Today I spent more time than was necessary trying to locate the historical constituents of the S&P 500 index. In this particular case, I wanted to know the constituent companies for the period January 1990 through December 2009. In the end, getting the answer was not too difficult, but figuring out where to “ask” the question proved elusive. Below I document the solution for myself and others.
First, you need a Wharton Research Data Services (WRDS) account (of course). From there, select the COMPUSTAT database. Next, I used the Compustat Quarterly Updates – Index Constituents. From there, make your selections, and then “submit query.” A 52mb file later, and I had my answer. In this case, a total of 1003 unique companies have been constituent members of the S&P 500 over the last 20 years.
UPDATED 23-Dec-2011: For other resources, see my latest post.