Expected Returns: An Investor's Guide to Harvesting Market Rewards

Appendix B

Data sources and data-series construction

This appendix discusses the sources and construction of the various time series used in this book. In the main text, I list sources briefly beneath figure and table captions.

Most underlying data series are extracted from Bloomberg, including MSCI Barra’s equity indices, Barclays Capital and other banks’ bond indices, and S&P GSCI commodity futures indices. Other key sources include Kenneth French’s website (visit http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html), Robert Shiller’s website (visit http://www.econ.yale.edu/~shiller/data.htm), Arnott–Bernstein (2002), Dimson–Marsh–Staunton (2002, 2010), and Ibbotson Associates (Morningstar) yearbooks.

To create long data histories for major asset classes, I sometimes splice best quality recent data and best available older data series. Most exhibits display total returns denominated in U.S. dollars; but some exhibits show real (inflation-adjusted) returns or excess returns over cash or over maturity/duration-matched Treasuries.

I especially thank Elroy Dimson, Paul Marsh, and Mike Staunton for the use of their 110-year-long return histories and Robert Arnott for even older data used in Arnott–Bernstein (2002). I am grateful to Michael Afreh (Nomura), Andrew Ang, David Blitz (Robeco), Giuliano de Rossi (UBS), Eric Falkenstein, Kenneth Froot, Robin Greenwood, Campbell Harvey, Sharon Kozicki, Carmen Reinhart, Matti Suominen, Arthur Warga, and Mungo Wilson ...