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This type of analysis is hard to do within Metastock because you need to be
using total return data - you're better off in Excel. This is particularly
the case if you're looking at risk as well as return. An interesting recent
approach on this with a TA spin is Meb Faber's Paper "A Quantitative
Approach to Tactical Asset Allocation" . Journal of Wealth Management,
Spring 2007
http://trendfollowing.com/whitepaper/CMT-Simple.pdf
Andrew
________________________________
From: equismetastock@xxxxxxxxxxxxxxx [mailto:equismetastock@xxxxxxxxxxxxxxx]
On Behalf Of jwlcfp
Sent: Tuesday, October 23, 2007 12:10 PM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: [EquisMetaStock Group] Historical daily index data
Hi Group,
I am trying to do some asset allocation studies. I have been searching
for historical index data. I am trying to get as much data going
through a variety of market, economic scearios.... Daily data would
be fantastic, weekly would great, monthly would be ok.
I have daily data on the Value Line index going back to 1969 and S&P
500 going back to 1950. I have monthly data on the S&P 500 going back
to 1926. I would love to obtain any data on markets outside the US
and sectors (materials, industrials, large value......)
For bonds, I have a lot data on yields through the US Federal Reserve
site, but not price data. Right now my best alternative is using
Vanguard's bond mutual fund data. These funds closely track their
respective indexed, unfortunately the data goes back to the mid-
1980's. In the US, there was high inflation in the 1970's and early
1980's. this time period killed the "conservative/balanced portfolio"
of 60% stocks/40%bonds. So much for buy & hold...or "buy & pray."
Any help would be greatly appreciated. I am also willing to share
what I have.
Jeff
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