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Free Data Sources

Every day I receive a slew of emails asking about historical data.  While I use Global Financial Data ($), below are some resources for free and paid historical data.  If you are close to a B-School you can probably access a lot of the paid for free as well.  Some readers also suggested public libraries that give you access to ValueLine, Morningstar, etc.

Please leave a comment if you know of any other good websites I am missing.

Quandl is also another one that readers have emailed in (HT: LW).

Free Multi-Index Data

The book is about $160, although you can probably get one used for less.  Not sure how much the data sub is on Morningstar.    Stocks, Bonds, Bills, and Inflation – Ibbotson (now part of Morningstar).  Includes monthly data for US Stocks Large (1926), US Stocks Small (1926), Long Term Corporate Bonds (1926), Long Term Government Bonds (1926), High Yield Corporate Bonds (1926), Intermediate Term Government Bonds (1926), Inflation (1926), T-Bills (1926).  Since 1969 adds Gold and Value/Growth classifications.

Surprised no one has turned this into an Excel sheet.

Shiller has US Stocks, Dividends, Earnings, Inflation (CPI), and long term interest rates back to the 1870′s on his website.

Ralph Vince’s Barron’s Download

WREN

 

Free US Stock Index Data

Fama-French (Monthly 1926, Daily 1963)

 

Free Foreign Stock Index Data

MSCI Barra

 

Free Interest Rate Data

St Louis FRED CPI, Interest Rates, Trade Data

 

Free Real Estate Data

REIT data (1972)

Housing Shiller (1890)

 

Commodity Data

Morningstar, IASG, Barclay’s

 

Paid ($$) Data Sources

Morningstar Encorr ($10,000)

Morningstar Dimson, Marsh, Staunton Module ($3,000)

Pinnacle

CSI

CRSP ($25,000)

OlsenData

QuotesPlus

Norgate

 

Here are a few more summaries from Quantpedia on data and backtesters.

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