Compustat North America & S&P Indexes

When you want to look up companies that are part of historical S&P Indexes Compustat North America offers a specific database called "Index Constituents". This database is available as a Quarterly updated database and an Annual updated database. Both databases allow you to get the historical lists of the S&P 500 and S&P 1500 as well as specific indexes combined with industries or sectors.

For the database "Compustat Annual Updates - Index Constituents" the S&P constitutents are determined by Compustat at the end of the calendar year. For the database "Compustat Quarterly Updates - Index Constituents" the constituents are probably determined at the end of each quarter. Changes in the constituent indexes in between quarters sometimes appear to be included as well.

For the S&P 500 and S&P 1500 historical indexes the codes are:

S&P 500 (S&P 500 Comp-Ltd) codes:
GVKEYX: 000003

TIC: I0003

S&P 1500 (S&P 1500 Super Composite) codes:
GVKEYX: 031855

TIC: I0020

If you want to look up other industry indexe codes you can use the Lookup tool to find the correct Ticker codes or GVKEYX codes. When you find the code you need you can select this and add it to the query. Example:

The source for part of the information of this post was the blog Finabase.

Author information: LinkedIn

11:29 PM - 10 March 2010

Datastream and Historical S&P Indexes

The composition of S&P Indexes changes constantly. Datastream has a few historical lists which can be used to get the composition of such an Index on the last day of a month. These lists con be found under the Data Category "Constituent lists". By changing the name of the mnemonic of a constituent list you can get the composition of a different month. By changing the name of LS&PCOMP1001 to LS&PCOMP0304 you can get the composition of the S&P 500 at the end of March 2004.

Currently available historical lists for S&P indexes are:

• S&P 500 Constituent historical list:
  LS&PCOMP1001 > goes back to October 2001
  LS&PCOMP1209 > goes back to December 2009
  
• S&P 400 constituent historical list:
  LS&PMIDC1209 > goes back to December 2009
  
• S&P 600 constituent historical list:
  LS&P600I1209 > goes back to December 2009
  
• S&P 1500 constituent historical list:
  LS&P15XX1209 > goes back to December 2009

04:12 PM - 10 February 2010

Standard & Poor's website and Indexes

In an earlier post I have referred to the Standard & Poor's website for downloading historical lists of their indexes: S&P 500, S&P 400 and the S&P 600 (together they form the S&P 1500). After registering for access it was possible to download historical lists going back to the year 2000. Unfortunately the website has changed and this information is no longer available from this website at the earlier location and the historical daily lists only go back 1 year now.

To download the currently available S&P historical indexes for the past year you now need to register (no cost involved) at the website of the Index Data Platform:
https://www.sp-indexdata.com

When you are logged in the following screen appears where you need to go to the quick link "Data History".

After clicking this option the next screen appears where, under the tab "standard reports", you can select the index and date at the top left side. At the bottom you can then choose to export the index list to Excel or as a text file:

Author information: LinkedIn

11:56 PM - 27 January 2010

S&P Indexes

When doing research many people are interested in financial indexes created and updated by the company Standards and Poor's. The company was formed in 1941 when Poor's Publishing and Standard Statistics merged to form the Standard & Poor's Corporation although it can trace back it's origins much further. The indexes people are most often interested in are: S&P 500 (1957, LargeCap), S&P 400 (1991, MidCap), and S&P 600 (1994, SmallCap). Many sources for information on thes indexes are available. Here are three sources which may be interesting:

1) S&P website
The website of Standards & Poor's has an incredible amount of information which includes the historical compositions, explanations etc. for many indexes, including the three abovementioned indexes: S&P 500, S&P 400, and S&P 600. Through the website you can also find out what the historical composition was for the indexes by clicking on the tab Overview and then Consituent list. All three indexes can be viewed as far back as January 2000.

2) Compustat (through Wharton)
When you choose the Tools from the menu in Wharton (top right) for compustat there is a tool called the Compustat S&P Tool. Using the tool you can call up the composition for each month for all three indexes. For the S&P 500 you can even call up the composition as fas back as 1962. The index tool is updated annually and was last updated in 2006. The Variable CPSPINM "S&P Primary Index Marker" in any download will have a value of 1 when a company belongs to the S&P 500 at the end of that month; and values of 2 and 3 for members of the S&P MidCap 400 and S&P SmallCap 600 respectively.

3) Datastream
Through Datastream you can find the composition of all three indexes through the Data Categories Equity Indices and Constitutent lists. Not much historical information is available though. So far I have not heard anything about how often the indexes or constituent lists are updated although I have asked the Helpdesk. One tip: searching for indexes is difficult because they do not always have the same name-format. Examples of available indexes / lists are:

Equity Indexes:

Name		Mnemonic
S&P 500 Composite		S&PCOMP
S&P 500 Composite DS Calculated		S&PCOMZ

Constituent lists:

Name		Mnemonic
S & P 500		LS&PCOMP1001
S & P 500		LSP500I
S & P 500		LSP500I0901

Author information: LinkedIn

08:45 PM - 6 July 2009