Answered By: Edward Bilodeau Last Updated: Jan 27, 2017 Views: 1586
For historical constituent lists of the S&P 500, use WRDS:
- Select Compustat - Capital IQ > North America > Index Constituents
- In the Query Form, specify the following:
Step 1: Set date range as desired.
Step 2: Under Select option for entering company codes, type i0003 (the ticker for S&P 500).
Step 3: Select the variables you want to retrieve, for example:
Under Index Information check Index Name (CONM) and Ticker (TIC)
Under Company Information check Company Name (CONM) and Ticker (co_TIC)
Step 4: Choose output file format.
- Click Submit Query.
To retrieve a relatively current constituent listing, use the method described above to retrieve a listing from WRDS, setting the start and end date range to the current month. Make sure to review the listing to remove any members that were removed in the current month, as well as any duplicate or empty rows.
Note that the Compustat data is updated monthly. Click the Variable Descriptions tab for Compustat Monthly Updates - Index Constituents to see when it was last updated.