Sources and Descriptions

Sources and Descriptions of Data

Fama/French US Small Value Research Index. July 1926 to December 2022. 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.

CRSP Deciles 9-10 Index – January 1926 to December 2022. 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 2022. 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.

S&P 500 Index – January 1926 to December 2022. 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 2023 S&P Dow Jones Indices LLC, a division of S&P Global. All rights reserved.

Long-Term Government Bonds – January 1926 to December 2022. 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 2022. January 1926 – Present: One-Month US Treasury Bills. Total Returns in USD. 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 2022. 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.