I'm looking for histocial weights of S&P 500 constituents. I have access to a Bloomberg terminal. Any thoughts on how/where I might calculate/find these data? Ideas on how to programmatically access this data? P.S. I'm looking for as much data as possible but at least five consecutive years within the last 15 years. P.P.S. Monthly data.
SPX <INDEX> <GO> Then type MEMB <GO> You'll see a bunch of N/A's come up (unless you pay for S&P data but if you paid the data fee I'm pretty certain you'd know how to get the weights). If you don't have a Bloomberg keyboard you can hit Alt+L and that'll show you the keyboard layout on your screen. Or you can call your data contact at S&P and ask them... or you can download it from their FTP site... Assuming you pay. EDIT: To access the data via macro or something you'd be best logging into their FTP site and using a simple "get" script to download from them directly. It comes in a very simple & easy to read, also standardized, method. Data is daily and they can give you back as far as you want... Assuming you pay for it.