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Objective: Get a list of all the companies that were ever part of an index (e.g.: FTSE100) in a given period of time (scale: years/decades).

Method I have in mind:

1) Create an empty list k.

2) Get a list of the components of the index in the starting date and add them to k.

3) Iterate 2) daily until final date without adding what is already in the list.

Example: Find all the companies that were at some point part of FTSE100 between January 1st 1980 and August 10th 2012.

Trouble: I cannot seem to find the required daily data on the components of the index. I tried Yahoo, Google and a couple of other (free) providers. I believe this must available somewhere, so I welcome your suggestions on how to get my hands on it.

Thanks for your input!

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It's not just the components of the index, but you probably also would want the weights in the index. It depends on the index, but you usually have to pay for many. Most people typically get them through licenses that their company pays for (and then they would access the data through Bloomberg/Factset/ThompsonReuters/etc). –  John Nov 21 '13 at 18:10
    
We actually do have a FactSet license but as far as I understand the index information in their database is always "up to date". The weights are definitely important as well. –  dd_rlwll Nov 21 '13 at 18:12
    
It depends on what you subscribe to. For instance, PA2 can do attribution in Factset. Attribution requires historical index composition. I have found it easier to download index members from Bloomberg than Factset, but it may just be that my firm doesn't subscribe to whatever Factset service makes it easy to download that information. –  John Nov 21 '13 at 19:08
    
@John Do the owners of FactSet compile all their own data or does most of their new data come from third parties? –  Nikos Nov 21 '13 at 21:52
    
I just use whatever my company subscribes to. I don't know for sure. My recollection is that Factset compiles some data on their own (such as by downloading economic data from government websites). Index composition data often comes from vendors (e.g. S&P or MSCI) and is typically quite expensive. –  John Nov 21 '13 at 22:04
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1 Answer

Usually the index provider has such historical data on its website. For FTSE see here

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Thanks a lot for your reply. Do you know if this is available in open formats (ideally CSV but any will do)? I need this for FTSE100, CAC40 and SP500. Especially in the case of SP500, having the data in an open format is critical because it would be not only dull but extremely time consuming to build the list by hand based on a PDF report. –  dd_rlwll Nov 21 '13 at 18:03
    
No idea, sorry. I would call the provider or do copy & paste from the PDFs. –  chriscross Nov 21 '13 at 18:10
    
To add to Chris's information on historical changes, you could look at their quarterly index review announcements - these list the additions / deletions from their benchmark indices. This [link] (ftse.com/Indices/UK_Indices/Index_Reviews.jsp) here has the announcements for FTSE UK indices and they provide this information in excel files (HTML pre 2004, I think). The information on this website however does not go back to the 90s so you'll have to combine the PDF mentioned above with these files to work backwards into point in time constituents –  Viquar Nov 21 '13 at 22:33
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