Hello,
I would like to create portfolio using the constitutents of the S&P500 (as benchmark index). However, the older the period of data extraction, there is a smaller number of constituents on the data frame. I am assuming that the chain RICS contains only up-to-date constituents, and not the historical ones. Is is there an option to get the historical list of constituents with their respective additions and delistings of the index?
df, err = ek.get_data(
instruments = ['0#.SPX'],
fields = [
'TR.ISINCode',
'TR.PriceClose.date',
'TR.PriceClose',
]
, parameters={'SDate': '-20Y', 'EDate': '0D','Frq':'Y'}
)