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Index constituents

Maybe you are not only interested in the price index of a certain index but you might also want to know what stocks are part of that index. These stocks are called the constituents of the index. The lists of historical constituents are available in CompuStat North America and CompuStat Global. Which database you have to use depends on the index you're investigating: American indices, like the S&P 500, can be found in CompuStat North America, indices from other parts of the world can be found in CompuStat Global. Unfortunately there is no list of the indices covered.

Constituent lists can also be found in Datastream, but downloading the historical constituents from CompuStat is much more user-friendly, so we advise you to start from there! If you have to use Datastream, click here to find the manual.

CompuStat North America - Index Constituents

CompuStat North America is part of Wharton Research Data Service (WRDS). You find WRDS in the list of financial databases on the website of the EDSC. To get access to WRDS (and CompuStat North America) you need a VPN-connection. WRDS also asks for your e-mail-address. Enter your ERNA-e-mail-address, then WRDS sends a link to the entered e-mail-address; this link is valid for 14 days. After these 14 days you can request a new link. 

CompuStat North America consists of several modules. To get the constituents of American indices, like the S&P 500, you have to go to CompuStat in the list at the left side of the startscreen of WRDS,  choose CompuStat North America and then Index Constituents.

You have to take four  steps:

  • Step 1: enter the time frame. So for example if you need the companies that were part of the S&P 500 between 2000 and 2010, enter Jan 2000 and Dec 2010 by using the dropdown menu’s.
    Please note! You will get all companies that belonged to the S&P 500 from 2000 to 2010. This may be companies that belonged to the S&P 500 for the entire period, but it also may be companies that belonged to the S&P 500 for only a couple of weeks. In the output you will always observe two columns with dates: the date of entrance and, if applicable, that of exit. In this way you can determine yourself whether you want to include all companies or only companies that belong to the S&P 500 for the entire period or companies that belonged to the S&P 500 for at least x% of the entire period.
  • Step 2: here you have to enter the Ticker (TIC) or the GVKEYX of the index you’re looking for. When you don’t know this code, click the link Code Lookup and search in the new screen by entering part of the name of the index. In the list of results you mark the index and the column GVKEYX or TIC. At the bottom of the list you have to click the button Add Checked Codes to Your Code List. Then click Insert List in Query at the top of the page.
    Unfortunately, this lookup does not always work well. Therefore, we have presented a list of codes of the frequently used indices.

    Index TIC GVKEYX
    S&P 500 I0003 000003
    S&P 500 - Growth I0221 165155
    S&P 500 - Value I0219 165157
    S&P 1500 I0020 031855
    S&P 1500 - Growth I0232 165186
    S&P 1500 - Value I0233 165188
    NYSE NYA 152308
    NASDAQ I0008 000008
    NASDAQ 100 I0028 000208
    AMEX XAL 000118
    TSX 100 (Canada) CI0066 000191
    TSX 200 (Canada) CI0067 000192


 

The code you selected will be visible in the box under Company Code, in Step 2.

  • Step 3: what do you want to know? You can get information on two levels: the index level, in the Index Information box, and the company level, in the Company Information box. We advise you to mark all items in the Company Information box – then you get names, tickers, 9-digit cusips, CIK-codes, SIC- and NAICS codes in your output. Tickers, Cusips & CIK-codes are identifiers: you can use them in other databases to collect data for those particular companies; SIC- and NAICS-codes refer to the main industry the company is active in.
  • Step 4: how would you like your output? Here you have to select the output format, for example Excel (.xls).

Then click Submit to retrieve the data.

The output can look like this:




Effective From Date – the date the company was added to the index
Effective Thru Date – the date the company was deleted from the index. A . in the cell means the company is still a constituent of this index.

The list is ordered by Global Company Key (in this case column F).

  • Step 5: Copy one of the identifiers from this file in a .txt file and read these file in in another WRDS database to obtain the data you would like to have on these companies. Check first which identifier is used in the other database!
CompuStat Global - Index Constituents

CompuStat Global is part of Wharton Research Data Service (WRDS). You find WRDS in the list of financial databases on the website of the EDSC. To get access to WRDS (and CompuStat North America) you need a VPN-connection. WRDS also asks for your e-mail-address. Enter your ERNA-e-mail-address, then WRDS sends a link to the entered e-mail-address; this link is valid for 14 days. After these 14 days you can request a new link. 

CompuStat consists of several modules. To get the constituents of non-American indices, like the AEX-index or the Bovespa-index, you have to go to CompuStat in the list at the left side of the start screen of WRDS, then choose CompuStat Global and then Index Constituents.

You have to take four  steps:

  • Step 1: enter the time frame. So for example if you need the companies that were part of the Bovespa between 2000 and 2010, enter Jan 2000 and Dec 2010 by using the dropdown menu’s.
  • Step 2: here you have to enter the Ticker (TIC) or the GVKEY of the index you’re looking for.  When you don’t know this code, click the link Code Lookup and search in the new screen by entering part of the name of the index. In the list of results you mark the index and the column GVKEYX or TIC. At the bottom of the list you have to click the button Add Checked Codes to Your Code List. Then click Insert List in Query at the top of the page.
    Unfortunately, not all indices in the Code Lookup are available for us. In this list you can find the list of indices we have access to.




The code you selected will be visible in the box under Company Code, in Step 2.

  • Step 3: what do you want to know? You can get information on two levels: the index level, in the Index Information box, and the company level, in the Company Information box. We advise you to mark all items in the Company Information box – then you get names, SEDOL- ISIN-codes, SIC- and NAICS codes in your output. SEDOL- and ISIN-codes are identifiers: you can use them in other databases (like Datastream and Thomson) to collect data for those particular companies; SIC- and NAICS-codes refer to the main industry the company is active in.
  • Step 4: how would you like your output? Here you have to select the output format, for example Excel (.xls).

Then click Submit to retrieve the data.

The output can look like this:



 

Effective From Date – the date the company was added to the index
Effective Thru date – the date the company was deleted from the index. A . in the cell means the company is still a constituent of this index.

The list is ordered by Global Company Key (in this case column E).

  • Step 5: Copy one of the identifiers from this file in a .txt file and read these file in in another WRDS database to obtain the data you would like to have on these companies. Check first which identifier is used in the other database!