The numbers behind the assets are a personal collection compiled from many reputable public sources including annual fund reports, index providers, academic research, and a good number of my own calculations. The goal is to present accurate, consistent, and actionable data that dutifully tracks real-world performance.
All of the returns data follows the same basic sourcing hierarchy:
1. Index fund returns: These are total return numbers that come directly from the annual reports of the funds. One representative fund is chosen per asset, and I refund the expense ratio to study the return before fees.
2. Underlying index data: These historical numbers come from the indices that the funds are designed to track. You may also see them used as benchmarks in various charting tools that compare a fund to its index.
3. Academic resources: These are numbers provided by investing researchers who study historical data and publish their findings. I also include my own stock and bond calculations in this category.
4. Replacement assets: When no direct or indirect data is available, I substitute similar-but-different assets to provide a bit of historical context. All of these replacements are subject to a verification process and the charts call out any data where the error is measurably large. You can read how that works here.
Here’s how it all comes together. I assemble all of my various public data sources in one spot (all carefully selected to track the same index definitions) and start going down the priority list from 1 to 4. When data is available, I use the highest-ranked source on the list. And when it’s not available, I move down to the next option. The end result is a composite history representing is the most accurate and comprehensive collection of free data that I can assemble.
If you’re looking for historical data for your own personal collection, here’s a list of free public resources worth exploring.
Where I’d Start
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.
Index fund providers such as Vanguard, iShares, and Xtrackers are required to report returns for their funds and often offer historical records back to fund inception. You occasionally have to look out for times when funds changed index methodologies (Vanguard has done this several times), but in general this is the simplest way to get fund return data.
MSCI Real Time Index Data Search — The popular index provider that many funds track offers a great tool for searching source data. Its coverage of international markets is especially thorough.
CRSP Returns — The index provider preferred by Vanguard offers downloadable spreadsheets cataloging index returns since 2001.
REIT.com — The organization that promotes REITs in the US supplies thorough historical data going back to 1972.
FTSE Historic Index Values — The official source for the most recent 2 years of FTSE index returns.
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.
Federal Reserve Economic Data (FRED) — A great source for all kinds of economic data including bond returns and inflation rates.
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.
US Department of the Treasury — My go-to source for detailed yield curves in the United States.
European Central Bank — Among tons of other EU-centric data, they have a really nice collection of Euro area yield curves.
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.
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.
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.
Shiller Data — Robert Shiller’s aggregate US Stock, bond, and inflation dating back to 1871.
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.
Crestmont Research Stock Market Matrix — The original inspiration for the Portfolio Charts Heat Map, this stock market history is packed full of useful information.
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 the results of your own fund may vary from what you see here. 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.