETF’s growth rates to the averages for ETFs in the same category:

Long-Term Projected Earnings Growth — The projected earnings growth for ETFs in this category.
Historical Earnings Growth — The historical earnings growth rate for similar ETFs.
Sales Growth — The revenue growth rate among ETFs in the category.
Cash-Flow Growth — The cash flow growth rate for category ETFs.
Book-Value Growth — The book value growth rate for ETFs in the same category.

MorningStar Data

This section includes key informational fields related to MorningStar ratings and benchmarks.

Ratio — The MorningStar rating, represented as a numerical value (corresponding to the star rating system).
Category_Benchmark — The benchmark index used for evaluating ETFs in this category (not necessarily the index tracked by the ETF).
Sustainability_Ratio — The MorningStar sustainability rating, which measures the ESG (Environmental, Social, and Governance) impact of the ETF’s holdings.

Performance Metrics

This section outlines key performance indicators for the ETF, including volatility, expected returns, and historical performance.

Volatility & Risk Measures

1Y_Volatility — The ETF’s annualized daily volatility over a 1-year period.
3Y_Volatility — The ETF’s annualized standard deviation over a 3-year period.
3Y_ExpReturn — The expected 3-year return of the ETF. If missing, the Returns_3Y field can be used as a reference for expected returns.
3Y_SharpeRatio — The Sharpe ratio calculated over a 3-year period, measuring risk-adjusted returns.

Returns Data

Returns_YTD — Year-to-date return, calculated as:
ETF Return = ((Ending Price) — (Beginning Price) + (Dividends or Distributions)) / (Beginning Price)
This field includes management fees, making it different from returns calculated solely using price data.
Returns_1Y — The trailing 1-year return.
Returns_3Y — The trailing 3-year return.
Returns_5Y — The trailing 5-year return.
Returns_10Y — The trailing 10-year return.

Learn more about Fundamental Data API -> link.

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