How To Get Historical S&P 500 Constituents Data For Free

Robot Wealth

Robot Wealth
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Getting Current S&P 500 Constituents for Free

Wikipedia publishes current S&P 500 component stocks here.

If we use the chrome inspector we can see that the S&P 500 stock constituents are in an HTML table with id #constituents

So let’s use the rvest R package to scrape that data into a data frame.

# Load dependencies
if (!require(“pacman”)) install.packages(“pacman”)
pacman::p_load(tidyverse, rvest)
wikispx <- read_html('')
currentconstituents <- wikispx %>%
html_node(‘#constituents’) %>%
html_table(header = TRUE)

How To Get Historical S&P 500 Constituents Data For Free

Getting S&P 500 Changes for Free

Wikipedia also publishes “Selected Changes to the list of S&P 500 components” on the same page.

This lists stocks that have been added or removed from the index as a result of acquisitions, or as the companies grow and shrink in market capitalisation.

I’ve checked this against our data set and it’s relatively accurate and complete up to about the year 2000. It gets less complete and accurate before then.

But we don’t need perfection here… so let’s scrape these changes.

The Chrome Inspector shows us they live in a table with id #changes.

spxchanges <- wikispx %>%
html_node(‘#changes’) %>%
html_table(header = FALSE, fill = TRUE) %>%
filter(row_number() > 2) %>% # First two rows are headers
`colnames<-`(c('Date','AddTicker','AddName','RemovedTicker','RemovedName','Reason')) %>%
mutate(Date = as.Date(Date, format = ‘%B %d, %Y’),
year = year(Date),
month = month(Date))

Create Monthly Snapshot of S&P 500 Index Constituents

Now we’re going to use this data to create monthly snapshots of what the SPX index used to look like.

To do this we:

  • start at the current S&P 500 index constituents
  • iterate backwards a month at a time and:
    • add back the stocks that were removed
    • remove the stocks that were added

If that sounds back to front, it’s because we are working backwards in time through the data!

# Start at the current constituents…
currentmonth <- as.Date(format(Sys.Date(), '%Y-%m-01'))
monthseq <- seq.Date(as.Date('1990-01-01'), currentmonth, by = 'month') %>% rev()

spxstocks <- currentconstituents %>% mutate(Date = currentmonth) %>% select(Date, Ticker = Symbol, Name = Security)
lastrunstocks <- spxstocks

# Iterate through months, working backwards
for (i in 2:length(monthseq)) {
d <- monthseq[i]
y <- year(d)
m <- month(d)
changes <- spxchanges %>%
filter(year == year(d), month == month(d))

# Remove added tickers (we’re working backwards in time, remember)
tickerstokeep <- lastrunstocks %>%
anti_join(changes, by = c(‘Ticker’ = ‘AddTicker’)) %>%
mutate(Date = d)

# Add back the removed tickers…
tickerstoadd <- changes %>%
filter(!RemovedTicker == ”) %>%
transmute(Date = d,
Ticker = RemovedTicker,
Name = RemovedName)

thismonth <- tickerstokeep %>% bind_rows(tickerstoadd)
spxstocks <- spxstocks %>% bind_rows(thismonth)

lastrunstocks <- thismonth

Visit RobotWealth to read the full article and download the code:

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