Historical returns

karim · Post by **karim** » Sun Oct 02, 2011 2:30 pm

Is there a good website that gives year by year historical returns. I wanted to explore returns and run my own correlations. For example I want to know returns for small cap value and run correlations against total stock market. I can't seem to find a good website.

George the original one · Sun Oct 02, 2011 6:17 pm

I think you're going to have to rely on indexes to figure that one out. Is there a historical index that covers "small cap value"?
Next best bet is to look for a fund that's covered "small cap value" and has a long track record, but you probably won't be able to go back before 1985 or so.

jennypenny · Post by **jennypenny** » Sun Oct 02, 2011 6:19 pm

George beat me to it, but I agree to look at index funds. Go right to vanguard's site and use their funds as benchmarks. Most have been around long enough to give you an accurate picture.

Post by **jacob** » Sun Oct 02, 2011 6:26 pm

Vanguard was founded in the same year I was born. I don't consider myself "historical". The last 35 years are certainly not "typical" on a historical baseline.
Here's some long run (back to 1871) index data.
http://aida.econ.yale.edu/~shiller/data.htm
What you're asking for is actually a lot. Financial data volume is enormous. There are databases for this, but they're typically only available to academical institutions or at a high price.

Post by **jacob** » Sun Oct 02, 2011 6:33 pm

Maybe Fama (one of the originators of the three factor model that "explains everything" with market + value + small cap, IOW the market is not quite efficient when it comes to low P/B stocks and small cap) has some data online somewhere associated with his name.

jennypenny · Post by **jennypenny** » Sun Oct 02, 2011 6:49 pm

Vanguard's core funds (large cap, small cap, windsor) have been around since the late 50s/early 60s. Wellington's been around since the 30s. A 50 year history is a good basic comparison with only 2 or 3 mouse clicks.

karim · Post by **karim** » Mon Oct 03, 2011 12:24 am

I was able to find some very good info at yahoo finance. You're able to put compare graphically multiple funds. In case any one is interested. Also you can get historical prices.

KevinW · Post by **KevinW** » Mon Oct 03, 2011 7:10 am

Simba on the Bogleheads forum put together a backtesting spreadsheet. It's well organized but only goes back to 1972. You can find it by Googling "simba spreadsheet."

JohnnyH · Post by **JohnnyH** » Mon Mar 19, 2012 9:13 pm

I remember playing on a website that would let you enter number of shares and date purchased for an entire portfolio of stocks... Then it would give graphs and figures for a return based on the date of inception you gave.
I am going nuts trying to find this site again... I thought it was "kapital" or maybe it was one of the mutual fund giants. Very frustrating I can't find it.
EDIT: kapitall.com, I should trust my memory more! Anyway, very interesting and useful portfolio simulator. Here are some snapshots:

http://dl.dropbox.com/u/91156/PP_return.jpg

http://dl.dropbox.com/u/91156/PP_holdings.jpg