S&P/Barra Data

Below you can find the S&P/Barra Value and Growth index constituent data as described in my 2011 JF paper. Special thanks to Standard and Poors who gave permission to share this data, and to Marc Lipson at Virginia who helped get this permission. (Barra no longer has authority to authorize such sharing.) Each directory contains a file for every month from May 1981 through March of 2003. These monthly files indentify the members of each index as of month-end. For example, SAPGRO.20001031 is the constituent file for the Growth index as of the end of October 2000. These are the original raw files as I received them from Barra.

The index methodology of S&P/Barra indices is simple. Stocks in the S&P 500 with a book-to-market ratio above a given boundary constitute the Value index and all others make up the Growth index. The boundary is reset and the indices are rebalanced every June and December so the two indices have equal market cap. No other information influences index membership. Below you can find more information about index methodology that used to be on the Barra website. Among other things, this information says that "All S&P/Barra Growth and Value indexes are rebalanced semi-annually on or about January 1 and July 1. The exact rebalance date is selected and announced by Standard & Poor's well in advance." The exact rebalancing dates are unknown to me, but in the actual data files it appears that all rebalancing is completed each year sometime in June and December.

The unique mechanical classification rules of the S&P/Barra indices make them especially useful in empirical work for three reasons. First, no hidden information causes stocks to switch indices, including hidden information related to fundamentals. The only defining characteristic of a stock that causes its index label to change is the position of its book-to-market ratio relative to the S&P/Barra boundary. On average, therefore, only fundamental characteristics correlated with book-to-market ratios change with index labels. In contrast, membership in the S&P 500 is ultimately determined by a committee that keeps all discussions confidential. Second, as either index outperforms the other, S&P/Barra must reset the boundary to include more stocks in the underperforming index regardless of anything else. As a result, some stocks switch to the Value index after their book-to-market ratios actually decrease, and others switch to the Growth index after their BM ratios actually increase. Third, the simplicity of the classification rules allow all empirical tests to be conducted using a control sample. While Barra first created the indices in May 1992, they backdated the index constituent data to May 1981, dividing the S&P 500 into two groups and rebalancing the groups every June and December, exactly as if the indices existed over this period. Data files from May 1981 through April 1992 define the control sample.

I was never given the actual book-to-market ratios that determine index membership. Moreover, replicating the Barra methodology is actually more difficult than it appears since Barra uses a proprietary method to compute book-value. Using a reasonable method to compute book-value, I was able to correctly predict index membership about 94 percent of the time. For more information see Web Appendix II.

Value Index       Growth Index       Methodology