Dow Jones Industrial Average (DJIA), NASDAQ 100, and S&P 500 index historical membership listing?
Dow Jones: http://en.wikipedia.org/wiki/Historical_components_of_the_Dow_Jones_Industrial_Average  NASDAQ: http://en.wikipedia.org/wiki/NASDAQ-100 (scroll down) S&P Tricky. From what I can find, you need to be in Harvard Business School, a member of CRSP, or have access to Bloomberg's databases. S&P did have the info available years ago, but no longer that I can find.
I tried direct indexing the S&amp;P500 myself and it was a lot of work. Lots of buys and sells to rebalance, tons of time in spreadsheets running calculations/monitoring etc, dealing with stocks being added or removed from the index, adding money (inflows). Etc. All of the work is the main reason I stopped. I came to realize the 0.05% I pay Vanguard is a great deal. "The S&P 500 index is maintained by S&P Dow Jones Indices, a division of McGraw Hill Financial. Changes to the index are made periodically, as needed.  For Facebook, you'll find it mentioned in this December 11, 2013 press release (PDF).  Quote: New York, NY, December 11 , 2013 – S&P Dow Jones Indices will make the following changes to the S&P 100, S&P 500, MidCap 400   and S&P SmallCap 600 indices after the close of trading on Friday,   December 20: You can find out more about the S&P 500 index eligibility criteria from the S&P U.S. Indices methodology document (PDF).  See pages 5 and 6: Market Capitalization - [...] Liquidity - [...] Domicile - [...] Public Float - [...] Sector Classification - [...] Financial Viability - Usually measured as four consecutive quarters of positive as   reported earnings. [...] Treatment of IPOs - Initial public offerings should be seasoned for 6 to 12 months   before being considered for addition to an index. Eligible Securities - [...]   [...]   Changes to the U.S. indices other than the TMIX are made as needed,   with no annual or  semi-annual reconstitution. [...] LabCorp may have a smaller market cap than Facebook, but Facebook didn't meet all of the eligibility criteria – for instance, see the above note about ""Treatment of IPOs"" – until recently. Note also that ""Initial public offerings should be seasoned for 6 to 12 months"" implies somebody at S&P makes a decision as to the exact when. As such, I would say, no, there is no ""simple rule or formula"", just the methodology above as applied by the decision-makers at S&P." For video games the S&amp;P home entertainment software index will probably work. For airlines there's the S&amp;P airlines index but that may not work well for private jets.  You should browse different S&amp;P indicies based on GICS classifications or any other indicies you may find and then download their returns for the past few years and run a regression analysis on excel. Find the correlation between the indicies and the stock you're looking at then select the index with the highest correlation. This didn't answer his question. Also, while I agree with you that the Dow is meaningless (and your explanation why). In the investment industry, we don't only focus on the S&amp;P Index.. Many have a specific benchmark they aim to outperform that matches their investment strategy (i.e. Russell Mid Cap Value, Russell 3000, etc.). "No. I glanced through the article you linked to.  It's quite lengthy, but not compelling. I'd not lose any sleep over this.  Others with far better credentials are making the opposite claim, that life is good and the Dow on its way to 20,000.   Back to this guy - StansberryResearch.com Reviews – Legit or Scam? offers a look at this company. Stansberry calls his company ""one of the largest and most recognized investment research companies in the world"" but references to his firm call it a clearinghouse for other authors newsletters.  Why would you give any more credence to his ranting than any other extreme prognostications?  I suppose if I told you I never heard of him it would be pretty meaningless. I certainly haven't heard of every financial writer. But if he's one of the most recognized, you'd think I might have. Note, I've edited since seeing I was downvoted. But to the question author, you might want to summarize your questions in the future instead of linking to a video or  13,000 word rant. (when you click to shut the video, the text is available.)" "I looked at data from Sept 2010 to present: Standard deviation is what shows the spread shape of returns over time, and it meanS that about 2/3 of the time, AAPL return was within +/- 1.65 higher/lower than the daily average return which was .21 %. Not sure where to go with this except to suggest that in fact, AAPL is more volatile than the S&P and even another random tech company. With time, I'd probably come up with a list of stock more volatile. I know that when I look at a list of stocks I track on Yahoo, there are always a few that are just as volatile on a given day.  Excel makes the above analysis easy to do for a given stock, and it's actually an interesting exercise, at least for me. Disclaimer - the shape of stock returns is not a bell curve, and STdev is just a best fit.  Edit - given more time to tinker on excel, it would be interesting to see how the stock's volatility tracked over the years, did it increase or does it feel that way due to the high price? A $20 swing on a $600 stock is the same as a $2 swing on a $60 stock, yet ""up $20"" sounds huge." There are the Dow Jones Sustainability Indices. I believe the reports used to create them are released to the public. This could be a good place to start. You better buy an ETF that does the same, because it would be much cheaper than mutual fund (and probably much cheaper than doing it yourself and rebalancing to keep up with the index).  Look at DIA for example. Neither buying the same amount of stocks nor buying for the same amount of money would be tracking the DJIE. The proportions are based on the market valuation of each of the companies in the index. I couldn't find historical data either, so I contacted Vanguard Canada and Barclays; Vanguard replied that  This index was developed for Vanguard, and thus historical information is available as of the inception of the fund. Unfortunately, that means that the only existing data on historical returns are in the link in your question. Vanguard also sent me a link to the methodology Barclay's uses when constructing this index, which you might find interesting as well.  I haven't heard from Barclays, but I presume the story is the same; even if they've been collecting data on Canadian bonds since before the inception of this index, they probably didn't aggregate it into an index before their contract with Vanguard (and if they did, it might be proprietary and not available free of charge). "MD-Tech's answer is correct. Let me only point out that there are easier ways to invest in the DJIA index without having to buy individual stocks. You can buy a mutual fund or ETF that will track the index and your return will be almost identical to the performance of the underlying index. It's ""almost"" identical because the fund will take a small management fee, you will have to pay annual taxes on capital gains (if you hold the investment in a taxable account), and because the fund has to actually invest in the underlying stocks, there will be small differences due to rounding and timing of the fund's trades. You also ask: Assuming that I calculated those numbers correctly, is this gain   approximately better, equal to, or worse than an average investment   for that timespan? While people argue about the numbers, index funds tend to do better than average (depends on what you call ""average"", of course). They do better than most actively managed funds, too. And since they have low management fees, index funds are often considered to be an important part of a long-term investment portfolio because they require very little activity on your part other than buying and holding." "Thanks for the response.   I am using WRDS database and we are currently filtering through various variables like operating income, free cash flow etc.  Main issue right now is that the database seems to only go up to 2015...is there a similar database that has 2016 info?  filtering out the ""recent equity issuance or M&amp;A activity exceeding 10% of total assets"" is another story, namely, how can I identify M&amp;A activity? I suppose we can filter it with algorithm stating if company's equity suddenly jumps 10% or more, it get's flagged" www.sedar.com is the official site that provides access to most public securities documents and information filed by public companies and investment funds with the Canadian Securities Administrators (CSA) in the SEDAR filing system. Now, I'm guessing - I think the doc is MDA - Management’s Discussion and Analysis of Financial Condition and Results of Operations. At least this is what appears listed for many companies. AAPL will not drop out of NASDAQ100 tomorrow. From your own quote: The fund and the index are rebalanced quarterly and reconstituted annually The point of that question is to test if the user can connect shares and stock price.  However, that being said yeah, you're right. Probably gives off the impression that it's a bit elementary. I'll look into changing it asap. There are about 250 trading days in a year. There are also about 1,900 stocks listed on the NYSE.  What you're asking for would require about 6.2M rows of data. Depending on the number of attributes you're likely looking at a couple GB of data.  You're only getting that much information through an API or an FTP.