Historical Index Constituents (e.g. S&P 500)

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 is regularly reviewed. It changes as some companies grow faster than others, through merger and acquisition activity, and also when large companies list.

Current constituents are usually readily available on the web, but getting the historical constituents often requires a specialist database.

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

• LS&PCOMP is the constituent list for the current S&P 500
• LS&PCOMP0989 is the oldest historical list (Sept 1989 – 0989) and
• LS&PCOMP0914 most recent month (Sept 2014 – 0914).

Searching with Datastream Navigator you only get the oldest and newest of these monthly constituent lists. You create the others by editing these.

Datastream Navigator – S&P 500 constituent lists

Other historical constituent lists follow the same pattern  e.g. LFTSE100MMYY for the FTSE 100 constituents. These historical constituent lists can be tricky to find in the Datastream Navigator – the results above are from a criteria search with “DS Mnemonic starts with LS&PCOMP”.

Once you know the oldest and newest constituent list available you can edit these to get the ones you want. The screenshot below shows a Datastream request table with a static request for the end of year S&P 500 constituents (LS&PCOMP12YY).

DS request table for names and market value of S&P 500 at year end

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

Bloomberg Professional also gives easy access to key indices through functions WEI (World Equity Indices) and EMEQ (Emerging markets equity indices).

Bloomberg – World Equity Indices screen

Bloomberg has a member function (MEMB) that can be used to give a list of index constituents. Historical constituents (typically from 2001) are available by using the “Edit” option to change the date. Bloomberg also has a changes (CHNG) function that will give the index changes, including changes in weightings, between chosen dates.

UPDATE 12/04/2016: for more on this, read Historical Index Constituents in Bloomberg.

WRDS (Wharton Research Data Services) provides access to S&P 500  index constituents.

Compustat – North America – Index Constituents on WRDS – use GVKEYX 000003 or TIC  I0003. Historical data is available from March 1964. See Constituent list in Compustat (posted September 2010 Databaser blog) for more details.
(This is also mentioned in Linking Compustat and Mergent FISD on WRDS – posted June 2014)

A Few WRDS about the S&P 500 (September 2014 on the Lippincott Library Datapoints blog) is a useful point about the S&P 500 that includes details of getting the historical constituents.

No historical constituents

Please note that historical constituents are not always available for all indices. Following a recent comment, we have found that the Datastream total market indices, e.g. TOTMKUK for the United Kingdom, only offer the current constituents (LTOTMKUK).