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Historical Index Data for Various Asset Classses
Old 09-10-2005, 07:26 PM   #1
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Historical Index Data for Various Asset Classses

I am interested in running my own spreadsheet in which I would make allocations to a variety of asset classes. In order to do this I need to obtain historical total return index data for the various asset classes. So far I have located the data for the dfa index funds. I also have found data on the S&P site, but it only goes back to 1990. Dow Jones Wilshire also has some data. However I have not found any total return data for domestic bond indices (although the US Treasury does provide yield data).

Does anyone have any suggestions on other ways that I can obtain historical total return index data for asset classes, both domestic and foreign? I would like to run data going back to around the 1960s.

Thanks for you help

Jerry
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Re: Historical Index Data for Various Asset Classses
Old 09-10-2005, 09:02 PM   #2
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Re: Historical Index Data for Various Asset Classses

yahoo finance might be useful on some of this. Boy, it sounds like you are looking to get pretty detailed on your spreadsheets. I assume some conservative rates of return on my various investments and just look at the end of the year where I am.
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Re: Historical Index Data for Various Asset Classses
Old 09-11-2005, 07:19 AM   #3
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Re: Historical Index Data for Various Asset Classses

Quote:
Originally Posted by maddythebeagle
yahoo finance might be useful on some of this. Boy, it sounds like you are looking to get pretty detailed on your spreadsheets. I assume some conservative rates of return on my various investments and just look at the end of the year where I am.
Still using the backs of scrounged envelopes here

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Re: Historical Index Data for Various Asset Classses
Old 09-11-2005, 07:44 AM   #4
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Re: Historical Index Data for Various Asset Classses

I put the French total return data into the REHP calculator to see how small cap value performed. You might find some useful information here:

http://mba.tuck.dartmouth.edu/pages/...a_library.html
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Re: Historical Index Data for Various Asset Classses
Old 09-11-2005, 11:59 AM   #5
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Re: Historical Index Data for Various Asset Classses

Quote:
Originally Posted by Michael
I put the French total return data into the REHP calculator to see how small cap value performed...*
What did you learn, Michael?

Cb
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Re: Historical Index Data for Various Asset Classses
Old 09-11-2005, 02:43 PM   #6
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Re: Historical Index Data for Various Asset Classses

Adding SCV improved portfolio performance (and SWR) in the period covered in the French data base. Gummy did small cap work that showed an all SCV portfolio making the SWR worse in periods before the French data (too volatile). See his web site for details.

However, in recent times, adding some SCV, and re balancing, improved performance. Small cap growth, by contrast, was bad news.
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