Extended Data for US ETFs
Long Term Data Expansion
Evolution of ETFs
The inception of the first ETF, SPY, by State Street in 1993 marked the dawn of a new era in investment opportunities. Since then, the ETF market has experienced exponential growth, offering investors a plethora of options to diversify their portfolios. Unlike traditional indexes, ETFs provide a tangible investment vehicle that includes dividend income, making them a preferred choice for many investors.
The Significance of Realistic Backtesting
When it comes to backtesting investment strategies, using actual investable ETFs offers a more realistic approach. However, one of the challenges investors face is the limited time horizon of current ETFs. For meaningful analysis and robust strategy development, it's crucial to conduct backtesting over an extended period that encompasses various economic environments.
Bridging the Gap: Extending Data Accessibility
To address the limitations posed by the short time horizon of ETFs, we've embarked on a mission to extend the availability of pre-ETF price data. By meticulously sourcing and reviewing long-term historical data for benchmark indexes and ancillary indicators associated with major ETFs, we're enhancing the practicality of backtesting processes.
Data Validation for Accuracy
In our quest to provide comprehensive insights, we've implemented rigorous cross-checking procedures to validate ETF data. By comparing ETF data with existing respective benchmark index data, we're minimizing errors and ensuring the utmost accuracy in our data generation and maintenance processes. While challenges may arise due to the additional complexities of ETFs, we remain committed to adopting a conservative approach to uphold data integrity.
SPY
S&P500
1993-01-22
1960-01-01
S&P 500
S&P 500 Total return
QQQ
Nasdaq 100
1999-03-10
1985-02-04
NASDAQ 100
Russell 1000 Value TR
IWD
US stocks (Large value)
2000-05-26
1978-12-29
Russell 1000 Value
Russell 1000 Growth TR
IWF
US Stocks (Large Growth)
2000-05-26
1978-12-29
Russell 1000 Growth Index
Russell 2000 TR
IWM
US Stocks (Small Mixed)
2000-05-26
1978-12-29
Russell 2000 Index
Russell 2000 Value TR
IWN
US Stocks (Small Value)
2000-07-28
1979-01-31
Russell 2000 Value Index
Russell 2000 Growth TR
IWO
US Stocks (Small Growth)
2000-07-28
1979-01-31
Russell 2000 Growth Index
Large Cap Momentum
MTUM
US Stocks (Momentum Factor)
2013-04-18
1976-01-01
MSCI USA Momentum SR Variant Index
World Stocks
VT
World Stocks (ex-US)
2008-06-26
1976-01-01
FTSE Global All Cap Index
World ex USA
VEU
World Stocks (ex-US)
2007-03-08
1976-01-01
FTSE All-World ex US Index
MSCI Daily TR Net EAFE U
EFA
Non-US Developed Market Stocks
2001-08-17
1969-12-31
MSCI EAFE Index
MSCI Daily TR Net EAFE U
VEA
Non-US Developed Stocks
2007-07-26
1969-12-31
FTSE Developed All Cap ex US Index Net TR US RIC
MSCI Daily TR Net Em Markets
EEM
Emerging Markets Stocks
2003-04-11
1976-01-01
MSCI Emerging Markets Index
FTSE RAFI Emerging Markets
VWO
Emerging Markets Stocks
2005-03-10
1976-01-01
FTSE Emerging Markets All Cap China A Inclusion Index
ESTX 50 (EUR)
VGK
Euro Stocks
2005-03-10
1986-12-31
FTSE Developed Europe All Cap Index
International Large Cap Value
EFV
Global Value Stocks
2005-08-05
1976-01-01
MSCI EAFE Value Index
MSCI EAFE Small Cap
SCZ
Global Small Cap
2007-12-12
1992-12-31
MSCI EAFE Small-Cap Index
MSCI Daily TR Net Japan
EWJ
Japanese Stocks
1996-03-18
1976-01-01
MSCI Japan Index
BND
US Bonds
2007-04-10
1976-01-30
Bloomberg U.S. Aggregate Float Adjusted Index
U.S. Aggregate Bond
AGG
US Bonds
2003-09-26
1976-01-30
Bloomberg U.S. Aggregate Bond Index
U.S. Aggregate Bond
SHY
US Treasuries (Short Term)
2002-07-26
1976-01-01
ICE U.S. Treasury 1-3 Year Bond Index
T-Bills
BIL
US Treasuries (Short Term)
2007-05-30
1976-01-01
Bloomberg 1-3 Month U.S. Treasury Bill Index
T-Bills
IEF
US Treasuries (Medium Term)
2002-07-26
1976-01-01
ICE U.S. Treasury 7-10 Year Bond Index
US 10 YR
TLT
US Treasuries (Long Term)
2002-07-26
1976-01-01
ICE U.S. Treasury 20+ Year Bond Index
US 30 YR
EDV
US Treasuries (Long Term)
2007-12-10
1976-01-01
Bloomberg U.S. Treasury STRIPS 20-30 Year Equal Par Bond Index
US 30 YR
TIP
US TIPS
2003-12-05
1976-01-01
Bloomberg US Treasury Inflation Protected Notes (TIPS)
TIPS Series
LTPZ
US TIPS
2009-09-08
1976-01-01
ICE BofAML 15+ Year US Inflation-Linked Treasury Index
TIPS Series
LQD
US Corporate Bonds
2002-07-26
1976-01-01
Markit iBoxx USD Liquid Investment Grade Index
US Corp Bond Return Index
HYG
US High Yield
2007-04-11
1986-08-31
iBoxx $ Liquid High Yield Index
Merrill High Yield
BNDX
Global Corporate Bonds
2013-06-04
1976-01-01
Bloomberg Global Agg ex-USD Float Adj RIC Capped Hedged to USD
Foreign 10 YR Bond
EMB
Emerging Market Bonds
2007-12-19
1997-12-31
J.P. Morgan EMBI Global Core Index
JPEICORE EMBI Global Core
GLD
GOLD
2004-11-18
1960-01-01
LBMA Gold Price PM
GOLD
DBC
Commodities
2006-02-03
1988-12-02
DBIQ Optimum Yield Diversified Commodity Index
DBLCI DBC Benchmark ER
GSG
Commodities
2006-07-21
1970-01-02
S&P GSCI
GSCI
VNQ
US Real Estate
2004-09-29
1976-01-01
MSCI US IMI Real Estate 25/50 Index
NAREIT
SCHH
REITs
2011-01-13
1976-01-01
Dow Jones Equity All REIT Capped Index
REITS
RWX
Global Real Estate (non-US)
2006-12-15
1992-12-31
Dow Jones Global ex-U.S. Select Real Estate Securities Index
DJGblsctxUSRESIN
BWX
Developed Market Aggregate Bonds
2007-09-11
1997-12-31
Bloomberg Global Treasury ex US Capped Index
Foreign 10 YR
REM
US Mortgages
2007-05-04
1997-12-31
FTSE Nareit All Mortgage Capped Index
NAREIT
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