Where can we find the major Index components accross time

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Roundtable Knight
Roundtable Knight
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Location: Montreal, Canada

Where can we find the major Index components accross time

Post by ratio » Mon Nov 23, 2009 12:33 pm

We want to design a portfolio that would have all Ticker (inluding delisted) that ever traded in an index. ex: TSX 60, SP 500, etc.

We would then attach an external file that have the startdate and end date where that stock was included in the Index.

This would allow us to simulate a portfolio that trade historicaly what was in the index at any given point.

Any idea where we can find the component of the index for the past 10 year.

I know that on finance.yahoo.com you can get the actual component.


Roundtable Knight
Roundtable Knight
Posts: 117
Joined: Thu Mar 10, 2005 10:07 am
Location: Newport Beach,CA

Post by danZman » Tue Nov 24, 2009 4:08 am

Lookup blackstar under 'search'

Survivorship bias is huge in stocks. And of course seeing how they act prior and after delisting from a major index, as I'm sure you know. I'm glad there are so many edges to exploit.


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Joined: Fri Aug 22, 2008 8:49 pm

Re: Where can we find the major Index components accross tim

Post by howard » Tue Nov 24, 2009 4:41 pm


Your post prompted some thinking on my part, which prompted me to do some (very limited) searching. I noticed that Premium Data seems to organize some of their data by index / constituent (http://www.premiumdata.net/products/pre ... olders.php). I don't use Premium Data, but it might be worth dropping them a line and seeing if they have historical info on this that they'd be willing to make available. Please post back here letting us know.


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