For my trading and backtesting, I need a list of SP500 constituents stocks, both current and historic (note that I only need the ticker names, not pricing information). This used to be available for download from the Standard and Poor's website (from about 2000 til now) but they changed their website recently, and the historical constituent list doesn't seem to be available anymore. Yahoo! Finance has a list of current constituents for the SP500 and most other indexes, but no historical constituent lists. Does anyone knows where I can find this data, both for the SP500 and other indexes? Hopefully for free, but I am also willing to pay if the prices are reasonable. I know that things like compustat should have that sort of information, but they cost an arm and a leg. Thanks in advance, Artur.
I was just getting ready to take on this same project and integrating the membership timelines with my Amibroker Database. I'm curious to see if anyone has some helpful insight.
I tried to do this using the current S&P 500 and the historical add/drops from the S&P website. Don't do it that way! It sucked and I gave up, I will probably just buy it at some point.
Where can I buy the SP500 historical constituent list? I'm also looking for Nasdaq100 historical constituents, the Nasdaq website only goes back to 1995.
The only place I know of so far is CRSP, they supposedly have the weights for each stock every day. Unfortunately it is super-expensive and I don't know anyone with a subscription that includes the index module. If you find another source please post.
In case you have access to a Bloomberg terminal you can download the historical index components and weights for each day and then derive the according constituent and weight changes.