Hi,
Does anyone know where I could find historical data on the market cap of the following asset classes? US stocks US investment grade bonds US high yield bonds Foreign stocks (developed markets) Foreign stocks (emerging markets) Foreign bonds (developed markets) Foreign bonds (emerging markets) US REITs Thanks!
You could definitely find the equity with a capitaliq license and probably on Bloomberg as well but it would be some work to pull the data. I don’t know of a free source on the internet that provides point in time data for your query. I’m not sure about the bond data, that would be much more difficult I think.
A lot of data stuff that “should” be easy to get is actually remarkably difficult to find and frequently requires some custom solution, even if you have an expensive data package license.
well somebody has a black litterman project
I agree that these numbers sound like they are easy to find, but in practice they are extremely difficult, and even when you do find a number, you have to wonder if it’s really accurate, or only accurate for a subset of your asset classes.
I used to look for these, but have usually tried to reframe the problem so as not to need them, because it’s so hard to find any reliable data on these things, other than 1) the value of large cap stock indexes, and 2) the fact that the US bond market is roughly 4x the market cap of the stock market.
Thanks for the replies. I do have access to Bloomberg but not sure how I find this information there. I am trying to come up with a benchmark for an asset allocation model.
60/40.
I would start looking in Bloomberg or Reuters before anywhere else.
I don’t know how to find it in Bloomberg (which I found incredibly hard to use for something that costs as much as it does). CapIQ knocks the socks off Bloomberg for equity searches (though far inferior for commodity and fixed income data). Try to get a CapIQ license somewhere if possible.
Sure but how of much of the 40 should be in US High Yield, vs Investment Grade, vs Foreign Bonds…etc. It’s tricky to come up with an unbiased and realistic benchmark allocation.