Historical Index Data (EOD/EOM)

B

bena

Hi all

Does anyone have ideas where to source historical (EOD or EOM) index values, preferably from 1970 or thereabouts? I'm looking to validate the back-tests published in Dual Momentum Investing (by Gary Antonacci) but it's difficult to do so without the indexes. Major ETFs offer an index proxy, but only cover a fraction of the 4 decades. I have very fine-grained Nanex data, but it lacks indexes such as MSCI EAFE and it only begins from 1/1/2004 in any event.

Thanks for any suggestions.
 
Very few indexes go back that far and very few index providers have extended any indexes created in the last 20 years back that far.

Perhaps if you could tell us what type of indexes you are seeking? Which markets? Security Types? Market Cap? etc.
 
I need those indexes used in the aforementioned book in order to validate the results in the book. If interested you can freely download the paper that provides the basis of the strategy from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2244633. The indexes in that paper are listed in section 2, Data and Methodology:

MSCI US
MSCI EAFE (Europe Australia Far East)
Barclays Capital Long US Treasury
Intermediate US Treasury
US Credit
US High Yield Corporate
US Government and Credit
US Aggergate Bond
Government and Credit Index
90 Day US Treasury Bill returns
FTSE NAREIT US Real Estate Index
S&P GSCI
London PM Gold Fix

I've thought of various other techniques, such as picking representative ETFs and finding the highest correlation to longer-term index data I can pull from Quandl or similar, or just validating the book using my data set that begins 1/1/04 and trusting the author was accurate with earlier data if the post-2004 data checks out, but I was hoping someone might be aware of a vendor offering the longer-term index data I need to undertake a more robust analysis.

I wrote to the author to ask where he obtained the data and did not receive a response to date. It's only been around 24 hours though.
 
Most of those indices are definitely in the realm of only available on institutional platforms - others are a bit vague (i.e. who is the issuer of the index etc.). I find it quite surprising that the paper does not referencing the data vendor and symbols used, and explain why that data is actually applicable to their paper. The two latter ones are easily found on the Internet and with retail data vendors.
 
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