The numbers behind the assets are a personal collection compiled from many reputable public sources and including a good number of my own calculations. Rather than track specific index fund tickers, they document the same underlying indices that the funds follow. The goal is to present clean and accurate data free of fund-specific variables that can affect returns independent of normal market performance.
Individual asset returns for each year are derived from the following sources:
Stocks: Portfolio Charts stock index calculations (based on Fama-French portfolio data), IIA, and small amounts of other sources to fill in any gaps
Bonds: Portfolio Charts bond index calculations (based on central bank, OECD, and IMF yield curve data)
Cash: Average annualized 3-month Tbill rate from OECD, and the JST Macrohistory Database to fill in older gaps
Exchange Rates: Year-end rates from the US Federal Reserve
Gold: London Bullion Market
Other: REITs, commodities, and emerging markets use data from the Simba backtesting spreadsheet. The ER is credited back to the return for consistency with other assets.
When good data all the way back to 1970 does not exist from any source, the calculations utilize similar-but-different replacement assets in order to provide valuable historical context. I use an automatic error measurement system that verifies any portfolio utilizing replacement assets accurately models the desired design intent, and every chart clearly calls out when returns are only estimated.
Portfolio Charts calculations
Stock Index Calculator — My own work reconstructing realistic size and value indices from Fama-French source data using common index fund methodologies. I use this for most of the stock data on the site.
Bond Index Calculator — My personal tool for reconstructing bond index returns from the underlying interest rates. You can also use it to build your own bond index. I use this for all of the bond data on the site.
Other free data sources you may find interesting
Simba’s Backtesting Spreadsheet — Collected from various sources around the web and maintained by the Bogleheads community, this is the definitive source of high-quality free asset data for everyday investors.
Fama-French Data Library — A massive database of US and international stock data broken down by various contributing factors. It requires a bit of a learning curve to use, but is extremely thorough and well-sourced.
Independence International Associates — A remarkable collection of all types of worldwide stock data from 1975-1996.
Federal Reserve Economic Data (FRED) — A great source for all kinds of economic data including bond returns and inflation rates.
Shiller Data — Robert Shiller’s aggregate US Stock, bond, and inflation dating back to 1871.
Crestmont Research Stock Market Matrix — The original inspiration for the Portfolio Charts Heat Map, this stock market history is packed full of useful information.
MSCI Real Time Index Data Search — The data provider that many professional indices track offers a great tool for searching source data.
OECD — An excellent free resource for all kinds of economic data around the world. I particularly like its data for inflation and short-term bills.
JST Macrohistory Database — An incredible collection of a wide variety of economic data for 17 different countries from 1870-2015. This is the source data from “The Rate of Return on Everything, 1870–2015.” in the Quarterly Journal of Economics.
International Monetary Fund — A massive resource for all types of international data. Not everything is applicable to investing, but the bond numbers are particularly thorough.
Portfolio Charts is educational in nature and my goal is simply to help investors make informed choices. In order to build simulated asset histories to model historical portfolio performance, I make use of a variety of public data freely found on the internet. I respect copyright and take several proactive steps to honor the rights of data providers:
- Raw data is not available anywhere on the site. Everything is transformed through inflation adjustments, exchange rates, portfolio weighting, and other calculations.
- Even with these transformations, the calculators are designed to prevent scraping of annual returns for individual assets. The focus here is on blended portfolios, and I recommend that people look to the professionals for hard index data.
- I do not redistribute source data. This section provides links to the same public sources I use where you can download data for your own personal use.
If you have any questions, please contact me. I take this seriously and will do everything I can to address any concerns.
Assumptions & Methodologies
Even with the best source data, the final numbers are only as good as the assumptions and methodologies used in the analysis. For more information, read this section on the overall methodology and also be sure to study the detailed notes on each individual chart page.
Never assume the data here is completely accurate. Not only may there be a few mistakes in the numbers, but the historical data is also updated from time to time by the primary sources as more information becomes available.
All numbers have been modified from their original form, and nothing you see here will exactly track any particular real-world index. The goal is simply to be reasonably accurate for general portfolio backtesting purposes.
All data is from 1970 to the present, which is the most freely available for such a wide variety of assets. Past performance is no guarantee of future returns.
The asset returns ignore taxes and fees. Fees vary by index fund, and taxes vary by location and individual. Your own results may vary.