Olav23, You ask a fantastic question (or group of q's) which I've struggled with for over a decade.
IMO it's not just historical data that's at issue, but good quality current data, and the ability to compare data, such as across countries.
I don't have a good answer for you, but here's a few tips. I'd be glad to hear more.
-Which metric is a matter of opinion. I like P/B, P/CF, Yield, P/E. Ideally, one would use all data and insight to determine intrinsic value... Sometimes you can find someone else's opinion on that, but it will probably be a biased one.
-Sometimes the valuations seem extreme, and you can make a choice even with limited data. For example, in 1999, you may not have had good historical data, but current data was available for smallcap vs largecap, and showed a huge disparity.
In other words, if you don't have historical data, try comparing asset classes to find the cheap ones relative to each other. (Much harder to do today.)
-As you've noted, Morningstar has valuation data for many mutual funds, including index funds. If you can find a fund for an asset class you're considering buying (even if not the same fund you plan to buy) you can see if M* has current valuation data for it. Beware the quality of the data though, it can be very spotty. For example, VEIEX EM equity has shown absurd P/E numbers many times, such as 1.8.
-Like above, but go directly to the mutual fund company (such as Vanguard or Ishares) for their current valuation data. If they don't have a website, go to Edgar and look at their latest report, which may have current data.
-GMO.com has Geremy Grantham's commentary and valuations-based forcasts. He's a value investor who has gained a lot of respect and assets. Some great nuggets of info and insight here. Often there's a historical perspective.
-Thanks to Peteyperson:
http://www.globalindices.standardandpoors.com/sandp/Fundamental?index=BMI
for current valuation data. Again, beware quality issues, such as do you really beleive Venesuala stock index yields 6.77%, P/B of 1.17, and P/CF of 3.32?
-Commentary sections of annual&quarterly reports of good mutual funds sometimes have good info or opinions in them. For example, Bridgeway's Montgomery has commented on when he has thought microcaps were over or undervalued, and IIRC gave a little data on it.
-I haven't got round to it yet, but your library may have a copy of Stocks,Bonds,Bills,and Inflation, from Ibbotson. Current and historical, I believe.
-If you live near New York, you should be able to get from the library:
Title: MSCI blue book. Developed markets.
Alternate title: Morgan Stanley Capital International blue book.
Publisher: New York, NY : Morgan Stanley Capital International, c2001-
There's also a red book for EM. Has current valuation data by country--at least it used to when I last saw it and it was called Morgan Stanley Capital International Perspective.
-Forums like this one. Rick Ferri has published data on historical valuations over the last few decades, and linked to it at the diehards forum.
-Financial magazines--mostly garbage, but occasionally there's interesting historical data or commentary.
-OECD website has PurchasingPowerParity data to help indicate if a currency is over or undervalued--tho that's just one indicator. If anyone finds the graph of PPP vs per capita GDP, please let me know.
-With a lot of work, you can use broad data sources to learn about economies around the world, like the CIA world fact book, World Bank, IMF, etc.