FactSet and historical index lists

Somebody asked me recently: is it possible to call up historical lists of an index, for instance: the AEX for an older year? My answer was yes, although I do not think this option is available for all indexes as some of them are proprietary and may require an extra license. I am also not sure how far back index compositions are available.

This is how it works:

  • Start up FactSet and click the Universal Screening option
  • In the next screen select the option Starter Screen to get to the Basic Start Screen
  • Remove the example S&P 500 index and in the Add criteria box search for the index: AEX
  • Select the option that is presented for Netherlands AEX (Index). The selection of this list will automatically generate a list of companies that are currently part of the AEX index
  • In the criteria screen now click on the selected index: Netherlands AEX (Index). Clicking the option will make it turn yellow and show the following formula in the criteria search box: FG_CONSTITUENTS(181010,0,CLOSE)
  • Clicking on this formula calls up a popup that shows more options that can be changed. Replace the zero in the formula with the date of choice to get something like: FG_CONSTITUENTS(181010,1/1/2005,CLOSE)
  • Changing the formula will generate a new list for the index with the selection of companies in the index of that time

You can now choose to download the list or change it first (by adding columns with static data) and then download the list as you need it


Compustat & stock indexes

One of the latest expansions to the Compustat databases is the inclusion of more stock indexes to the Compustat Global databases. These indexes are available through the part database Index Constituents. This can be found in the menu on the left side in portal Wharton Research Data Services just the same as the with the North America database:



More and more indexes keep being added to Index Constituents database. 4 major European index examples are:

Dutch stock index: AEX
GKEYX: 150262
Ticker: I3NLD014
Start index: 1983
Available range: 1994 – now

French stock index: CAC 40
GVKEYX: 150093
Ticker: I3FRA001
Start index: 1987
Available range: 1987 – now

German stock index: DAX 30
GVKEYX: 150007
Ticker: I3DEU003
Start index: 1987
Avalable range: 1993 – now

UK stock index: FTSE 100
GVKEYX: 150008
Ticker: I3GBR049
Start index: 1984
Available range: 2008 – now

Not every index is available from the start of its original beginning but I assume more historical index component data may be added later.