Letters to the Editor

Historical Index Data

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).

Do you 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

This is my response.

I use Professor Robert Shiller’s S&P500 data. It includes inflation. It is the original source for the data in my calculators.
Professor Shiller’s web site
Professor Shiller's Online Data page

I have also taken advantage of the data that Gummy (Professor Peter Ponzo) has posted at his web site. He mentions a variety of sources. Gummy provides total return Treasury bond data. He does not separate individual components.
Gummy's (Peter Ponzo's) web site
Gummy’s (Peter Ponzo’s) Database

(My calculators are modified versions of the Retire Early Safe Withdrawal Calculator, Version 1.61, November 7, 2002. In addition, I have a special series of calculators that incorporate Gummy’s data. You can download my calculators from my Yahoo briefcase.)

One of the most important weaknesses of our calculators is their handling of securities other than stocks. They are treated as single-year trading instruments without any transaction charges. Professor Shiller’s data include interest rates, but not capital gains. Gummy’s data provide single-year total returns, but not interest rates. In neither case can you do what most investors do: hold to maturity. In neither case can you invest the way that real investors do: buy long-term bonds when interest rates are high, keep maturities short when interest rates are low and build bond ladders under most circumstances.

Here are two more weaknesses when it comes to the non-stock component. Both are critical when it comes to rebalancing. [These are real life issues regarding rebalancing, not simply fine points about calculators.]

1) There is an implicit assumption that you can buy and sell bonds without considering whether you will be able to find suitable replacements.
2) There is a timing mismatch between when inflation occurs and when inflation indexed securities adjust for inflation. [Rebalancing makes this timing mismatch impossible to correct.]

Be very careful about timing when you build your spreadsheet. For example, if you use Professor Shiller’s January data for prices, the capital gains calculation for a year requires you to take the following year’s January price and subtract the current year’s January price. You must look ahead. If you use Gummy’s data, you already have a report of what happened throughout the entire year. You should not look ahead.

Finally, the last time that I searched for data, I found that there are several expensive, commercial sources that will sell you just about anything.

Earlier Letters

True Buy-and-Hold Investing, TIPS and I Bonds
Letter about You Can’t Count on 7% Articles
Mortgage Backed Securities
P/E10 Graph, Zvi Bodie's Book and more
TIPS and taxable (non-qualified) accounts
Safe Withdrawal Rates and Historical Surviving Withdrawal Rates

Have fun.

John Walter Russell
September 12, 2005