Counting the S&P 500 as it was

“What share of S&P 500 stocks were above their 200-day average in 2008?” If you answer with today’s members, you leave out every company that fell out of the index, and the past looks healthier than it was. The answer needs the members as of each date. ChartRow’s S&P 500 breadth page can count those.

Where the old member lists come from

We do not license the index provider’s data. The lists come from SPY, the largest fund that tracks the index, which has filed its holdings with the SEC for decades: twice-yearly reports to shareholders from December 1995, then quarter-end holdings from September 2019. A holding counts as a stock only when two things agree: its name, checked against the SEC’s record of company name changes, and the price the fund reported for it.

Pricing companies that no longer trade

A member we never carried still needs a price history to count. For those we use an archived public-domain price dataset (frozen in March 2018), and match each holding by price: the series has to agree with the price SPY filed on every report the holding appears on, at least three of them. In 1995 that brings the count of priced members to 201 of 500, up from 159 without it.

What that leaves out

Coverage is far from complete in the early years, and the companies most likely to be missing are those that failed or were bought long ago. So the early figures still lean toward survivors, less than they did. The breadth page states how many members each date counts, so you can see how much of the index a reading covers.