The Bogleheads community deserves tremendous credit for compiling and updating Simba’s Backtesting Spreadsheet, the source for the majority of data on this site. The information below outlines the specific source data for each asset class. I make absolutely no claims regarding the accuracy of any data. All data is from 1972 to the present, and past performance is no guarantee of future returns.
US STOCKS
Total Stock Market
CRSP Market Decile 1-10 1972-1992
Vanguards Total Stock Market Index Fund (VTSMX) 1993+
Large Cap Value
Fama and French 1972-1978
Russell 1000 Value Index 1979-1992
Vanguards Value Index Fund (VIVAX) 1993+
Large Cap Blend
S&P 500: Standard & Poors 1972-1976
Vanguards 500 Index Fund (VFINX) 1977+
Large Cap Growth
Fama and French 1972-1978
Russell 1000 Growth Index 1979-1992
Vanguards Growth Index Fund (VIGRX) 1993+
Mid Cap Blend
CRSP Decile 3-5 1972-1978
Russell Mid Cap Index 1979-1998
Vanguards Mid Cap Index Fund (VIMSX) 1999+
Small Cap Value
Ibbotson 1972-1978
Russell 2000 Value Index 1979-1998
Vanguards Small Cap Value Index Fund (VISVX) 1999+
Small Cap Blend
Ibbotson 1972-1978
Russell 2000 Index 1979-1991
Vanguards Small Cap Index Fund (NAESX) 1992+
Small Cap Growth
Ibbotson 1972–1978
Russell 2000 Growth Index 1979-1998
Vanguards Small Cap Growth Index Fund (VISGX) 1999+
Micro Cap
CRSP Decile 10 1972-1997
BRSIX Bridgeway Ultra Small Market (BRSIX) 1998+
INTERNATIONAL STOCKS
Total Int’l
MSCI EAFE Index 1972-1987 (Developed Only)
85% EAFE Index
Vanguards Total International Index Fund (VGTSX) 1997+
Int’l Developed
MSCI EAFE Index 1972-2000 (Developed Only)
Vanguard Developed Mkts Idx (VDMIX) 2001-2013
VTMGX 2014
Emerging Market
IFA website (added back expenses):1972-1987
(http://www.ifa.com/library/support/data/IFAindexdata.asp)
Allocated 50% IFA Intl Value Index and 50% IFA Intl Small
MSCI Emerging Mkts Index 1988-1994
Vanguard Emerging Mkts Idx (VEIEX) 1995+
Pacific
MSCI Data 1972-1990
Vanguard Pacific Stock Index (VPACX) 1991+
Europe
MSCI Data 1972-1984
Vanguard Europe Stock Index (VEURX) 1991+
Int’l Value
IFA Intl Value (ifa.com) 1972-1974
MSCI EAFE Value 1975-1996
Vanguard Intl Value (VTRIX) 1997+
Int’l Small
Intl Small IFA website (added back expenses):1972-1974
Intl Small 1975-1996
VG Intl Explorer – 1997 – 2009
FTSE All-World ex-US Small Cap Idx (VFSVX) 2010+
BONDS
Total Bond Market
Ibbotson 1972 Lehman Brothers 1973-1986
Vanguards Total Bond Index Fund (VBMFX) 1987+
Long Term Treasury
Tamasset Spreadsheet 1972-1986
Vanguards Long Term Treasury (VUSTX) 1987+
10 Year Treasury
http://pages.stern.nyu.edu/~adamodar/New_Home_Page/datafile/histretSP.html
5 Year Treasury
Tamasset Spreadsheet 1972-1991
Vanguards InterTerm Treasury Fund (VFITX) 1992+
Short Term Treasury
ST Treasury (2F) IFA website: 1972-1991
Vanguard Short Term Treasury (VFISX) 1992+
Synthetic TIPS
Synthetic TIPS data provided by Cb (Data from Kothari’s paper) http://www.diehards.org/forum/viewtopic.php?t=281
Vanguard Inflation-Protected Security Fund (VIPSX) 2001+
OTHER
Commodities
COMM – Commodities/Natural Resources Collaterallized
Chase Index 1972-1990
DJ-AIJ plus T-Bills 1991-1996
DJ-AIG plus Yahoo’s IPS ‘category’ returns 1997-2001 (prior to VIPSX)
DJ-AIJ plus VIPSX – 2001-2002
Pimco (PCRIX) 2003+
GOLD
Kitco returns – 1972 – 2004
GLD ETF (GLD) 2004 – 2014
REIT
Nat. Assn. of Real Estate Inv Trusts 1972-1996
Vanguards REIT Index Fund (VGSIX) 1997+
Treasury Money Mkt
T-Bills 1972-1983
Vanguard Treasury Money Market Fund (VMPXX) 1984+
VG Treasury (VMPXX) merged with Admiral Treasury (VUSXX) in Aug 2009
