Edited by William J. Bernstein
The Search for Usable Time Series
Probably the most difficult task facing the amateur portfolio theorist is the garnering of reliable asset returns data appropriate for use in mean variance oprimizers and backtesters. There are numerous sources of time series data available on the web (see in particular the Federal Reserve's FRED, J. P. Morgan's RiskMetrics, and FINWEB's Financial Data Finder.) Unfortunately, almost none of these are in the form of usable monthly, quarterly, or annual total return data for broad asset classes. Webwise, the only really usable publically available time series I'm aware of are the Vanguard Index Funds and the Barra series, which are fairly limited in both time and scope. Both of these are most easily accessed through Bill Sharpe's website.
The most useful publically available total return time series are available from Morningstar and Ibbotson. Unfortunately, Efficient Frontier is unable to reproduce these data without violating copyright law.
Efficient Frontier would greatly appreciate contact from anybody who is aware of the existence of other usable public domain asset class total return time series data, or from any institutional players who are willing to make their data public. You can reach Efficient Frontier at email@example.com.
William J. Bernstein
copyright (c) 1996, William J. Bernstein