Featured Content: US Stock Price Momentum Factor Backtest from 1801 to 2012

Price Momentum, Stock Anomalies, Fama French, Quantitative Investment Management, Shiller, Siegel, Long Run Returns, New Data, Historical Stock Prices, Financial Data, quant, Unique Data, Carhart Momentum, Sector Momentum, Industry Momentum, Beta, Factor Timing Models, Regime Switching Models, Tactical Asset Allocation, GTAA, Portfolio Management, Quantitative Research

Price Momentum, Stock Anomalies, Fama French, Quantitative Investment Management, Shiller, Siegel, Long Run Returns, New Data, Historical Stock Prices, Financial Data, quant, Unique Data, Carhart Momentum, Sector Momentum, Industry Momentum, Beta, Factor Timing Models, Regime Switching Models, Tactical Asset Allocation, GTAA, Portfolio Management, Quantitative Research

Price Momentum, Stock Anomalies, Fama French, Quantitative Investment Management, Shiller, Siegel, Long Run Returns, New Data, Historical Stock Prices, Financial Data, quant, Unique Data, Carhart Momentum, Sector Momentum, Industry Momentum, Beta, Factor Timing Models, Regime Switching Models, Tactical Asset Allocation, GTAA, Portfolio Management, Quantitative Research

Price Momentum, Stock Anomalies, Fama French, Quantitative Investment Management, Shiller, Siegel, Long Run Returns, New Data, Historical Stock Prices, Financial Data, quant, Unique Data, Carhart Momentum, Sector Momentum, Industry Momentum, Beta, Factor Timing Models, Regime Switching Models, Tactical Asset Allocation, GTAA, Portfolio Management, Quantitative Research

Price Momentum, Stock Anomalies, Fama French, Quantitative Investment Management, Shiller, Siegel, Long Run Returns, New Data, Historical Stock Prices, Financial Data, quant, Unique Data, Carhart Momentum, Sector Momentum, Industry Momentum, Beta, Factor Timing Models, Regime Switching Models, Tactical Asset Allocation, GTAA, Portfolio Management, Quantitative Research

Price Momentum, Stock Anomalies, Fama French, Quantitative Investment Management, Shiller, Siegel, Long Run Returns, New Data, Historical Stock Prices, Financial Data, quant, Unique Data, Carhart Momentum, Sector Momentum, Industry Momentum, Beta, Factor Timing Models, Regime Switching Models, Tactical Asset Allocation, GTAA, Portfolio Management, Quantitative Research

Data & Methodology Description:

Currently, the earliest starting year of empirical, security-level studies is 1925 – the year the CRSP dataset began. However, the first two American stocks traded hands as early as 1792 in New York City. Over the following decades, the stock market developed rapidly. The 19th and early 20th century were filled with expansions, recessions, wars, panics, manias and crashes, all providing a rich out-of-sample history for empirical studies which have been constructed using the post-1925 data. The U.S. market had been active for 132 years before the CRSP data began, providing an opportunity to extend numerous stock-level studies to earlier history.
Our stock price dataset combines three known 19th and early 20th century data source from 1800 to 1927…

 
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