I have updated this posts as the information has become incorrect.
Looking for historic compositions of indexes can be frustrating and disappointing. A database like Datastream covers many indexes (not all composed of equities). But it forces the user to download a composition for every year, resulting in many duplicates.
Compustat is better at delivering historic compositions, but the number of indexes that actually do provide historic compositions in Compustat is limited.
Earlier I made an overview of indexes in Compustat Global.
This post focuses on Compustat North America.
Update:
In 2017 (March) I have been able to download compositions of indexes
S&P 500 and S&P 1500 super composite* over 2005-2015
US Indexes (non-sector limited) providing compositions
S&P 1500 Super composite
S&P Smallcap 600 Index
S&P 400 growth
S&P 500/Barra Growth Index
S&P 500/Barra Value Index
S&P 100-Ltd
S&P 500 Comp-Ltd
Nasdaq 100
Nyse is absent
If you search the entire database, given a time window you can get an idea which indexes are covered.
*: Datastream constituent list:
This one is hidden.
Method > search in navigator for constituent list with term 1500
Select LS&P15XX < datastream doesn't give any descriptive information on this index
Back in de menuthis will provide the current composition
ad LS&P15 with month and year, e.g. being LS&P15XX1294
DATASTREAM AND COMPUSTAT COMPARED: HERE
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