And if you add things like startdate for a trading system, which will also can have a big influence, you will introduce another 12% vs 14% situation.
I will go in to that a little deaper, deviating from the original subject but in a way still interesting I think.
This is a trading system that I have and actualy trade. G is the date, H to L are trading day's of the week, monday to friday. (not even going to talk about that difference )
As you can see, if I would have started trading this system om first of june 2000 on monday, I would roughly have a 20.5% CAGR.
Would I have traded this same system 2 months later, 1st of august 2000, I would have 21.5% CAGR
So the date you actualy start backtesting can allready have an almost 5% difference ! So basicaly... there is also some "luck" involved in picking the right starting date.
Therefore, I would say, don't worry to much about survivorship bias.
And, another screenshot, just because I was running some tests and wanted to check for myself what the difference would be.
All the same trading system, all from januari 2000 till present. C&P = current and past cinstituents.
Interestingly enough, both tests show fewer signals when only using current. This might very well be survivorship bias because this system is a momentum system, some stocks that get in to the index have good momentum and you now pick them up before they are actualy in the index. If I would add a volume filter, I would filter that out. I checked for example TSLA, it was a trade in 2013 and I have no idea if it allready belonged to the index (S&P500) at that time.
Also the avg profit per trade is better in the current versions. Again, apperently because you pick up some stocks that are not in the index yet...
Both good reasons to look further than the index itself.
But look ath the annual return... S&P does 1% better but Nasdaq does 2% worse. I can go in very deeply about the how and why, but all I want to point out is that yes, having index constituents can be usefull, but I doubt it is worth all the work you are putting in....
But everyone is different, some people can not do without, and that is fine with me. I also worried a lot about all this until I bumped into Norgate and found that it is far less important than I thought. For me that is, others might think very differently