Sources and Descriptions

Sources and Descriptions of Data

Fama/French US Small Value Research Index. July 1926 to December 2019. Composition: The index portfolios for July of year t to June t+1 include all NYSE, AMEX, and NASDAQ stocks for which we have market equity for December t-1 and June of t, and (positive) book-to-market equity data for fiscal year ending in t-1. Exclusions: ADRs, Investment Companies, Tracking Stocks, non-US incorporated companies, Closed-end funds, Certificates, Shares of Beneficial Interests, and negative book values. Sources: CRSP databases for returns and market capitalization: 1926 – Present. Compustat and hand-collected book values: 1926 – Present. CRSP links to Compustat and hand-collected links: 1926 – Present. Breakpoints: The size breakpoint is the market capitalization of the median. NYSE firms with positive book equity into three categories: 30% of the eligible NYSE firms with positive BE are in Low (Growth) 40% are in Medium (Neutral) and 30% are in High (Value).” Rebalancing: Annual (at the end of June) 1926-Present. Fama/French and multifactor data provided by Fama/French.”

CRSP Deciles 9-10 Index – January 1926 to December 2019. Source: CRSP, total returns in USD. Small Company Universe Returns (Deciles 9 & 10) – All Exchanges. October 1988 – Present: CRSP Deciles 9-10 Cap-Based Portfolio. January 1973 – September 1988: CRSP Database (NYSE & AMEX & OTC), Rebalance Quarterly. July 1962 – December 1972: CRSP Database (NYSE & AMEX), Rebalance Quarterly. January 1926 – June 1962: NYSE, Rebalanced Semi-Annually. CRSP data provided by the Center for Research in Security Prices, University of Chicago.

Fama/French US Large Value Research Index – July 1926 to December 2019. Composition: The index portfolios for July of year t to June t+1 include all NYSE, AMEX, and NASDAQ stocks for which we have market equity for December t-1 and June of t, and (positive) book-to-market equity data for fiscal year ending in t-1. Exclusions: ADRs, Investment Companies, Tracking Stocks, non-US incorporated companies, Closed-end funds, Certificates, Shares of Beneficial Interests, and negative book values. Sources: CRSP databases for returns and market capitalization: 1926 – Present. Compustat and hand-collected book values: 1926 – Present. CRSP links to Compustat and hand-collected links: 1926 – Present. Breakpoints: The size breakpoint is the market capitalization of the median. NYSE firm so the big and small categories contain the same number of eligible NYSE firms. The BtM breakpoints split the eligible NYSE firms with positive book equity into three categories: 30% of the eligible NYSE firms with positive BE are in Low (Growth) 40% are in Medium (Neutral) and 30% are in High (Value).” Rebalancing: Annual (at the end of June) 1926-Present. Fama/French and multifactor data provided by Fama/French.”

S&P 500 Index – January 1926 to December 2019. January 1990 – Present: S&P 500 Index. Total returns in USD. Source: Standard & Poors Index Services Group. January 1926 – December 1989: S&P 500 Index. Source: Ibbotson data courtesy of © Stocks, Bonds, Bills and Inflation Yearbook™, Ibbotson Associates, Chicago (annually updated works by Roger C. Ibbotson and Rex A. Sinquefield). Copyright 2020 S&P Dow Jones Indices LLC, a division of S&P Global. All rights reserved.

Long-Term Government Bonds – January 1926 to December 2019. Total returns in USD. January 1926 – Present: Long Term Government Bonds. Source: Morningstar. Former Source: Stock, Bonds, Bills, And Inflation, Chicago: Ibbotson And Sinquefield, 1986. Mutual fund universe statistical data and non-Dimensional money managers’ fund data provided by Morningstar, Inc.

One-Month US Treasury Bills – January 1926 to December 2019. Total returns in USD. January 1926 – Present: One-Month US Treasury Bills. Source: Morningstar. Former Source: Stocks, Bonds, Bills, And Inflation, Chicago: Ibbotson And Sinquefield, 1986. Mutual fund universe statistical data and non-Dimensional money managers’ fund data provided by Morningstar, Inc.

US Consumer Price Index – January 1926 to December 2019.  Source: Bureau of Labor Statistics. Represented by Consumer Price Index for All Urban. Consumer (CPI™), not seasonally adjusted. The CPI is updated with a one month lag.