So I've been looking around for the longest historical database out there. Came across GFD from a recommendation from Mabane Faber.
They go back as far as 1252 for commodity data (but I think it's yearly data for a few hundred years...wow).
Do you use them?
I'm just wondering if there's an alternative to go back 200+ years for an asset rotation model. More data the merrier right? It wouldn't hurt to figure out the best walk-forward numbers with the best database.
I've only been able to go back to 1926 with another data source.
But it's $15,000 a year for GFD (then another $10,000 for each of my employees).
Do I have alternatives?
Thanks!
Global Financial Data
Re: Global Financial Data
I am a current student at Wharton and was looking through this database today (university has subscription). From what I could see, it was only US & UK equities, no futures. The database did have a significant amount of economic data though.
Re: Global Financial Data
Correction to my last post. They do have futures and some have very long histories. Grain contracts go back to the 1920s. Only daily data though, no intraday data.