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Trying to be concise:

  • I am interested in the most popular indices (SP500, FTSE100, DAX30, CAC40, SMI30, etc).
  • For each index I want to know its constituents in a monthly basis.
  • For each constituent (each month) I would like to know its price.

Since it's monthly data I believe it is easier to find but I haven't been very successful for the moment.

I am willing to pay something reasonable (i.e. not too expensive).

I can get my hands on a Bloomberg terminal for a couple of hours but I have never used them and I don't know if I can do what I want in a reasonable amount of time.

I will be really grateful for any help on the subject. All suggestions are welcomed!

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up vote 4 down vote accepted

All of these index constituents are available on Bloomberg and through Bloomberg Excel link. Just use one of those Index member formulas with a date override.


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@Terco I have a spreadsheet that will do this if you like. It only does a few months, you'd have to fill out the other months by copying and pasting the formulae. You'll need access to the Bberg terminal though, with Excel and the add-in. Email me at lagunafinance at me dot com if you're interested. – Thomas Browne Jun 4 '11 at 22:48
Thanks a lot Thomas! Unfortunately, I saw the answer a little bit late. I spent the whole afternoon yesterday doing that. The good thing is that I can confirm that it works! ... now, if I could only find an easy way to do the same but with daily data... – Terco Jun 8 '11 at 10:03
Hi again Thomas, I want to try to download daily data now. Have you tried to do that automagically for long periods? – Terco Jun 20 '11 at 11:45

You can have a look at this QUANT - Blog.

You can get NDX100 and SP500 historical index constitution.

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It would be nice to point out that you are the one selling the data. It is part of what I am looking for, but I still want the prices and other indices. – Terco Jun 4 '11 at 23:04

You can get this information by 'web scraping' - running a script (Python is ideal) which visits the relevant websites and extracts the prices from the HTML, then packages it into a suitable form (eg XML) and saves to disk.

The only drawback is that the script needs fairly regular maintenance, as the pages you are getting the information from tend to be updated quite regularly and when that happens the script needs to modified accordingly.

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You can do it for the current components, sure. But what websites are you going to visit if you want to extract the info for the 1990's? – Terco Jun 4 '11 at 23:02
Ok, I didn't realise you wanted historical data. Have you seen this post about the OST project? – GavinSerra Jun 5 '11 at 6:42

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