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Dennis raises a very valid point.
For your reference here is the same info incl SPX starting from 1982, 1990
and 1950.
Unfortunately a lot of index sponsors do not sell historical data so one
can't reverse-engineer or backtest anything longer than is publicly
available.
Similar issue comes up with choice of index - eg -
DOT is favored in the hedging market over IIX but DOT just started trading.
Sector components of PNX - for eg - are not available.
AMEX does not return phone calls to tell me who replaced Centocor in the
Biotech index. CNTO was gobbled up by JnJ, another index component - but the
website reflects the old listing.
Different data providers classify the same company under different industry
classifications.
And so on - incl the odd days when the SPX is a 499 or 498 stock index and
SnP folks don't know it.
Also another issue is deriving today's indices based on prior years'
components.
Eg - NDX rebalances every Dec and I'm paying $$ to receive old NDX component
lists.
Then I will have to synthetically index them to arrive at a
constant-dollar-constant-component index.
We'll see how this goes.
Comments and suggestions welcome.
Gitanshu
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