Where to find the historic membership list for the Russell 1000/3000 and S&P ?
Author: mikesblack
Creation Date: 11/1/2009 9:22 PM
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mikesblack

#1
ideas to find or for search??
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Cone

#2
You can start here for the S&P.
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mikesblack

#3
Thanks-
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reds

#4
If you have access to a Bloomberg you can search each index by month, quarter or year and pull the components at that time. You will need to be mindful of symbols that ar recycled and may find it difficult w/o Bloomberg to get data for symbols that are no longer available ( take-over, merger,symbol change, bankrupt etc..).
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NorgateData

#5
A newly-released extension from Norgate Data allows you to incorporate historical members of the Russell, S&P and other indices into your system test. The capabilities allow you to backtest strategies on an survivorship-bias-free basis, and there's no need for you to obtain old membership lists or determine what has happened to that symbol since - it's all handled for you.

Norgate Data provider

The historical index constituents are accessible via the Norgate Data extension and only requires 2 lines of code within your Wealthscript code.

Further information here:
https://norgatedata.com/
https://norgatedata.com/wealth-lab-overview.php

To access such data you'll need a paid subscription at the Platinum level or above. A free trial is available.
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