Help with getting data please

LLJB

I'm trying to compare the performance of my holdings to various indices on an annual return basis in part to look at volatility and in part to figure out whether there are areas where a more passive approach might work better than an active one. I haven't had any difficulty finding calendar based annual returns for some index families, including MSCI and Russell, or for frequently used indices like the S&P 500 or Nasdaq Composite. However, I haven't been able to find historical data for more exotic products, like the S&P 500 Pure Growth/Value Index, or historical data for Lipper's category based indices. All I'm finding are averages for the last 3, 5 or 10 years without any detail behind those averages. I'm hoping someone here might know of links where I could find the detailed historical data. Thanks!

rjb112

Appreciate if you would provide links and sources of the calendar year data that you have been able to find, for all the indexes and things you mentioned in your post.

Much appreciated.

Regarding "historical data for Lipper's category based indices": have you tried emailing Lipper and asking them where you can find this?

rjb112

LLJB said:

I haven't had any difficulty finding calendar based annual returns for some index families, including MSCI and Russell, or for frequently used indices like the S&P 500 or Nasdaq Composite.

Appreciate your sources for those, so we can access them.

thanks very much

rjb112

Here's the contact URL for Lipper product support:

https://customers.reuters.com/crmcontactus/support.asp

They have a contact form you can fill out.

Also:

ibartman

Note: If the following links are able to provide you with what you were looking for, would appreciate a follow-up post summarizing which sources and links proved most useful, so that others can benefit from your efforts. Thanks.


S+P/DOW JONES INDICES

Some of the data for the S&P Dow Jones indices are available at the S&P/DJ website:

http://us.spindices.com/

as well as a "Dow Jones" website:

http://indexes.dowjones.com/

Here is a link to list on that website of All US Style and Cap Indices, including the "pure" strategies that you mentioned in original post:

http://tinyurl.com/S-P-DJ-All-Indices

If you select one (say the S&P 500 Pure Value):

http://us.spindices.com/indices/equity/sp-500-pure-value

You can play with various charts, with up to 5 years of data. To the top right of the chart is an [EXPORT] button that will give you the data in a spreadsheet.


FTSE INDICES

FTSE website is here:

http://www.ftse.com/Indices/

and here:

http://www.ftse.com/products/home

Data can be download on historical performance of FTSE indices here (includes FTSE RAFI):

http://www.ftse.com/Analytics/factsheets/Home/HistoricIndexValues

But it seems (perhaps) that you need to be a student to get access to other data:

http://www.ftse.com/Indices/Student_Information/index.jsp


CRSP INDICES

CRSP website is here:

http://www.crsp.com/products/research-products

and here:

http://www.crsp.com/products/software-access-tools

Note: This last link contains links to spreadsheets with data on market cap, sector, and growth/value index returns, along with a list of indices and associated Vanguard funds.

http://www.crsp.com/indexes-pages/returns-and-constituents


MORNINGSTAR INDICES

An overview is available here:

http://corporate.morningstar.com/US/asp/subject.aspx?xmlfile=11.xml

Annual data is available here, if you play around a bit with the data selections and tabs.

http://corporate1.morningstar.com/us/products/indexes

Ten years of annual returns, available by fund or ETF, are available here:

http://performance.morningstar.com/


MSCI INDEXES

An overview is available here:

http://www.msci.com/

Then select [Indexes] which will bring up a splash screen with various indexes.

Example (Style Indexes): http://www.msci.com/products/indexes/style/

Click [Performance], and then agree to MSCI's terms of use.
Then screen will load with drop-downs to pick parameters (style/cap) with geography list on bottom.
Pull up chart, set timeframe and then index level (probably want TR for Total Return).
Then look at data or download to excel with little green gizmo above chart.


RUSSELL INDEXES

Data is available here:

http://www.russell.com/indexes/americas/indexes/daily-values.page?


WILSHIRE INDEXES

An online calculator is available here:

http://www.wilshire.com/Indexes/Calculator/

If you register, and play around with settings (periodic returns, etc.) then can get quarterly data for up to 5 years.


VANGUARD INDEX FUNDS

A practical benchmark might be the performance of respective/similar Vanguard index funds - possibly looking at only the lower cost Admiral share classes.

The following link has controls that can be used to look at "index only" fund performance. Recent annual performance is available at Morningstar and ...?

https://investor.vanguard.com/mutual-funds/vanguard-mutual-funds-list?assetclass=all


RIMES

These folks seem to be in the business of selling cloud-based subscriptions to just about everyone's data.

http://www.rimes.com/what-we-do

While I can't imagine that they would be affordable for an individual's use, who knows?




OTHER

Also check out these links:

http://quant.stackexchange.com/questions/141/what-data-sources-are-available-online

http://fisher.osu.edu/fin/fdf/osudata.htm

http://www.quandl.com/about/data

LLJB

@ibartman and @rjb112, thanks for all the work, this is a great help.

I'm sure many of these links may be useful for lots of different purposes, so I'll summarize what I used and why.

I'm creating a spreadsheet to evaluate mutual fund performance compared to relevant ETF alternatives and index benchmarks that's far more flexible than M*'s screener. The key difference is that in Excel I can do calculations or create graphs to focus on details I care about whereas I can't do that with M* premium. For instance, I'd like to look at returns based on only the current manager's tenure and I'd like to compare the variability in average annual returns for the last 'X' years between funds, ETFs and indices. Anyone who thinks I have too much time on my hands is probably right

The indices I've used as benchmarks are MSCI, Russell and S&P. I've also used M* style box returns for mutual funds.

For MSCI, the factsheets for every index provide annual historical returns (most since 2000 or 2001) and the link I used was:

msci.com/resources/fact_sheet/

For Russell, here's a few links that provide calendar year returns rather than daily returns:

This is core US indexes:
russell.com/documents/indexes/performance-us-index.pdf

This is US growth and value indexes:
russell.com/documents/indexes/performance-us-index-growth-value.pdf

And this is my favorite because you can download data for any US index for customizable time periods:
russell.com/indexes/americas/tools-resources/index-performance-calculator.page

For S&P, the link you provided where you can export 5 years of data is helpful, but I was looking for more like 15 or 20 years of history. The following link is a blog that has captured a number of index returns for very long periods of time and this helped me particularly with the older S&P 500 returns:

financeandinvestments.blogspot.sk/2014/01/1980-2013-stock-market-returns-for.html

For the M* style box returns, I just got a quote for a mutual fund (with more than 10 years of history) of the same style I wanted, clicked on "performance" and then I could capture annual return data for the style box in the annual return section. Unfortunately M* limits its history to 10 years, and I was hoping the second M* link you provided to annual data would give me more. When I followed the link I was able to get to the point where I could see periodic returns for each style box, but when I clicked on "annual returns" nothing happened, so maybe there's an issue with the page. I'll try again tomorrow.

For the mutual fund annual returns, again M* limits the history to 10 years, but Yahoo gives you everything, so I went to Yahoo Finance, got a quote for the relevant fund and clicked on the Performance link to see annual returns for the entire history of the fund.

I may look more at the FTSE indices later this week because some of the Vanguard ETF's I've included track FTSE indices but the truth is I'm generally happy using MSCI as a benchmark so I'm not sure I'll do the work to include the FTSE index data.

LLJB