I'm looking for histocial weights of S&P 500 constituents. I have access to a Bloomberg terminal. Any thoughts on how/where I might calculate/find these data?

P.S. I'm looking for as much data as possible but at least five consecutive years within the last 15 years.

P.P.S. Monthly data.

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    $\begingroup$ Since the S&P is market-cap weighted, depending on the problem, I find it easier to measure the market-cap of the component firms and calculate this directly $\endgroup$ – Ram Ahluwalia Oct 18 '11 at 20:17
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    $\begingroup$ I think "help me learn to use a Bloomberg" type questions are off-topic. Try your Bloomberg sales rep. They're actually quite responsive and often helpful. If you're looking for ways to get this data w/o BBG, try What data sources are available online? $\endgroup$ – Tal Fishman Oct 18 '11 at 20:32
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    $\begingroup$ discussion of the validity of the question on meta $\endgroup$ – SRKX Oct 18 '11 at 22:04
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    $\begingroup$ I think it's a perfectly legit question. Very little quantitative research can be done without reliable data. On the contrary, "try Bloomberg", or "try to google" doesn't strike me as constructive answer - for one thing AFAIK Bloomberg doesn't give this data. The only source I know of that does provide it is SP itself, but it is pretty expensive. I believe, slightly inadequate responses to your question is due to the fact that the data you ask for is clearly tradable, and it's a bit naive to expect to find it for free.. $\endgroup$ – user1548 Oct 19 '11 at 1:52
  • $\begingroup$ I understand that I can calculate it directly but I need to know at least the historic market cap of each component firm and which firms were added and removed, which in my opinion would be harder to come by than the historic weights. I don't expect to find it free ($3,000/month for BBG is hardley free) but this is for an academic project so I cannot shell out cash. $\endgroup$ – strimp099 Oct 19 '11 at 14:21

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