UnThreaded | Threaded | Whole Thread (22) | Ignore Thread Prev | Next
Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 252173  
Subject: Re: ETF Backtest portfolio MA Date: 10/7/2012 10:43 AM
Post New | Post Reply | Reply Later | Create Poll . Report this Post | Recommend it!
Recommendations: 2
I was thinking more along the lines of the sort of data set you'd use for QTAA testing.
I'd like to see monthly high/low/close total return for several different asset classes back to the 60s.
(why highs? "above 10 month SMA" is fine for G7 equities, but "new high lately"
seems much better for spiky/bubbly things like gold and commodities)


Fantastic IDEA. Unfortunately not very practical for us humans. To many current ETF's on indices that didn't exist that far back.

If you could accept about 12 years of data this(or something similiar) FIDO_free Balanced qrouping might be worth the effort to backfill with index data.

                                                           ETP   Trade  Inception  Inception  Required
ETP Name Symbol Type Free Date ToDate(Y) Backfill(d)
ISHARES MSCI ACWI INDEX FUND ACWI ETF Yes 26-Mar-08 4.53 -2762
ISHARES MSCI ACWI EX US INDEX FUND ACWX ETF Yes 26-Mar-08 4.53 -2762
ISHARES BARCLAYS U.S. AGGR BOND AGG ETF Yes 22-Sep-03 9.04 -1138
ISHARES DOW JONES SELECT DIVIDEND DVY ETF Yes 3-Nov-03 8.93 -1179
ISHARES MSCI EMERGING MARKETS INDEX EEM ETF Yes 7-Apr-03 9.50 -973
ISHARES MSCI EAFE EFA ETF Yes 14-Aug-01 11.15 -380
ISHARES JPMORGAN USD EMERGING MARKETS BOND FUND EMB ETF Yes 17-Dec-07 4.81 -2663
ISHARES IBOXX $ HIGH YIELD CORPORATE BOND HYG ETF Yes 4-Apr-07 5.51 -2410
ISHARES DOW JONES EPAC SELECT DIVIDEND INDEX FUND IDV ETF Yes 11-Jun-07 5.32 -2477
ISHARES S&P MIDCAP 400 IJH ETF Yes 22-May-00 12.38 62
ISHARES S&P 500 VALUE IVE ETF Yes 22-May-00 12.38 62
ISHARES S&P 500 IVV ETF Yes 15-May-00 12.39 69
ISHARES S&P 500 GROWTH IVW ETF Yes 22-May-00 12.38 62
ISHARES RUSSELL 1000 IWB ETF Yes 15-May-00 12.39 69
ISHARES RUSSELL 1000 VALUE IWD ETF Yes 22-May-00 12.38 62
ISHARES RUSSELL 1000 GROWTH IWF ETF Yes 22-May-00 12.38 62
ISHARES RUSSELL 2000 IWM ETF Yes 22-May-00 12.38 62
ISHARES RUSSELL 2000 VALUE IWN ETF Yes 24-Jul-00 12.20 0
ISHARES RUSSELL 2000 GROWTH IWO ETF Yes 24-Jul-00 12.20 0
ISHARES RUSSELL 3000 IWV ETF Yes 22-May-00 12.38 62
ISHARES DOW JONES US REAL ESTATE IYR ETF Yes 12-Jun-00 12.32 42
ISHARES IBOXX $ INVESTMENT GRADE CORPORATE BOND LQD ETF Yes 22-Jul-02 10.21 -718
FIDELITY NASDAQ COMPOSITE INDEX TRACK ONEQ ETF Yes 25-Sep-03 9.03 -1141
ISHARES MSCI EAFE SMALL CAP INDEX FUND SCZ ETF Yes 10-Dec-07 4.83 -2656
ISHARES BARCLAYS TIPS BOND FUND TIP ETF Yes 4-Dec-03 8.84 -1210


gdm
Post New | Post Reply | Reply Later | Create Poll . Report this Post | Recommend it!
Print the post  
UnThreaded | Threaded | Whole Thread (22) | Ignore Thread Prev | Next

Announcements

Post of the Day:
Macro Economics

2.1: The Labor Pool Problem
What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Community Home
Speak Your Mind, Start Your Blog, Rate Your Stocks

Community Team Fools - who are those TMF's?
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and "#1 Media Company to Work For" (BusinessInsider 2011)! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.
Advertisement