Historical constituents matrix of equity index with Python Jupiter Notebook from Bloomberg Terminal

This detailed tutorial shows how you can get the historical index constituents matrix over time of an equity index with a Python Jupiter Notebook from the Bloomberg Terminal through Excel. In the video, I show you the step-by -step process to get the Dow Jones Industrial Average (DJIA) index constituents over time (2020-01-01 until 2022-12-31) from the Bloomberg Terminal. This process is especially important for time-series analysis which uses an index as a stock universe. Using only the current index constituents would only account for the current and successful companies over time and would lead to a survivorship bias. Therefore, for an analysis with an index as universe, you should always include all the companies which were at any point in time part of the index. The goal of the video is to show the coding to be able to get all these historical constituents over time and produce a historical constituents matrix with ones (company is part of the index at a specific point in time) and zeros (company is not part of the index at s specific point in time). I was using this methodology in my master thesis.
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