S&P Indexes in Compustat no more

Recently the company behind the S&P Indices (S&P Dow Jones) has decided to withdraw their constituent data from the Capital IQ Compustat databases. This means that it is still possible to get the prices for the overall indices, but it no longer is possible to get detailed data on individual companies as they move in and out of the lists over the years. Lists like S&P 500 are heavily used in much research as a benchmark list for market developments.

I know of only one database (available to me) at the university that still allows for the generation of constituent lists at the Vrije Universiteit Amsterdam and this is the database FactSet. There is one drawback compared to the lists that used to be available through Compustat, however: where Compustat made it possible to generate a multiyear list over time, FactSet only allows you to generate a daily list.
If you need multiyear lists from FactSet you will have to download multiple lists for years and then combine them yourself.

I have created an example movie on how to download an index list and put it on Youtube:

Using FactSet requires FactSet software as well as a FactSet account. Information on this for personnel and students at the university is available here.

N.B.: The Compustat database Execucomp has annual data on executives for companies that are (or have been) part of the S&P 1500 list. A download of company codes (GVKEY, CUSIP, Ticker) could perhaps serve as a rough list on which companies are part of the index over a time period. It is only a rough estimate, as the data is based on annual SEC filings and the index changes daily. Execucomp includes data going back to 1992.

Standard & Poor’s website and (no) Indexes

In the past I posted a couple of messages on the excellent S&P Index website. Through this website you could register for free and were then able to find and download S&P Index data for the past 365 calendar days. These indexes included the S&P 500, 100, 400, 600, 900, 1000, and 1500. Sometime during the last couple of months the website was changed and much content was transferred to the new website. If you work on a computer in Europe the website redirects to the EU edition: http://eu.spindices.com/.

Information on the US indices can now be found at http://us.spindices.com/. Unfortunately, the new website no longer offers the option to get daily index data for the past 365 days. If you still want this data you will have to start paying for it and the prices are no joke. Apparently offering some free data to entice customers to pay for more (or longer time series) is an old idea and now a thing of the past.

If the organization where you work can afford an alternative like Datastream, Bloomberg or Compustat North America you still have access to changing index data but it may not be with a frequency that is daily. I posted items on some of these databases at my older blog.

Email

Audit Analytics and S&P indexes

The database with Audit information offers the option to use a list of tickers or CIK numbers and then (if available) audit information on these companies. Indexes of stock exchanges are very often used as lists to do research. The S&P indexes are the most often used indexes. In the past I have blogged on some of the most often used S&P indexes like the S&P 500, S&P 400 and S&P 600 (together they form the S&P1500). The older blog posts covered Datastream, Compustat North America and the S&P websites.

Audit Analytics (AA) also offers a feature to make it easier to do research on companies that are part of the abovementioned S&P indexes. The option is available (only) through the part database “Auditor – Engagements” in the IVES website version of AA (not available in the WRDS version of AA):

The composition of indexes like those of the S&P 500 do change over time. It is therefore important to know how recent these indexes are. The small I-icon next to the selection box of these (market) indexes leads to a help (pop-up) screen that explains more about this. The indexes on offer in AA are specific to a point in time. Example pop-up:

If you want to use the last composition or historical indexes it may be a good idea to use a database like Compustat North America  or Datastream to get these. Just remember that, when using historical indexes, you may not always recognize the companies in the lists as company names and/or Tickers change!

NB: In addition to the three S&P indexes it is also possible to make use of the Russell 1000, Russell 2000 and Russell 3000 indexes.

Email

Audit Analytics & company changes

The database with Audit information offers two options to search for information on companies, You can search by name, or you can search by company identifier. The company identifiers that can be used to search are Ticker (symbol) and CIK numbers. The CIK numbers remain unique for companies. Tickers may change over time because they identify different companies over longer periods. Companies may also change Tickers depending on how companies evolve over time.

Some of my last posts here I checked in a few database how they deal with company changes and I used as an example FORTUNE BRANDS Inc. This company was recently split into BEAM Inc and the demerged FORTUNE BRANDS HOME & SECUR Inc. I also checked the Audit Analytics database and found that:

1) Name changes are handled fine: searches on old names will find you the company under the new name. Example looking up Fortune Brands will find you BEAM :

2) Tickers changes are tricky: old tickers can no longer be used to search for a company. The old ticker FO of Fortune Brands will not lead to the company BEAM. This means that working with historical Ticker lists of indexes like the S&P 500 from databases or websites may prove tricky.

Email

Company changes in Compustat North America

Recently I found out that it can be difficult to work using historical lists of tickers for companies when you do not use the tickers from the database itself. The example I used to find out how Compustat deals with changes in companies was the former S&P 500 company Fortune Brands: “Fortune Brands (NYSE: FO) was a holding company founded in 1969 as American Brands and later renamed in 1997 and split apart in 2011. The corporate headquarters was in Deerfield, Illinois in the United States. On October 3, 2011, it split into two publicly traded companies: Fortune Brands Home & Security (NYSE: FBHS) and Beam Inc. (NYSE: BEAM). Fortune Brands Home & Security, Inc is engaged in home and security products. Beam Inc is a premium spirits company that makes and sells branded distilled spirits products.”

If you look up the three companies the result is as follows. Compustat North America Fundamentals Annual/Security Daily, using the Code Lookup tool at step 2 (in WRDS):

Can be found through Code lookup:

• Name: Fortune Brands Inc
  Ticker: FO
  GVKEY: 001408
  CIK: 0000789073
  CUSIP: 349631101
• Name: Fortune Brands Inc
  GVKEY: 001408
  CIK: 0000789073
  CUSIP: 349631200
  Ticker: FO.PA

Cannot be found using code lookup:

• Name: BEAM Inc
  Ticker: BEAM
  GVKEY: 001408
  CUSIP: 073730103
  CIK: 0000789073
• Name: Fortune Brands Home & Security Inc
  Ticker: FBHS
  GVKEY: 188255
  CUSIP: 34964C106
  CIK: 0001519751

Searches by Tickers will give the following result in the Compustat North America Fundamentals Annual database & Security Daily databases:

• FO and FO.PA will give no results
• BEAM, BEAM.PA and FBHS will give you results/output.

If you check the Index Constituents for the S&P 500 composition you will find the following codes:

• Name: S&P 500 Comp-Ltd
  GVKEYX: 000003
  TIC: I0003

When you use the codes to get the historical composition the older ticker FO for Fortune Brands is no longer there. The new ticker BEAM, however, appears to have replaced the FO ticker to allow people to get a continuous series of data (annual reports data or Security data). I do not really agree with this method because, in my view, it does do justice to the fact that the original company has changed very much and cannot be considered to be the new company. Regardless of my personal feelings about this, it is probably best to use the Constituent Index database of Compustat to get the historical composition as it has the most current Tickers. Individual code lookup searches can not always be trusted as the original company: Fortune Brands can still be found, but not the new company BEAM.

Email

Referral post to previous blog

My older posts on the earlier blog remain available. Some links to specific sections are:

• Amadeus
• Company.Info
• Datastream
• Factiva.com
• GMID
• General
• International Statistics
• LexisNexis
• SDC Platinum
• S&P Indexes
• Wharton
• Zephyr

 Email