Historical FTSE100 Index Constituents on Datastream
Warning – The pre-defined Datastream constituent list LFTSE100 is a list of the current constituents of the FTSE100. You cannot use the LFTSE100 constituent list to get historical constituents of the FTSE100. Historical constituent lists are available but harder to find (see below).
This applies to other constituent lists e.g. LS&PCOMP - is the S&P500 current constituents.
A static request for the name and the market value (MV) of LFTSE100 on 31 Dec 2005 will give you the current name and the market value on 31 Dec 2005 of the current constituents of the FTSE 100. You will get not available (N/A) for any current constituents that were not listed on 31 Dec 2005. (You always get the current name because name is a static variable in Datastream.)
A time-series request for the market value (MV) of LFTSE100, yearly 31 Dec 2000 to 31 Dec 2011 will give you the twelve 31 Dec market values for the current constituents of the FTSE100.
A static request for the names and the market value (MV) of LFTSE1001205 on 31 Dec 2005 will give you the current name and the market value on 31 Dec 2005 of the Dec 2005 constituents of the FTSE 100.
To do a time series request that includes the constituents of the FTSE100 during the time period you will need to create your own list. The Datastream Request Table FTSE100constituentsEx1 was used to create the list partially shown above. First a data for each year is retrieved and then the results are sorted by name and date.
For further detail and alternative sources of historical index constituents see previous post – Historical Index constituents (June 2011)
Finding historical constituent lists using Datastream Navigator
Historical FTSE100 constituent lists can be found using the Datastream Navigator – search for “ftse 100 constituents” or advanced search mnemonic contains LFTSE100. However this shows only the oldest and most recent constituent list and you need to edit the mnemonic to get other months.