[R-sig-finance] data sources

Paul DeBruicker pdebruic at gmail.com
Wed Mar 1 23:29:47 CET 2006

Hi Gabor,

Here's a few places to start for monthly prices:

Wilshire has them for U.S. domestic equity and REIT indices back to
Jan 1979.  They're broken up by style and capitalization. You want
Return Since Inception, probably. Each index can be downloaded
individually as a *.csv file.

MSCI has them for international equities and most of their other
indices.  You'll have to register and agree to their license.  I
forget how, exactly, you can access the data, but starting with the
"License & Data Download" button on the left hand side of the
http://www.msci.com website is where I'd start.  They go back into the
1970's as well.

Citigroup has them for American bonds (govt, corporate, agency,
mortgages) through the bloomberg with their BIG indices. enter SBI
<Go> on the Bloomberg to get the index tickers then download as you
normally would into R or Excel.  You can probably get international
bond information from them as well, but I haven't looked for them.

CRSP has their own index product for about $8,000 per year.  They
offer discounts based on assets under management.

FRED (The Federal Reserve in St. Louis) has loads of free time series
as well. http://research.stlouisfed.org/fred2/

Hope this helps

Paul DeBruicker

On 3/1/06, Gabor Grothendieck <ggrothendieck at gmail.com> wrote:
> Is anyone aware of data sources, preferably free but
> commercial if need be, for historical price
> data (daily, weekly or even monthly would be ok)
> for various broad asset classes.
> _______________________________________________
> R-sig-finance at stat.math.ethz.ch mailing list
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