Every day I receive a slew of emails asking about historical data. While I use Global Financial Data ($), below are some resources for free and paid historical data.
Please leave a comment if you know of any other good websites.
Multi-Index Data
The book is about $160, although you can probably get one used for less. Not sure how much the data sub is on Morningstar. Stocks, Bonds, Bills, and Inflation – Ibbotson (now part of Morningstar). Includes monthly data for US Stocks Large (1926), US Stocks Small (1926), Long Term Corporate Bonds (1926), Long Term Government Bonds (1926), High Yield Corporate Bonds (1926), Intermediate Term Government Bonds (1926), Inflation (1926), T-Bills (1926). Since 1969 adds Gold and Value/Growth classifications. Surprised no one has turned this into an Excel sheet.
Shiller has US Stocks, Dividends, Earnings, Inflation (CPI), and long term interest rates back to the 1870′s on his website.
Ralph Vince’s Barron’s Download
US Stock Index Data
Fama-French (Monthly 1926, Daily 1963)
Foreign Stock Index Data
Interest Rate Data
St Louis FRED CPI, Interest Rates, Trade Data
Real Estate Data
REIT data (1972)
Housing Shiller (1890)
Commodity Data
Paid ($$) Data Sources
Morningstar Encorr ($10,000)
Morningstar Dimson, Marsh, Staunton Module ($3,000)
CRSP ($25,000)
Thanks for this – goes straight in the bookmarks!
For currency data, where a centralised market does not exist (ie hard to source “reliable” data), I think Olsen Data is very good (but quite expensive) http://www.olsendata.com/
On the other hand, they are behind OANDA FXTrade – which allows you to get free historical tick data if you have a funded account with them (check FXLabs) – I used this and this is rather good (as far as I can check…).
Other than that, I use CSI over Pinnacle: they have an API that allows you to extract the data and manipulate it. Also their continuous futures contracts adjustments offer much more options – see: http://www.automated-trading-system.com/continu... (also check related posts for API documentation and free code…).
CSI also offers free 10 year dataset (about 50 futures markets) with the trial version of TradingBlox (a back-testing software I am considering purchasing)…
Three others to add to your list:
Norgate Data (http://www.premiumdata.net)
Quotes Plus (http://www.qp2.com)
Telechart (http://www.worden.com)
Mutual Fund Data: There are many free sources for mutual fund data, and many paid sources, but most are not worth the price. Historical data for mutual funds has to be adjusted whenever a fund issues a distribution, otherwise the distribution just looks like a big price drop. If you are using computer models, and your data isn't adjusted, your models will issue erroneous trade signals. Trading on bad data can be hazardous to your wealth!
I think Yahoo Finance (free) gets their data from Reuters. Reuters is especially slow at updating their data to reflect distributions. I have seen delays of 6 to 8 weeks. This is especially problematic in late November and December when most funds issue their distributions.
In addition, Reuters doesn't seem to have any quality control. Every day there are dozens of funds that don't get updated in the Reuters data base. It's a very simple task to determine which funds have data and which ones don't, but they don't bother to update the funds that are missing, unless someone calls to complain.
http://www.fasttrack.net offers extremely accurate mutual fund data. They generally update their data to reflect distributions within 24 hours. It's well worth the price. They also offer stocks data, and I'm sure their stocks data is maintained with the same attention to detail as the mutual fund data. http://www.AccuFundTrader.com is not affiliated with FastTrack in any way.
I am almost certain that Yahoo Finance (free) actually gets its data from CSI
I am almost certain that Yahoo Finance (free) actually gets its data from CSI