What were the list of stocks that made up the S&P 500 index given any time over the last 10 years?

Question

I wish to backtest some trading ideas over the last 10 years on the stocks that make up the S&P 500 index.

To do so, I want to recreate the S&P 500 index over the last 10 years. i.e. know the constituent stocks of the index at any stage, and then recreate the historical data for that time. I will probably make 3-monthly chunks of historical data for the stocks, including those that are now delisted.

Where can I get this information for free or for a small charge? A list of changes (up to the year 1996) may suffice.

Answer 1

S&P has this information on their web site -- but it just goes back to 2000. The link is below.

You might be able to get this information from the CRSP database -- which can be accessed through WRDS (Wharton's data system). This data is not cheap -- but if you are at a business school or are an alumni from a business school, you might be able to access it through the B-School's library for free.