A great thing about the internet is that it’s opened barriers to information.
Investors can now become more informed than ever before if they know where to look and whom to trust. You no longer have to go through the gatekeepers to access relevant financial market information.
That has leveled the playing field for individual investors. With an abundance of information available, the winners and losers will be determined by those who are able to better process, filter and analyze the firehose of information.
I spend a lot of time looking at historical market data and am always trying to figure out more efficient ways of doing so. While it can’t help me predict the future, it can help me analyze the present and assess probabilities from the past. Historical data do a better job predicting risk than returns, but that’s about the best you can do in the absence of a functioning crystal ball. I prize evidence over opinions, so I use a lot of back-tested data in my work.
I get a lot of questions from readers asking what data sources or models I use. I’ve been building my own Excel models and formulas for a while and have access to a handful of professional subscription-based offerings. But you don’t have to spend tens of thousands of dollars on historical data providers to access useful financial data in the internet age. There are plenty of useful free websites that have historical market data, back-testing tools, risk statistics and scenario analysis capabilities.
Here are some that I have found helpful over the years:
NYU professor Aswath Damodaran uses this site to update the performance numbers for stocks (S&P 500 SPX, +0.23% ), bonds (10-year Treasuries) and cash (three-month T-bills) once a year. It shows the annual returns for these three asset classes going back to 1928. You can download an Excel file that contains historical interest rates, bond yields and dividend yields. I use these numbers frequently.
This site has one of the best free asset allocation back-testing programs I’ve come across. There are probably 20-30 different asset classes and sub-asset classes you can back-test to the 1970s with historical returns, drawdowns, real (after-inflation) returns, and growth of your initial investment. This site enables you to perform Monte Carlo simulations on withdrawal strategies, correlation matrixes between different assets, risk factor analysis and back-test real world portfolios using actual mutual funds and ETFs. That this website is free is pretty remarkable.
Shiller has one of the longest-running data sets I’ve seen. His famous CAPE spreadsheet has the monthly stock price, interest rate, earnings and dividend data from 1871. This site has his comprehensive real estate data on home prices from 100 years ago.
People on social media love to complain about social media, but I find a ton of value in the information I receive from Twitter TWTR, -1.23% I’m constantly finding helpful research, graphs, data and analysis that I wouldn’t be exposed to otherwise. Twitter is my go-to source for what’s going on in the world of finance and the markets, along with under-the-radar research.
Ken French updates this site using much of the research he’s done over the years with Eugene Fama. This one is a factor investing nerd’s dream, although the site does take some time to figure out how to use efficiently (at least in my experience). French updates his data regularly with historical returns on factors such as small-cap stocks, value stocks, quality stocks and momentum stocks dating to the 1920s. This site has great data on sector and industry historical returns. All of the data are easily exportable to Excel.
Researchers Elroy Dimson, Paul March and Mike Staunton update this report once a year with numbers on stocks, bonds and inflation going back to 1900 for a number of countries. It’s worth going through the entire report at least once.
MSCI provides the most comprehensive free source of historical market data on foreign stock markets. It has performance numbers dating to 1970 for different countries, regions and markets, both developed and emerging.
The best curated content each and every day on investing, personal finance, research and anything else in the world of finance. If you miss anything worth reading, you can be sure it will be here.
Econ geeks love this site because the Federal Reserve has data on almost anything related to economics you can think of. There’s also plenty of good market data on stocks, bonds and interest rates as well. And the site enables you to personalize the graphs and data sets.
I find that Morningstar MORN, +0.33% has the best data on mutual funds and ETFs for performance purposes. You can see annual returns going back 10 years, and monthly and quarterly returns going back five years. The company provides after-tax returns and fund behavior gaps, which I find really useful for seeing what investors are actually earning in these funds. You can find breakdowns of fund holdings, investment styles, geographic allocations and more.
I like Yahoo US:YHOO Finance for daily historical data on stocks, interest rates and indexes. It has annual and quarterly performance numbers for mutual funds from inception, many of which give you decades of returns.
This is another great asset allocation back-testing tool that enables you to see how a number of well-known portfolios have performed over the years. This site has the best visuals of any I’ve played around with. You can also stress-test a large number of asset classes and strategies.
And here are a few more I’ve used over the years:
Send me an email if there are any that I’ve missed, and I’ll be sure to add them to this list.
Ben Carlson is the author of the blog “A Wealth of Common Sense,” where this was first published. It is reprinted with permission.