FAQ: Free Historical Data
I’m asked often about where to find free historical data. Below is a working list. Please share with the group if there are any other good ones I missed!
Notes: (a) some sites require logins, but all are free, and (b) some data is not dividend-adjusted or has other “special features” so do your homework.
Indices
Barclays Indices
Deutsche Bank Indices
Dow Jones Indices
FTSE NAREIT Real Estate
Markit (iBoxx) Indices
MSCI Indices
Red Rocks Listed Private Equity
Russell Indices
Economic Data
Bureau of Labor Statistics
Philadelphia Fed
St. Louis Fed FRED
OECD, World Bank, and IMF
Classics
Fama/French Benchmarks
Robert Shiller (housing and long-term equity/bond data)
Robert Shiller (Irrational Exuberance data set)
Others
Yahoo and Google
AAII Sentiment Survey
NAAIM Sentiment Survey
Historical NYSE Closings (PDF)
Fed Open Market Operations
CBOE S&P 500 Implied Correlation
Data Sources I Haven’t Used
Damodaran Online (misc. financial data)
Measuring Worth (long-term gold data)
Pi Trading (FX and futures data)
Ralph Vince (historical Barron’s data)
Wren Investments (misc. quote data)
Alerian, Cushing, and Wells Fargo MLP Indices
And Two to Grow On…
Ibbotson’s SBBI Yearbook isn’t free ($165) but close enough given the value. It includes (among other things) long-term monthly data for a number of asset classes. As a short-term trader I’ve never needed it, but that’s changed with the work I’ve been doing on Tactical Asset Allocation.
Mebane Faber has a similar list of free data sources that you should also check out.
Happy Trading,
ms
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Filed under: Random Stuff | 19 Comments
Hi,
I’m not sure how useful the historical data at the following sites are, but I found them interesting.
MLP Indices:
http://www.alerian.com
http://www.cushingmlpindex.com
http://www.wellsfargoresearch.com/disclosures/Pages/Indices.aspx
Beta Indices:
http://www.betaarbitrage.com
Hello Geoffrey: good stuff. I’ll add the MLP indices to the list. Will dig deeper into the last link to see where it fits.
P.S. first time I’ve run across your blog, but it looks like you’ve been doing some neat stuff. Added you to my reader and looking fwd to catching up on your work!
michael
http://pages.stern.nyu.edu/~adamodar/New_Home_Page/data.html
Lots of historical industry averages for dividend yields, betas, factors, etc.. Might be some overlap with Shiller and Fama/French’s data.
RE to Josh: excellent. Will add to the list. michael
You can find all historical data for all securities (indexes, stocks, etfs, etcs) listed in Amsterdam, Brussels, Lisbon and Paris on http://euronext.com for free. I have some C# code to download them. Drop me a mail if you’re interested in it (eajkeajk ? live ? com).
Dug up some more old links that may or may not be useful…
NAAIM Sentiment Index
http://www.naaim.org/naaimadsenttrend.aspx
Historical Earnings and Book Value for Japan Stocks (near the bottom of the page)
http://www.tse.or.jp/english/market/data/per-pbr/index.html
International Economic Data
OECD
http://stats.oecd.org/
The World Bank
http://data.worldbank.org/
IMF
http://www.imf.org/external/data.htm
More good ones Geoffrey. Added to the list. Tx
Great data thanks. Do any of these sources or others include long term currency pair data? So far I’ve only found data that goes about 8 years back.
Hello SethM: there’s some FX data in that Pi Trading link, but I’ve never used it and don’t know how far back it goes. michael
Thanks for hint. Quite useful data that goes back 30 years or more on most currencies.
Check out this free App from Seeking Alpha:
http://seekingalpha.com/store/app/45-cf-database-and-advanced-charting
Here is an interview with the designer:
http://seekingalpha.com/article/234374-chartfacts-3-6-million-data-sets-at-your-fingertips?source=email_app_newsletter
Here is the ChartFacts web address:
http://www.chartfacts.com/
Hello Ernest: looks very interesting, but is there a way you can access the underlying data or do they only provide graphs? michael
Michael,
This is an excerpt from the interview:
Is it possible to download the raw data from a chart you’re looking at?
At the current time, we do not allow a user to download the raw data from our database. A user can, however, easily see the data values at any given point in a chart by simply mousing over them.
Importantly, we have made it very easy to download, share, and publish any chart built at our site using our data. To do this, a user simply highlights the “Share” button in the menu bar above the title of a chart they have made (or found) at the site. Charts can be saved to a PC, emailed to friends, included in an article, or posted to Facebook or Twitter. To see examples of charts included in articles at Seeking Alpha, check out our Instablog.
cmavision.com gives excellent data on CDS spreads for corporates and sovereigns.