Purchase a dataset that lists all the changes to the index constituents since 1970/1990/2000 (the Researcher Dataset provides the changes since the year 1963), including a summary sheet that allows you to quickly check the components for any date. The dataset includes exact change dates, ISIN codes, ticker symbols and GICS Sector & Industry classifications of all the companies. Full refund guaranteed if you are not fully satisfied with the data for any reason. Check a sample dataset from here.
For key historical data of the index companies, purchase the S&P 500 Researcher Dataset by Siblis Research which provides quarterly earnings, share prices, outstanding shares, market caps, enterprise values, P/E & P/B ratios and EV/EBITDA multiples of all current & past S&P 500 companies since 3/31/1979. The dataset provides also adjusted share prices (total returns) which allows you to examine the performance of the companies before/during/after a company was part of the index. Changes to the index components are listed since 1/1/1963. Download a sample dataset from here.
S&P 500 Change History
The composition of S&P 500 is not strictly rule-based but S&P’s Index Committee makes the final decisions about the additions and removals of the index components. When the Committee decides that a change is needed, S&P Dow Jones Indices issues an official announcement usually a week beforehand that describes which index components are replaced by new stocks. The historical announcements can be found e.g. from the announcement archive of S&P.
Tracking the historical changes can be challenging because the names and ownership structures of corporations keep constantly changing. Extra attention is especially needed with mergers and acquisitions.
For example the original BankAmerica (BAC) was added to S&P 500 in July 1976. But the current Bank of America (BAC) has its roots in NationsBank that acquired the original BAC in 1998. In the component changes dataset, the original bank is marked as “BAC (Old)” to separate it from the new corporation.
Financial industry has been especially prune for mergers and adopting new company names. When First Union acquired Wachovia National Bank in September 2001, First Union was the nominal survivor but the bank decided to still to select Wachovia Corporation as their name.
One of the trickiest cases is probably the intervening history of Citigroup and The Travelers Companies. The original Travelers went through a series of mergers in the 1990s and finally merged with Citicorp to become Citigroup in 1998. Travelers Group was the nominal survivor and Citicorp Inc. (CCI) was deleted from the index in October 7th 1998. The merger was a disappointment for all the parties and Travelers was spun off as a separate entity a few years later. The new Travelers become part of S&P 500 under the name of Travelers Property Casualty (TAP.B) on August 20th 2002.
The company was then bought by St. Paul Insurance in 2004 to form St. Paul Travelers but soon the Saint Paul was dropped from the name and the corporation become just Travelers Companies (TRV). TAP.B was removed from S&P 500 on April 1st 2014. The company now operating under Citigroup name was trading under TRV ticker (the current symbol of Travelers) between 1994 and 1998 so it is easy to mix up the stock histories of the companies.
Siblis Research has carefully validated our historical component datasets from multiple sources and we can guarantee that the data is perfectly accurate.
Changes to S&P 500 composition during 2017
During 2017, S&P Dow Jones Indices replaced 27 companies. This is two more than in 2016 when 29 stocks were shuffled.
During the first quarter of 2017, Advanced Micro Devices Inc (AMD), Raymond James Financial (RJF), Alexandria Real Estate Equities (ARE), Synopsys Inc (SNPS), Dish Network (DISH), Regency Centers Corp (REG), CBOE Holdings Inc (CBOE), Incyte Corp (INCY) and IDEXX Laboratories (IDXX) were added to the index. Urban Outfitters (URBN), Frontier Communications (FTR), First Solar Inc (FSLR), Harman Int’l Industries (HAR), Linear Technology Corp. (LLTC), Endo International plc (ENDP), Pitney Bowes Inc (PBI), Spectra Energy Corp (SE) and St. Jude Medical Inc (STJ) were removed.
During the second quarter, Everest Re Group (RE), Hilton Worldwide Holdings Inc. (HLT), Align Technology Inc. (ALGN), ANSYS Inc. (ANSS), IHS Markit Ltd. (INFO), Gartner Inc (IT) and DXC Technology (DXC) replaced Mead Johnson (MJN), Yahoo! Inc. (YHOO), Teradata Corp. (TDC), Ryder Systems Inc. (R), Tegna, Inc. (TGNA), Dun & Bradstreet (DNB) and Southwestern Energy (SWN).
During the thirth quarter, Cadence Design Systems (CDNS), SBA Communications (SBAC), IQVIA Holdings Inc (IQV), Brighthouse Financial Inc (BHF), MGM Resorts Int’l (MGM), ResMed Inc. (RMD), Packaging Corporation of America (PKG), A.O. Smith (AOS) and Duke Realty Corp (DRE) were added and Staples Inc. (SPLS), DuPont (DD), Whole Foods Market (WFM), AutoNation Inc (AN), Reynolds American Inc. (RAI), Mallinckrodt (MNK), Murphy Oil (MUR), Bed Bath & Beyond (BBBY) and Transocean (RIG) were removed.
During the last quarter of the year, Huntington Ingalls Industries Inc. (HII) and Norwegian Cruise Line Holdings (NCLH) replaced C. R. Bard Inc. (BCR) and Level 3 Communications (LVLT).
Standard & Poor’s 500 stock index includes 500 large companies (not necessary the largest, there are also other criteria than market cap) that are listed on the NYSE or NASDAQ. The index has currently 505 constituents: Alphabet (GOOG & GOOGL), Discovery Communications (DISCA & DISCK), Twenty-First Century Fox (FOXA & FOX), News Corp. (NWSA & NWS) and Under Armour (UA.A & UA) each have two different share classes part of the index.
On February 2014, S&P Dow Jones announced that Google’s new share Class C will replace the old Class A. However, one month later S&P cancelled their previous announcement and said that both Classes shall be included to SP’s US indexes. Soon another stock line from Discovery Communications was also included and the total number of constituents at the end of 2014 was 502.
Under the new guidelines, all eligible stock classes for a company that meet certain liquidity and materiality thresholds will be included in the index. Before S&P Dow Jones changed their rules for additional stock classes, the weight of a component was calculated using the total shares outstanding (float-adjusted) as the share count and the price of the most liquid share class as stock price. Under the current system, each share class line is assigned a weight that is proportional to its float-adjusted market capitalization.
On September 2015, additional stock classes from Comcast, Twenty-First Century Fox and News Corp. were added. There are still ten companies currently part of S&P 500 with additional stock classes that have only one share line part in the index. These stock classes have not fulfilled the addition criteria. S&P Dow Jones has particularly stated that Berkshire Hathaway (BRK.B) will have only its Class B share included to its indexes.
S&P has justified the change by stating that “Multiple share classes are becoming more common among US corporations, especially in the technology sector. Were the trend ignored, some indices would have difficulty properly representing major market segments while providing sufficient liquidity to accommodate trading and necessary index adjustments.”
How often has the S&P 500 index composition changed?
Between 1/1/1963 and 12/31/2017, 1,259 components have been replaced with another stocks. For the past 51 years, the average number of component changes has been 23 per year. During 1976, Standard & Poor’s made major changes to the rules of S&P 500 and 60 companies were replaced. Before this year, there were no financial companies included. A lot of component shuffling was happening during the dot-com boom at the end of 1990s. The bubble started to burst in 2000 and 56 companies were swapped this year. The slowest year was 1992 when only 7 corporations were replaced. The most common reason why components are replaced is mergers and acquisitions. Companies can also be deleted if they are violating the addition criteria of the index, the most important being sufficient market value.
How are the components selected and the index value calculated?
S&P 500 index includes 500 large companies listed on the NYSE or NASDAQ stock exchanges. Together with Dow Jones Industrial Average Index, the index is the most followed gauge for measuring the performance of US stock market and US economy as a whole. The index is maintained by S&P Dow Jones Indices that decides the constituents and manages their weights. In order to be included, a company must have a market value over US$5.3 billion and monthly trading volume of the company’s shares must be at least 250,000.
The value of the index is calculated by dividing the sum of the adjusted (free-float) market cap of all the components by the index divisor. The value of the divisor does not stay the same but is altered when components are changing or some corporate actions are affecting the market value of the current constituents. On December 2017, the total market cap of the index was $23,938,148.8 million. Download the latest official fact sheet for S&P 500 from here.
Does addition to S&P 500 index increase the stock value of a company?
Many studies have concluded that an addition to the S&P 500 index has a positive impact for a company’s share price. For example, Anthony W. Lynch from New York University and Richard R. Mendenha from University of Notre Dame have proved a positive abnormal return for shares added to the index of about 3.8% over the period starting the day after the announcement and ending the day before the effective date of the change. Their data also shows that deletion from the index causes significant post-announcement decrease in stock prices. Several explanations for this positive price effect have been suggested. Petya Platikanova from Ramon Llull University has suggested that discretionary accruals (non-obligatory expense, e.g. future bonus for management, that is yet to be realized but is already recorded in the account books) significantly decrease after companies are added to the index, which greatly improves earnings quality.