ADR/GDR fungibility to ordinary lines

[longgamma]

Hello,

I am looking to run a backtesting on historical performance of ADR/ORD pairs and one of the factors I wanted to check was fungilibility and how it affects the basis (spread between ordinary line performance and adr). For example, TSM US and 2330 TT are issued by the same company. But the ordinary line cant be flipped to the ADR, though the ADR can be. I cant find a field in BBG that highlights this and not sure how to proceed further without getting this piece of information

 

[EverythingPOINT]

Just on the functionality side - I think you can create a CIX on BBG to create custom ticker(or attribute) : spread or ratio. Or even set this up as portfolio with suitable positions in such equity pairs using PORT to create backtesting. Helpdesk should be able to help to set something up from scratch. If you have Bloomberg Anywhere license, then helpdesk could also help you with setting up BQL(Bloomberg Query Language) formula to create custom attribute.

 

[longgamma]

Just on the functionality side - I think you can create a CIX on BBG to create custom ticker(or attribute) : spread or ratio. Or even set this up as portfolio with suitable positions in such equity pairs using PORT to create backtesting. Helpdesk should be able to help to set something up from scratch. If you have Bloomberg Anywhere license, then helpdesk could also help you with setting up BQL(Bloomberg Query Language) formula to create custom attribute.

Hey, thanks for the suggestion. So, I have a python script that can just go ham on backtesting any number of input pairs and spits out descriptive statistics. The issue is my boss asked me to seggregate the results between fungible ADR/ord pairs (where you can convert ADR to ordinary domestic line and vice versa) and non fungible. There isnt a field in BBG to identify this, the support desk confirmed it to me unfortunately.

 

[EverythingPOINT]

Hey, thanks for the suggestion. So, I have a python script that can just go ham on backtesting any number of input pairs and spits out descriptive statistics. The issue is my boss asked me to seggregate the results between fungible ADR/ord pairs (where you can convert ADR to ordinary domestic line and vice versa) and non fungible. There isnt a field in BBG to identify this, the support desk confirmed it to me unfortunately.

Sorry @longgamma for not being helpful and my ideas exhaust here. Hope you find a workaround. Maybe the fungible issues are easily identified in fixed-income space, but not so much in the equity world(or could be my ignorance).

Also, I recommend trying to knock at helpdesk multiple times so that you hear from the asset class experts or your query gets routed to data mgmt guys. Not all fields are published on <FLDS>, but they could be willing to publish it in future if data team is able to scrape it.

 

[Amrtansh]

Its 2024 and still there is no way in BBG or Reuters to check fungibility of ADR/GDR. I confirmed this from helpdesk of BBG as well as Reuters