References for all Data Sources
This simulator uses several publicly available historic time series. Here you can find all used data sources and how they have been spliced for use in the simulator.
| Timeseries | Reference | Period | Remarks |
|---|---|---|---|
| S&P 500 US Stocks | Shiller, R.J., 2015: Irrational Exuberance. Princeton University Press. 3rd edition. Current Data from R. Shillers Website | 1871 - today | Total returns based on monthly averages of the S&P 500 price-index and quarterly dividends. The splicing with older timeseries is described in the reference. |
| 10 Year US Treasury Bonds | see above | 1871 - today | Total returns based on monthly averages of the price for 10 year Treasuries. The splicing with older timeseries is described in the reference. |
| CAPE Filter | see above | 1881 - today | The CAPE (Cyclically Adjusted Price Earnings) is the ratio between US stockprices and its trailing average 10 year earnings. |
| US Inflation | see above | 1871 - today | Shiller uses the Consumer Price Index All Urban Consumers published monthly by the U.S. Bureau of Labor Statistics. |
| G. Gielen / CDAX (Perf) DE Stocks | Gielen, Gregor, 1994: Können Aktienkurse noch steigen: Langfristige Trendanalyse des deutschen Aktienmarktes. Wiesbaden: Gabler. | 1869 - 1993 | |
| Börse Frankfurt | 1993 - today | Total returns based on month-end values of the german CDAX performance index. | |
| DE Inflation | Gielen, Gregor, 1994: Können Aktienkurse noch steigen: Langfristige Trendanalyse des deutschen Aktienmarktes. Wiesbaden: Gabler. | 1869 - 1993 | |
| Genesis-Online | 1993 - today | Monthly german Consumerpriceindex published by Statistisches Bundesamt. Starting January 2020 a new basis for the index was defined. The timeseries used here splices the old with the new series. | |
| W. Fast / REX (Perf) DE Bonds | Fast, Waldemar, 2019: Die Performance deutscher Staatsanleihen: Konstruktion eines historischen Rentenindex ab Ultimo 1870 bis Ultimo 1959. Wiesbaden: Springer Gabler. | 1870 - 1966 | Year-end values have been interpolated to monthly data. Historical index gaps between 1914-1918 and 1944-1957 have been filled with the constant future value. |
| Börse Frankfurt | 1966 - today | Total returns based on month-end values of the german REX performance index. | |
| Fama/French US LC/LCG/LCV/SCG/SCV Aktien | Fama, Eugene F. and French Kenneth R., 1993: Common risk factors in the returns on stocks and bonds: Journal of Financial Economics. Current Data from Kenneth R. French Data Library | 1926 - today | Based on the 10x10 portfolios, weighted with size and book-to-market ratio, indices habe been defined using the method from PortfolioCharts.com. Those indices should behave very similar to todays Large/Small-Cap bzw. Growth/Value ETFs. |
| MSCI World Total Return | MSCI.com | 1970 - today | We use the MSCI World Gross Total Return in USD. |
| Gold (LBMA) | Warren, George F.; Pearson, Frank A., 1935: Gold and Prices: Wiley. | 1869 - 1968 | |
| LBMA.org.uk | 1968 - today | LBMA AM Prices in USD per fine ounce Gold. | |
| US 3 Months Treasury Bills | NBER | 1871 - 1920 | U.S. Commercial Paper Rates, New York City 01/1857-12/1971 |
| NBER | 1920 - 1934 | U.S. Yields On Short-Term United States Securties, Three-Six Month Treasury Notes and Certificates, Three Month Treasury 01/1920-03/1934 | |
| FRED | 1934 - 1954 | 3-Month Treasury Bill Secondary Market Rate, Discount Basis | |
| FRED | 1954 - today | 3-Month Treasury Bill Secondary Market Rate, Discount Basis, month-end values | |
| DE Festgeld 3 Monate | Morawietz, Markus, 1994: Rentabilität und Risiko deutscher Aktien- und Rentenanlagen: Wiesbaden: Gabler. | 1924 - 1975 | Anhang 4: Monatsdurchschnittswerte Tagesgeldsatz |
| Deutsche Bundesbank | 1975 - 2003 | Habenzinsen Banken / Festgelder mit vereinbarter Laufzeit von 1 Monat, von 50.000 EUR bis unter 500.000 EUR / Durchschnittssatz / SU0016 | |
| Deutsche Bundesbank | 2003 - today | Effektivzinssätze Banken DE / Neugeschäft / Einlagen privater Haushalte, vereinbarte Kündigungsfrist bis 3 Monate | |
| AQR Equal Weighted Commodities Index | Ari Levine, Yao Hua Ooi, Matthew P. Richardson, Caroline Sasseville: Commodities for the Long Run: Financial Analysts Journal. Aktuelle Monatsdaten von AQR | 1877 - today | The paper contains excess returns which are transformed into total returns via the 3 Months Treasury-Bill Rate. |
| DE_EUR / USD Exchange Rate | 1870 - 1879 | Goldstandard in Germany. Exchange rate of mark to the USD calculated based on its gold price | |
| 1879 - 1914 | Goldstandard in Germany and the USA with fixed exchange rates between Mark and Dollar. | ||
| Wirtschaft und Statistik, 1925: Sonderheft “Zahlen zur Geldentwertung in Deutschland 1914-1923”: Berlin: Raimar Hobbing | 1914 - 1923 | After leaving the goldstandard in Germany the monthly average values of the exchange rates from Berliner Börse in Papermark are used until Hyperinflation. | |
| Deutsche Bundesbank, VS 801 | 1924 - 1932 | Stated annual exchange rates in Reichsmark are assigned as constant for the respective year. | |
| Staatsbibliothek Berlin, ZEFYS Zeitungsinformationssystem | 1933 | Because of the dollar devaluation in the USA in 1933 for this year we use exact month-end values of the exchange rates from the newspaper “Berliner Morgenpost”. | |
| Deutsche Bundesbank, VS 801 | 1934 - 1945 | Stated annual exchange rates in Reichsmark are assigned as constant for the respective year. | |
| 1945 - 1948 | Constant artificial intermediate value, because no official exchange rates exist in this period. | ||
| DM Devisenkurse der Frankfurter Börse | 1948 - 1999 | ||
| Euro Referenzkurse der EZB | 1999 - today |
At this point I would like to thank all authors as well as the maintainers of the respective databases for their tremendous effort. This simulator would not be possible without their work.