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I'm not sure if you are looking for the components only or if you want more data, like the weights in the index. Unfortunately, unlike most other data on the web, it's hard to get any good financial data for free. The only easy way is to pay for accessing it through a financial data provider such as Bloomberg (with MEMB function when you select an index). ...


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Many funds, that manage ETFs provide this on their webpages. E.g. SDPR (SPY, XL* family) has is in "NAV history" xls file on https://www.spdrs.com/product/fund.seam?ticker=SPY


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As you said yourself, Yahoo finance provides the historical stock data. The only thing left is to know the historical composition of the CAC40. This information can be extracted from the french wikipedia site about the CAC40, or from the source @jean-paul-sartre mentioned. In my answer I will concentrate on how to scrap the information. Some time ago I ...



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