Data Sources

The numbers behind the assets are a personal collection compiled from many reputable public sources and including a good number of my own calculations.  The goal is to present clean and accurate data free of fund-specific variables that can affect returns independent of normal market performance.  While these returns may not perfectly track the performance of your favorite fund every year, I’ve personally verified that every series reasonably models the intended market for general comparison purposes.  

 

Asset Sources

Individual asset returns for each year are calculated from the following sources:

Stocks: Portfolio Charts calculations (based on Fama-French source data), Fama-French, IIA, and small amounts of MSCI to fill in any gaps

Bonds: Portfolio Charts bond fund calculations based on central bank yield curve data

Cash: Average annualized 3-month Tbill rate from OECD

Inflation: OECD

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.

 

Replacement 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 make use of 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 the complete size and value indices for US stock markets. Complete with methodology and data.  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 collection of high-quality free asset data for everyday investors.

Fama/French Data Library — A massive collection 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.

 

Fair Use

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.

 

Disclaimers

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.