Valuation/Returns History from Barra and Wilshire

Ben Graham posthumously earned the wrath of feminists everywhere decades ago when he made the sexist but wise recommendation that women should buy stocks in the same manner as groceries, and not perfume. Well, in order to intelligently purchase the tomatoes and beef you have to know how much you're paying for them. Unfortunately, until recently historical valuation data for a wide variety of US equity style categories has not been freely available.

Barra Associates has now posted a wide variety of valuation data for large, midcap, and small stocks at www.barra.com/MktIndices/fundamental_charts.asp.

A sample chart (price/cash flow for large cap growth stocks) is shown below:

Also available is monthly returns data for their 9 style categories. Unfortunately, this is not as extensive as one might wish, with the large cap indexes going back to 1975, midcap to 1991, and small cap to 1994.

For the mathematically inclined there is an excellent discussion of multifactor regression techniques. Barra is one of the premier sources of institutional market data, and I'd check this site often for enhancements to their already superb site.

Nicely complementing the Barra data are the monthly returns series from Wilshire Associates, with style-specific data going back more than 20 years, available in multiple formats. (The links are at the bottom-left of the page.)

Now, if only Morgan-Stanley would do the same for their country indexes . . . .

copyright (c) 1999, William J. Bernstein