Answered By: Cynthia Churchwell
Last Updated: Jan 14, 2016     Views: 3895

Current list

Bloomberg

  1. For a list of securities type EQS and hit GO. Screen by index.
  2. For Historical Index Additions and Deletions type ADD and hit GO.

 

Historical Lists (not comprehensive, but includes the S&P indices and others)

Use Compustat via WRDS to create a list of constituents within a selected timeframe.

Select data set Compustat then Compustat Monthly Updates – North America then Index Constituents then follow the instructions.

Step 1: What date range do you want to use?

  • ​​​Select start date and end date

Step 2: How would you like to search this dataset?

  • Click: Search the entire database

Step 3: What variables do you want in your query

  • Under Index Information, Click:  CONM -- Index Name
  • Under Company Information, Click: Check All

Step 4: How would you like the query output?

  • Choose Excel Spreadsheet (*.xlsx)

 

Search on Specific Index (example: S&P 500)

First follow the instructions above, then limit the list to all S&P 500 constituents:

Step 1: Set the date range to start with Jan 1964

Step 2: Select TIC and enter i0003 (this is the S&P 500 ticker symbol)

 

Find Data on S&P 500 Constituents

Start with spreadsheet created with  Compustat via WRDS 

  1. Copy GVKEYs and paste into new worksheet
  2. Remove duplicates
  3. Copy & paste into Notepad and save as .txt file
  4. Go back into WRDS, Select CompustatCompustat Monthly Updates – North America, then Fundamentals Annual, then follow the instructions.

Step 1: What date range do you want to use?

  • ​​​Select start date and end date

Step 2: How would you like to search this dataset?

  • Click: Upload a file containing company codes
  • Choose GVKEY .txt file created above

Step 3: What variables do you want in your query

  • Select desired data type

Step 4: How would you like the query output?

  • Choose Excel Spreadsheet (*.xlsx)