Indices, constituent lists and weightings
It is relatively easy to find the constituents of an index, such as the FTSE 100 or S&P 500, but more difficult to find the details of the weightings that are used.
- Bloomberg – search for the index and use the MEMB (member) function.
- Datastream – search for the index and find the corresponding constitents list, or search directly for the constituents list (see screenshot below)
- online – some index providers provide the current constituents of their most popular indices
Only Bloomberg (MEMB) provides the detailed weightings of the shares/stocks in an index, and this is not for all indices. In particular, there is no detail available on the weightings of the S&P 500 constituents – more detail below. (It appears that S&P (Standard & Poors’) guard this information carefully and you need a premier subscription with them to get it.)
Datastream Navigator screenshot
S&P 500 constituent weightings
Although S&P publish some detail of how the S&P 500, and other indices, are constructed this is not sufficient to calculate the weightings. The companies in the S&P 500 are weighted by market capitalisation, but this is free-float adjusted so that only stocks available for trading are included. In addition, there are rules about the trading history required before a stock can be included in the index, and the handling of mergers and acquisitions.
Did you know – the FTSE 100 currently consists of 100 companies but 102 shares. There are 2 companies each with 2 distinct shares: Royal Dutch Shell A, Royal Dutch Shell B and Schroders, Schroders N/V
Thanks to Jan Novotny whose seemingly simple query, “Do we have a database that gives the constituent weights of the S&P 500?” prompted an investigation and this post.