Last Updated: 06 Jan 2020 Views: 658 (After reading, tell us below if this answer was helpful)

Where can I find the individual market caps for stocks in the S&P 500 Index?


For a current index, in Bloomberg, use the ‘EQS’ equity screening function (type ‘EQS’ and press Enter). Click on the ‘Index’ criteria to choose one or more indices.

It is not trivial to download data for historical constituents of an index. You need to create a list first.

 

In Compustat via WRDS, go to WRDS and choose ‘Compustat-Capital IQ’.

  • Select ‘North America – Daily’ then select ‘Index Constituents’.
  • In ‘Step 1’, select the date range.
  • In ‘Step 2’, click on ‘Code Lookup’. In the dialog window, type the name of the index (for example ‘S&P 500’) and press Enter, then select the best match (‘S&P 500 Comp-Ltd’), select ‘TICKER’ identifier type and click the ‘Add Codes to List’ button (code ‘I003’) then ‘Add Codes to Query’.
  • In ‘Step 3’, include ‘CONM -- Index Name’ in ‘Index Information’, and all variables in ‘Company Information’.
  • For the query output, choose ‘Excel Spreadsheet (*.xlsx)’ and click ‘Submit Query’. This might be a very large file, be patient while it is generated.
  • Open the Excel workbook, copy all the GVKEY codes and paste them into a new workbook.
  • Use the Excel ‘Remove Duplicates’ function to create a list of unique GVKEY codes.
  • Copy this unique list of GVKEY codes and paste into Notepad, save as a .txt file.
  • Go back to WRDS ‘Compustat-Capital IQ’ and select ‘North America – Daily’ then ‘Fundamentals Annual’.
  • In ‘Step 1’, select the same date range.
  • In ‘Step 2’, upload the .txt file of GVKEY codes you created.
  • In ‘Step 3’, select query variables.
  • For the query output, choose ‘Excel Spreadsheet (*.xlsx)’ and click ‘Submit Query’.


A different approach is possible in Datastream as well by collecting the constituent members for the index one month at a time. The process is too complicated to describe here.

(VC-255)

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