I've been searching around but most data is patchy and incomplete, so before I re-invent my wheels, I'd like to check if the data I'm looking for is already somewhere, or at least there are several sources I can use to lighten my workload:
My objective is to backtest an investment in SPY that was lump-summed once. For example, if I invested $10K in SPY on 1st May 1988, AND (this is a big AND) the SPY components stay the same as of 1stMay1988 until today, that means if a ticker was removed after the date, we continue to backtest its performance, and we ignore tickers added after that date.
I believe I need the following data:
- List of SP500 components on any one date
- Weight of these 500 tickers on that date
With these data, I can do individual backtest then weight them accordingly.
Why am I doing this? Admittedly this has no financial value because it doesn't replicate real life scenario. However I strongly believe in cycle and balance, which means what goes up must come down etc etc, and SPY is the only one that is always going up, perhaps it is due its components and weights keep changing, so I just want to scratch this itch.
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