Historical Data Since 1924

A very exciting new feature at RotationInvest.com is our ability to run backtests on data as far back as 1924 on a daily basis.  The historical data uses a mix of information from St. Louis Fed Web Services [FRED], mutual fund data, and index data.

All of our backtesting tools have the ability to use this Historical Data and allow the full functionality of our tools using this data.  So just to be clear, this data is not locked away and only available for limited backtesting, it is fully available in all of our backtesting tools with all of the settings and algorithms available.  This includes weighting and adaptive asset allocation using momentum, Sharpe Ratio, mean reversion, volatility and the rest!

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Step 1: Select Long Term Historical Test from the Data Source for Backtesting dropdown at the top of each tool.

Step 2: Select from the list which funds you would like to choose or invest in.  The categories of funds are pre-populated once you select Historical Data.

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Below is a list of fund categories that are available to select from for Historical Data:

US Markets and Sectors and Commodities
​US Large Cap
Index this data is based on:  Russell 1000 [Data Since 1924]
US Large Cap Value
Index this data is based on:  Russell 1000 Value [Data Since 1931]
US Large Cap Growth
Index this data is based on:  Russell 1000 Growth [Data Since 1925]
US Mid Cap
Index this data is based on:  Russell Midcap [Data Since 1938]
US Mid Cap Value
Index this data is based on:  Russell Midcap Value [Data Since 1949]
US Mid Cap Growth
Index this data is based on:  Russell Mid Cap Growth [Data Since 1935]
US Small Cap
Index this data is based on:  Russell 2000 [Data Since 1956]
US Small Cap Value
Index this data is based on:  Russell 2000 Value [Data Since 1968]
US Small Cap Growth
Index this data is based on:  Russell 2000 Growth [Data Since 1946]
US Micro Cap
Index this data is based on:  Wilshire US Micro-Cap Total Market Index [Data Since 1978]

Gold
Index this data is based on:  London Bullion Market Association (LBMA) Gold Price [Data Since 1968]
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US Convertibles/Preferred Stocks
Index this data is based on:  BofA Merrill Lynch - Convertible Bonds All Qualities [Data Since 1956]

US Sector - Communications
Index this data is based on:  S&P 1500 Telecom Services [Data Since 1984]
US Sector - Financial
Index this data is based on:  S&P 1500 Financials [Data Since 1963]
US Sector - Health
Index this data is based on:  S&P 1500 Health Care [Data Since 1981]
US Sector - Natural Resources
Index this data is based on:  S&P North American Natural Resources [Data Since 1969]
Sector - World Metals/Mining
Index this data is based on:  MSCI World - Metals & Mining [Data Since 1956]
​US Sector - US Real Estate REIT
Index this data is based on:  Wilshire US Real Estate Investment Trust Total Market Index [Data Since 1977]
US Sector - Technology
Data Since 1948
US Sector - Utilities
Index this data is based on:  S&P 1500 Utilities [Data Since 1948]

World and Emerging Markets
Total World Stocks (including US)
Data Since 1954
World [Ex. US] Large Cap
Index this data is based on:  MSCI ACWI Ex USA [Data Since 1961]
World [Ex. US] Large Cap Value
Index this data is based on:  MSCI ACWI Ex USA Value [Data Since 1981]
​World [Ex. US] Large Cap Growth
​Index this data is based on:  MSCI ACWI Ex USA Growth [Data Since 1981]
World [Ex. US] Mid/Small Cap Value
Index this data is based on:  MSCI World Ex USA SMALL-MID Value [Data Since 1991]
World [Ex. US] Mid/Small Cap Growth
Index this data is based on:  MSCI World Ex USA SMALL-MID Growth [Data Since 1988]

Emerging Markets (Diversified)
Index this data is based on:  MSCI EM [Data Since 1989]
European Equities
Index this data is based on:  MSCI Europe [Data Since 1986]
Chinese Equities
Index this data is based on:  MSCI China [Data Since 1992]
Pacific [Ex. Japan] Equities
Index this data is based on:  MSCI AC Far East Ex Japan [Data Since 1989]
Japanese Equities
Index this data is based on:  MSCI Japan [Data Since 1962]
Latin American Equities
Index this data is based on:  MSCI EM Latin America [Data Since 1991]
Global Real Estate (REIT) [ex. US]
Index this data is based on:  S&P Global REIT [Data Since 1989]

Bonds
​US Government Bonds - Long Term
Index this data is based on:  Barclays US Government Long [Data Since 1983]
US Government Bonds - Intermediate Term
Index this data is based on:  Barclays US Government [Data Since 1969]
US Government Bonds - Short Term
Index this data is based on:  Barclays Government 1-5 Yr [Data Since 1975]
US Treasury Inflation Protected Securities (TIPS)
Index this data is based on:  Barclays US Treasury US TIPS [Data Since 1988]

US Total Bond Market - Long Term (Investment Grade & Government)
Index this data is based on:  Barclays US Govt/Credit Long [Data Since 1973]
US Total Bond Market - Intermediate Term (Investment Grade & Government)
Index this data is based on:  Barclays US Agg Bond [Data Since 1954]
US Total Bond Market - Short Term (Investment Grade & Government)
Index this data is based on:  Barclays US Govt/Credit 1-5 Yr [Data Since 1971]
US Total Bond Market - Ultra-Short Term (Investment Grade & Government)
Index this data is based on:  Barclays Govt/Corp 1 Yr Duration [Data Since 1983]

US High Yield Corporate
Index this data is based on:  BofA Merrill Lynch US High Yield Master II [Data Since 1935]

Emerging Market Bonds
Index this data is based on:  JPM EMBI Global [Data Since 1994]

Municipal Bonds - High Yield
Index this data is based on:  Barclays Municipal 10 Yr 8-12 [Data Since 1976]
Municipal Bonds - Long Term
Index this data is based on:  Barclays Municipal 20 Yr 17-22 [Data Since 1976]
Municipal Bonds - Intermediate Term
Index this data is based on:  Barclays Municipal 10 Yr 8-12 [Data Since 1976]
Municipal Bonds - Short Term
Index this data is based on:  Barclays Municipal 3 Yr 2-4 [Data Since 1977]

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Data is provided partially by St. Louis Fed Web Services [FRED], read their terms of service before using: https://research.stlouisfed.org/docs/api/terms_of_use.html
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This product uses the FRED® API but is not endorsed or certified by the Federal Reserve Bank of St. Louis.