Hi,
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?
Thanks,
Ishwar.
you can contact the private data vendors and can get the 10 years Nifty data.
https://www.quandl.com/data/NSE/CNX_NIFTY-National-Stock-Exchange-of-India-NSE-Stock-Index-CNX-Nifty
historical data from 1995 to till date
I had been trying to find this data for some time and came across your question. This may be a good place to document this.
On this link https://www.nseindia.com/content/indices/IndexInclExcl.xls : This is an excel sheet with inclusion/exclusion dates for various securities in nifty.
https://archives.nseindia.com/content/indices/IndexInclExcl.xls
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?
Thanks for any help in this regards.
+1
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.
Thank you.
https://www.niftyindices.com/Indices_-_Market_Capitalisation_and_Weightage/indices_dataMar2022.zip
Constituents of all indices are available here monthly from April 2013 to March 2022.
Only F&O index constituents are available from April 2022.
Does anyone know where can I find Nifty 500 constituents for 2011 and 2012?
Hi,
You can check this website- Stock Screener: The Best Stock Screener Tool by Trade Brains Portal<!-- --> for detailed analysis on stocks of Nifty Index.
@algoquant although it would take a lot manual effort, but the list that you are looking for, can be created from the link that I have posted above -
https://archives.nseindia.com/content/indices/IndexInclExcl.xls
That file has got the sheet named “Nifty 500” which gives the details of all the symbols from that Index, starting from 1 Aug 1998 onwards.
If I find a better source for this data, then I will keep in my mind, to post the update here.
Best Regards
Anything about Sensex,midcap and smallcap
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
PS: but i am seeing since April 2022, they have cut short the report and only few like N50 , etc is avlbl.
hey, by any chance is there an updated file of the same available?
