Historical Data for S&P 500 with member changes

Discussion in 'Data Sets and Feeds' started by alessm, Apr 1, 2011.

  1. alessm

    alessm

    Where can I find a source?
     
  2. What time frame?
     
  3. alessm

    alessm

    daily
     
  4. alessm

    alessm

    Historical additions and deletions in the index....

    Companies are regularly added and deleted from the S&P 500, therefore I can't properly backtest against it without taking into account these changes.
     
  5. Oh, you mean survivorship bias. The changes of course can be found on the S&P website.

    For the data, here is a quote/link from another user:

    "CSI (http://www.csidata.com/) claims they never delete anything from their database, making it the only service I know of available to individuals. I have used their commodity data but not their stock data."
     
  6. Do you have a link for the history of changes?
     
  7. The latest member changes (10/2009+) can be found on the S&P website at S&P 500 Index Announcements.

    For changes before 10/2009, the S&P no longer posts the file on its website, but I have attached a copy I had on a backup to this message (csv file).
     
  8. alessm

    alessm

    awesome!
     
    #10     Apr 22, 2011