I am trying to backtest a strategy to see what would have happened if I invested in a selected subset of the Nifty Index stocks over the last 10 years or so. But since the Nifty Index composition of stocks changes twice a year or so, I need the historical composition of stocks to simulate this correctly back in time (to avoid survivorship bias). Where can I get this data of joiners / leavers of the Nifty Index over time?
This is the new link from where you can download the above mentioned IndexInclExcl.xls file.
But very strangely, even this file seems to have the data till 31 July 2020 only, NSE doesn’t seem to have updated this file after that. So from where do we get the latest list which shows all the Inclusions and Exclusions of Stocks from different NSE Indices?
Yes, it would be really helpful if instead of just having the Company NAMES, we could actually have the proper NSE SYMBOLS for the same, as that would make it much easier to work with such data.
If anyone has any ideas in this regards, then please share.
This is a more extensive source. But the data is only avlbl since 2013 or so. [url → archives of Daily/Weekly… → Market Capitalization → select Month → Get] https://www.niftyindices.com/reports/historical-data