Historical Index Composition

This downloader is based on the QuantShare blog post: Getting Accurate Backtesting Results: Survivorship bias-free S&P 500

It allows you to create a survivorship bias-free database of several indices. It downloads historical composition of an ETF that tracks an index then creates a custom database by assigning the value "1" to each stock that was part of that index at a specific date.

Backtesting using a survivorship bias-free database is extremely important if you want to get simulation results that are as accurate as possible. You may also want to get historical data for delisted stocks. You can obtain a list of delisted stocks here: US delisted symbols, and download data for those stocks using: Historical Quotes for Delisted US Stocks

Here is how to create a survivorship bias-free database of S&P 500 Index:

- Download and install this item
- Open the download manager by selecting "Download -> Download Manager"
- Select it then click on "Open Selected Downloader"
- In "productID" tab, type "239726" to create the historical composition of the S&P 500 Index
- In "Dates" tab, select a start and end dates then click on "Save"
- Click on "Start downloading" to begin the downloading process

You can check the product ID for different ETFs in the ishares.com website. The product ID can be seen in the URL after you select an ETF.

After the data is downloaded, a new field whose name is "iShares Core S&P 500 ETF" is created. You can access the data using the following function:
inIndex = GetData('index', 'iShares Core S&P 500 ETF');

For more information, please click on the above blog post link.

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