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ricardo.henriquez avatar image
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Survivorship-bias free constituents using chain RICS?

Hello,

I would like to create portfolio using the constitutents of the S&P500 (as benchmark index). However, the older the period of data extraction, there is a smaller number of constituents on the data frame. I am assuming that the chain RICS contains only up-to-date constituents, and not the historical ones. Is is there an option to get the historical list of constituents with their respective additions and delistings of the index?


df, err = ek.get_data(
    instruments = ['0#.SPX'],
    fields = [
        'TR.ISINCode',
        'TR.PriceClose.date',
        'TR.PriceClose',
    ]
    , parameters={'SDate': '-20Y', 'EDate': '0D','Frq':'Y'}
)


chain-ric
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1 Answer

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Jirapongse avatar image
38.1k ●71 ●35 ●53

@ricardo.henriquez

There is an issue regarding historical data for index constituents and weightings, as mentioned in this thread.

I checked and found that you are correct. It returns the current constituents.

Please contact the Eikon support team directly via MyRefinitiv, and ask for the update of <ALERT96> and how to get the historical list of constituents with their respective additions and delistings of the index in the Eikon Excel with the =TR function.

If the =TR function can be used to get the information, we can use the same parameters with the get_data method.


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