Historical Index constituents (e.g FTSE 100)

There is a newer post about this – Historical Index Consituents (e.g. S&P 500) posted October 2014.

Most best known stock market indices (e.g. FTSE 100, S&P 500, Nikkei 225, DAX, Shanghai SE, BSE Sensex, Bovespa) have constituents that change over time. For example, the FTSE 100 is the largest companies (by market capitalisation) on the London Main market and will change: as some companies grow faster than others, through merger and aquisition activity, and when large companies list.

TOB FTSE 100 constituents – click to enlarge

While the current constituents are usually readily available on the web, getting the historical constituents often requires a specialist database. Both Thomson One Banker and Datastream provide historical index constituents.

Thomson One Banker (Web Interface) – Indices Module – Lookup the index and select Constituents. The initial results are current – edit date to get historical values. (See screenshot)

Thomson One Banker (Excel add-in) – (Reports) – Index Reports – Thomson Datastream Index Service – Historical Index Constituents – Lookup the TOB Key for the index and select the month you want.

Using Datastream you need a little knowledge of the DS Mnemonics for constituent lists. For example:

• LFTSE100 is the constituent list for the current FTSE100
• LFTSE1000196 is the oldest historical list (Jan 1996 – 0106) and
• LFTSE1000410 much more recent (Apr 2010 – 0410).

Other historical constituent lists follow the same pattern. Not all the historical constituent lists are directly selectable in the Datastream Navigator, you may have to manually edit to get the code for a specific month and year e.g. LFTSE100MMYY.

For a detailed example see Historical FTSE100 Index Constituents on Datastream (July 2012)

Bloomberg also has a member function (MEMB) that can be used to give a list index constituents. Historical information (typically from 2001) is available by using the “Edit” option to change the date.

WRDS provides access to S&P index constituents.