FAQ: historical index constituents of non-American indices in CompuStat Global

You can use CompuStat Global to find historical index constituents of non-American indices, like the AEX, Bovespa or CAC40. It’s much more user friendly then using Datastream to get this information: the output looks better, it’s less work and you don’t need a computer with a Datastream connection (with a VPN-connection and a WRDS day pass to get access from home) .

In WRDS go to CompuStat Global and choose Index Constituents.

  • At step 1 you have to enter the time frame
  • At step 2 you have to enter the TIC or GVKEYX of the index, use the link Code Lookup to find this identifier
  • At step 3: mark everything
  • At step 4: choose the output format, like Excel.

The output can look like this (in the example the constituents of the Bovespa between 2000 and 2010 were requested):

CompuStat Global gives you the SEDOL- and ISIN-codes of the companies in the index. Effective From Data is the date the company was added to the index; Effective Thru Date the date the company was deleted. When you see . the company is still part of the index.

 

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