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.
Please leave a comment if you know of any other good websites.
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
US Stock Index Data
Fama-French (Monthly 1926, Daily 1963)
Foreign Stock Index Data
Interest Rate Data
St Louis FRED CPI, Interest Rates, Trade Data
Real Estate Data
REIT data (1972)
Housing Shiller (1890)
Commodity Data
Paid ($$) Data Sources
Morningstar Encorr ($10,000)
Morningstar Dimson, Marsh, Staunton Module ($3,000)
CRSP ($25,000)
