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Retrieving Historical Index Constituents from Bloomberg

Article Quant Q&A · Author: Barry Whelan
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Summary

The document explains ways to reconstruct a historical membership list for the FTSE 350 over a specified date range. Bloomberg’s terminal change report can show additions and removals across a range, while its historical membership field can retrieve constituents for individual dates. A separate historical-weight field can provide membership weights.

For a dataset spanning many dates, the answers suggest querying each date of interest and combining the returned lists. Because the index is reviewed quarterly, sampling review dates may reduce the workload when quarterly membership changes are sufficient. The discussion also warns that historical tickers may have referred to different securities than identically named current tickers. The terminal report may be difficult to export directly to a spreadsheet, and the suggestions do not describe a complete automated workflow or validate the resulting security identifiers.

Key ideas

  • Bloomberg’s index change report can summarize membership changes across a date range.
  • Historical constituent and weight fields can be queried for individual dates.
  • Combining dated membership results can build a historical constituent dataset.
  • Quarterly review frequency may reduce the number of dates that need to be sampled.
  • Historical ticker symbols should be checked because symbols may have changed meaning over time.

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EquitiesStatistics
Full text
# Bloomberg - Index Constituents over a period of time


# Bloomberg - Index Constituents over a period of time












I basically require a list of the FTSE 350 constituents from 02 Jan 2002 (this is as far back as BB has for member data) to 31/12/2017.

I tried to create this dataset using the spreadsheet builder but it only seems to give me the constituents at a specific date.

Does anyone know how to get the constituents for the above date range?

Thanks in advance

## Answer by Dimitri Vulis (score 2)

https://quant.stackexchange.com/a/73457

On the terminal, you can play with: `*IndexTicker* <Index> CHNG <Go>`, specify a date range, and generate a nice report, viewable in RPT, showing the changes during the specified date range. Unfortunately there seems to be no easy way to export the entire report to Excel.

Or you can BDS("IndexTicker Index","INDX_MEMBERS", "END_DATE_OVERRIDE=yyyymmdd") for lots of dates one at a time. Note that you can pass more than one index at a time. Another field code INDX_MWEIGHT_HIST retrieves weights.

Keep in mind that Bloomberg might return a ticker from 2002 that looks exactly like a valid ticker today but meant back then something different.

## Answer by hroptatyr (score 1)

https://quant.stackexchange.com/a/73446

You would have to loop through all dates (of interest) in the date range and unite (as in union mathematically) the results.

Knowing that FTSE indices are reviewed every quarter reduces the number of samples per year to four.

## Answer by DMG (score 0)

https://quant.stackexchange.com/a/64053

Have you try access this data systematically in QuantRocket? via data provider Sharadar:

https://www.quantrocket.com/data/?filter=sharadar

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.