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Thanks Harry, I will investigate. I have also discovered that I can get
sector/industry index data from the Dow Jones website back to 1992, but the
format is tricky (have to download each index separately) and the data isn't
clean (lot's of duplication). But its a place to start, and 12 years of data
may be as good as it gets.
I have to believe there's some industrial strength data out there somewhere
- institutions have been doing top down sector allocations for decades...
Best
Andrew
-----Original Message-----
From: Harry M. Ward [mailto:hmw3@xxxxxxxxxxxxxx]
Sent: Saturday, April 02, 2005 5:11 PM
To: Metastockusers@xxxxxxxxxxxxxxx
Subject: [Metastockusers] Subject: Historical Sector Data?
On 2 Apr 2005 06:14:56 -0000, "Andrew Tomlinson"
<andrew_tomlinson@xxxxxxxxxxx> wrote:
>>I called both CSI and Prophet and both of them said that they did not
>>have historical sector data - the stocks themselves, yes, but not the
>>historical sectors. Any more ideas?
Sorry. I thought they both had historical sectors.
Several years ago I got my Metastock data from Dial Data. They have/had
weekly S&P Group data. According to my records, they had 104 groups, with
data for some groups going back to 1969. I don't know if you can just get
the back data, since Dial Data is a subscription data service.
In 2002 S&P established their GICS industry classification system, and
revised the contents of their sectors. They did back testing to 1994, and
found that some, but not all of the old data correlated. For more info on
this, go to S&P's website, and search for The Global Industry Classification
Standard. I have no idea how (or if) Dial Data and others correlated the old
sector data, or just started again.
Best I can do.
Harry
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