It’s never been easier for the average investor to find long term return data. The asset class tables I started several years ago, never would have been possible without it.
The benefit is the ability to turn a pile of numbers into a visually appealing tool — something people can learn from and, hopefully, make more informed investment decisions.
All the index data I use in the tables can be found online in some form. To get the returns still requires a little math. Since I’m doing the work for the tables anyways, I thought I’d publish it in case others might it useful.
Anyone who’s interested can find it on the new Historical Returns page. You can click the download buttons to grab a copy in CSV or Excel formats.
It includes a few different asset class, which are fairly easy to find. However, returns by country are harder to find for some reason. MSCI offers index data for all of it, but I’ve never seen long-term returns, broken down by country, published online. Maybe I’m not looking hard enough? So returns for developed market and emerging market countries can be found in separate tables on the page too.
For now, its just annual returns. I have some monthly, and a few daily returns data, that I may add later. I left out US sector data because what I have only goes back a few years beyond what it’s in the sector tables (if anyone wants to donate longer-term sector data, I’d be immensely grateful). And if the data doesn’t go as far back as you’d like, it’s because it either didn’t exist or I don’t have it.
What’s there is just a drop in the buck compared to the other great resources available. I share a few at the bottom of the tools page, but here’s a few more for good measure:
- MSCI – all MSCI index data: by region, country, sector, size, styles, and currency. I wish the other index providers were this transparent with data.
- Portfolio Visualizer — besides being a great tool for backtesting portfolios, it has return data for a few dozen different assets going back to 1972 or something.
- Fred — the St. Louis Fed’s expansive collection of economic data. It also has market data and embeddable charts.
- Cowles Commission Data — for the really old school data go here. The Commission was created in 1932 and collected stock price data from old newspapers going back to the late 1800s when railroads and utilities dominated the U.S. markets. The site also has other historical data not related to Cowles like the South Sea Bubble, NYSE, London Exchange and more.
- Quandl – I haven’t spent much time on the site, but has a huge collection of free and paid data sources.
- Robert Shiller’s Online Data — his CAPE ratio, confidence index, US stock market data to 1871, and home price index to 1890 are available here.
- Fama/French Data Library — probably the most comprehensive factor data sets available. It does take a bit of figuring out though.
- Research Affiliates — the asset allocation tool is one of the cooler interactive tools that has come out in the last couple years.
- Russell’s Asset Class Dashboard — compares current asset performance against it’s typical and historic range.
- Surrounded by Yes – S. Godin
- The Coddling of the American Investor – Irrelevant Investor
- Survival = Risk Management – i3 Insights
- Financial Advice For My New Daughter – M. Housel
- The First Draft of Anything is Sh*t – R. Holiday
- Value Portfolios Formed on P/Es are Underperforming Glamour for the Longest Time EVER Since 1951 – Acquirer’s Multiple
- Michael Mauboussin: Overcoming Biases for Effective Decision-Making (podcast) – Value Investing with Legends
- Jim O’Shaughnessy: What Works (video) – The Acquirer’s Podcast
- Stanley Druckenmiller at The Economics Club of New York (video) – Facebook
- History’s Greatest Horse Racing Cheat and His Incredible Painting Trick – Narratively
- D-Day Journeys: Personal Geographies of D-Day Veterans 75 Years Later – Library of Congress