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In the Four Pillars of Investing (2002), p. 119, William Bernstein suggests that a portfolio divided 50/50 into the SP500 and EAFE indexes (respectively US domestic and foreign stocks) and rebalanced every two years would have outperformed both the SP500 and the EAFE individually by almost 0.5% annualised between 1969 and 2000. According to the author, this is because of a "rebalancing bonus": selling just enough of the index that, in the last 24 months, performed better (say the SP500) in order to buy the index that performed worse (say the EAFE) to return to the 50/50 SP500/EAFE allocation, would tend to make you buy low and sell high both indexes in the long run.

For technical reasons (and tax-related issues from rebalancing aside), I am sceptical that this rebalancing bonus actually exists and would like to see it for myself using the 1969-2000 data Bernstein used. Even better if I could get the years 1969 to 2018.

Historical monthly data for the SP500 (or something very similar) going back to 1871 is easy to come by (see Robert Shiller's website). But historical monthly data for other tickers that go further into the past than about 1990 or 2000 appear remarkably difficult to find. Bernstein mentions the "Morningstar Principia" database, but this has been discontinued, I believe around 2010. How does one get access to data like this for personal use post-2010, without paying the small fortune that institutions pay?

In truth, I would be satisfied to put my hands on an old Morningstar Principia CD, even if it only went back to 2010 or 2000. But I could not find any.

closed as off-topic by Chris W. Rea, Pete B., Nathan L, Dheer, JoeTaxpayer Sep 27 '18 at 20:40

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I doubt that you will find 50 years of free historical data data online.

There are a number of data providers that have been around for a long time - Thomson Reuters, Bloomberg, CSI Data to name a few.

I have subscribed to Thomson Reuters for equities for 25+ years and their data currently goes back to 1991. I would assume that the index data subscription offers the same.

CSI Data has been providing data for over 40 years. They have subscriptions and if I recall correctly, at one time you could purchase it on disk as well.

If your online searches do not succeed, contact these vendors. Google for others as well.

FWIW, here's a post on Stack for this. I have no clue if it works and you can get the data from it:

https://quant.stackexchange.com/questions/28292/where-do-i-get-historic-performance-data-of-the-msci-world-growth-value-index

  • Brilliant! The link provided in the other answer on Quantitative Finance works free of charge and goes back to December 31st 1969: msci.com/end-of-day-data-search – Pertinax Sep 26 '18 at 19:33
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    Glad that it worked out and it's a bonus in that the solution came from StackExchange! – Bob Baerker Sep 26 '18 at 19:38

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