S&P Dow Jones Indices

Overview

The Historical S&P Dow Jones Indices dataset on WRDS provides historical index-level data for S&P and Dow Jones indices, including the S&P 500, S&P 400, S&P 600, and Dow Jones Industrial Average.

What you can find here:

• Index levels: daily closing values for S&P and Dow Jones indices
• Index returns: price returns and total returns (including dividends)
• Constituent data: historical index membership (which companies were in the S&P 500 at any point in time)
• Sector indices: S&P sector and industry-level indices

This data is commonly used for benchmarking, studying index effects (additions/deletions), and constructing market return series.

WRDS Access

• WRDS web interface: Historical S&P Dow Jones Indices
• Python API library: spdji
• Update frequency: Daily
• Data dictionary: Link

Example

import wrds
conn = wrds.Connection()

# List available tables
conn.list_tables(library='spdji')

For more examples, see the Python API notebook.