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Leavers/Joiners on Index constituents.

I would like to find companies who left or joined an index within an specific timestamp but I'm not sure I'm getting at it correctly.

I've tried this on Excel (assuming it also works in Python):


=TR(".TRXFLDGLPU","TR.IndexJLConstituentRIC;TR.IndexJLConstituentRIC.date;TR.IndexJLConstituentRIC.change","CH=Fd RH=IN",P3)

And I get an outcome, but only for a single company.


However, if I play with the date range of the TR formula, I get NULL values.

If I wanted to get the joiners/leavers for, let's say 5 years, how I would need to do so?


Thanks in advance for any help.

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1 Answer

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39.3k 76 11 27

You need to add SDate and EDate parameters to your request.
The constituents of this index change a lot. In the last 3 months there were ~2400 changes. To retrieve all the joiners and leavers for the last 5 years you'd need to break the retrieval into several requests. Here's an example retrieving joiners and leavers for the last 3 months

ek.get_data('.TRXFLDGLPU', 
            ['TR.IndexJLConstituentChangeDate',
             'TR.IndexJLConstituentRIC.change',
             'TR.IndexJLConstituentRIC'],
            {'SDate':'0D', 'EDate':'-3M', 'IC':'B'})
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Thank you Alex!