Stockcharts.com has an S&P 500 Daily chart going back to 1925

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OkieIndexer
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Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by OkieIndexer » Fri Sep 15, 2017 9:21 pm

Stockcharts.com has an S&P 500 Daily data chart that goes back to 1925 (see link below for their 1925-57 S&P 500 chart, before the actual S&P 500 started in March 1957). From what I can tell, DFA uses very similar S&P 500 data for their online calculator that also extends the S&P 500 back to 1928. The actual S&P 500 didn't start until March 1957, so how do they have data for the "S&P 500" back to 1925? Is this data even close to being accurate?

http://stockcharts.com/h-sc/ui?s=%24SPX ... 7339565222

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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by z3r0c00l » Fri Sep 15, 2017 9:39 pm

My goodness... bottoming out at 4.4 in the GD. Really puts the 82-2000 run in perspective too.

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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by OkieIndexer » Fri Sep 15, 2017 9:41 pm

z3r0c00l wrote:
Fri Sep 15, 2017 9:39 pm
My goodness... bottoming out at 4.4 in the GD. Really puts the 82-2000 run in perspective too.
Yeah, and the 46% decline from Nov. 1938-April 42 surprised me. I didn't think it was nearly that big. I'm not sure why the market was so negative in the 1939-42 years since, well, war stimulates the economy and there was no official recession in those years. The Great Depression was coming to a close.
Last edited by OkieIndexer on Fri Sep 15, 2017 9:52 pm, edited 2 times in total.
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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by stlutz » Fri Sep 15, 2017 9:42 pm

Prior to '57 it was a 90 stock index.

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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by OkieIndexer » Fri Sep 15, 2017 9:45 pm

stlutz wrote:
Fri Sep 15, 2017 9:42 pm
Prior to '57 it was a 90 stock index.
Yeah, I've heard that, but I've never been able to find the 90 stock index data myself anywhere. Yahoo Finance doesn't have it, the St. Louis Fed website doesn't have it, can't find it on the S&P website, etc. Anyone have that index data?

Also, I'm not sure if the Stockcharts and DFA data are using that 90 stock index before 1957, or something else. Maybe they're using CRSP or Fama-French data to construct an index back to 1925?
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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by Pajamas » Fri Sep 15, 2017 9:48 pm

I think that the S&P 500 supplemented rather than replaced previous indices when it was introduced so that couldn't be accurate. The compositions of the various popular indices change on a regular basis so over long periods of time the data is not really comparable.

https://www.benbest.com/business/indexusa.html

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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by z3r0c00l » Fri Sep 15, 2017 9:50 pm

For a real shock, turn off the logarithmic scale! :shock:

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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by siamond » Fri Sep 15, 2017 9:50 pm

OP, you can find a short summary of the S&P 90 / S&P 500 on Wikipedia:
https://en.wikipedia.org/wiki/S%26P_500_Index

Note that a lot of the historical data was interpolated to fill the blanks. For a while, only quarterly numbers were recorded, as a case in point.

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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by AlohaJoe » Fri Sep 15, 2017 9:55 pm

OkieIndexer wrote:
Fri Sep 15, 2017 9:45 pm
stlutz wrote:
Fri Sep 15, 2017 9:42 pm
Prior to '57 it was a 90 stock index.
Yeah, I've heard that, but I've never been able to find the 90 stock index data myself anywhere. Yahoo Finance doesn't have it, the St. Louis Fed website doesn't have it, can't find it on the S&P website, etc. Anyone have that index data?
You just linked to it. It is everywhere. Any number below 1957 is from the 90 stock daily index.

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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by siamond » Fri Sep 15, 2017 10:02 pm

OkieIndexer wrote:
Fri Sep 15, 2017 9:45 pm
Yeah, I've heard that, but I've never been able to find the 90 stock index data myself anywhere. Yahoo Finance doesn't have it, the St. Louis Fed website doesn't have it, can't find it on the S&P website, etc. Anyone have that index data?
Yup. Please check the Simba backtesting spreadsheet, starting from this wiki page. You'll find annual returns for the S&P 500 series in there, and well, before 1957, this was actually the S&P 90.

You will see in the Data_Sources that the S&P 500 data series was assembled from:
  • S&P 500 (Prof. Shiller) 1871-1936
  • S&P 500 (Standard & Poor's) 1937-1970
  • S&P 500 (Standard & Poor's) 1971-1976
  • Vanguard 500 Index Fund (VFINX) 1977+
The data from Prof. Shiller is well-known. As to the data from Standard & Poor's, it can be found on Morningstar (two slightly different data series to be spliced together) if you know where to look:
- here is the first data series: S&P 500 TR USD(1936)
- here is the second data series: S&P 500 TR USD

We did the work for you in the Simba spreadsheet if you're only looking for annual returns. If you want a lower granularity, then you need to do some Web scraping (send me a PM if interested).
Last edited by siamond on Fri Sep 15, 2017 10:04 pm, edited 1 time in total.

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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by JoMoney » Fri Sep 15, 2017 10:04 pm

siamond wrote:
Fri Sep 15, 2017 9:50 pm
Note that a lot of the historical data was interpolated to fill the blanks. For a while, only quarterly numbers were recorded, as a case in point.
I don't think that's true, that it was "interpolated to fill in blanks". Standard Statistics started the first stock composite index in 1923 and updated weekly, at the end of 1925 they started tracking data daily.
http://www.reuters.com/article/us-usa-s ... WL20130506
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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by JoMoney » Fri Sep 15, 2017 10:07 pm

http://phantaris.com/how-is-the-sp-500-calculated
... There are four different total-return indices for the Standard & Poor’s 500 Index: 1936, 1970, 1988, and year-to-date. Each one uses a different base period. The 1936 and 1970 total return indices were developed for historical use. Dividends are reinvested quarterly from 1936 through 1988 in the 1936 total-return index, and dividends are reinvested monthly from 1970 through 1988 in the 1970 total-return index. The 1988 total-return index is calculated based on daily reinvestment of dividends and uses January 1, 1988, as the base period. The year-to-date total-return index is also calculated assuming daily reinvestment of dividends; however, the base period is the last day of the prior year.
S&P 500 TR USD(1936)
S&P 500 TR (1989)

Also, The Ibbotson Associates SBBI US Large Stock TR , which is based on the S&P index, goes back farther (to 1925) but it doesn't update as frequently, and no idea how it accounts for dividend reinvestment.
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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by siamond » Fri Sep 15, 2017 10:10 pm

JoMoney wrote:
Fri Sep 15, 2017 10:04 pm
siamond wrote:
Fri Sep 15, 2017 9:50 pm
Note that a lot of the historical data was interpolated to fill the blanks. For a while, only quarterly numbers were recorded, as a case in point.
I don't think that's true, that it was "interpolated to fill in blanks". Standard Statistics started the first stock composite index in 1923 and updated weekly, at the end of 1925 they started tracking data daily.
http://www.reuters.com/article/us-usa-s ... WL20130506
Well, that doesn't mean that the weekly or daily numbers were properly archived and available today... The '1936' Morningstar series that we both just provided is quarterly to start with. I remember reading from Prof. Shiller (or somebody criticizing Prof. Shiller, maybe?) how he interpolated to fill the blanks (I didn't keep an exact pointer though, so my memory might be fuzzy).

EDIT: meh, I was indeed a tad mixed up. I quickly skimmed again through the amazing research from Prof. Wilson and Prof. Jones, and the interpolations at the monthly level were pre-1925. After that, it was indeed weekly *and* recorded. Quite a few shenanigans occurred, see details in the article, but this is getting out of the scope of the OP's question...
Last edited by siamond on Fri Sep 15, 2017 10:19 pm, edited 1 time in total.

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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by JoMoney » Fri Sep 15, 2017 10:16 pm

siamond wrote:
Fri Sep 15, 2017 10:10 pm
JoMoney wrote:
Fri Sep 15, 2017 10:04 pm
siamond wrote:
Fri Sep 15, 2017 9:50 pm
Note that a lot of the historical data was interpolated to fill the blanks. For a while, only quarterly numbers were recorded, as a case in point.
I don't think that's true, that it was "interpolated to fill in blanks". Standard Statistics started the first stock composite index in 1923 and updated weekly, at the end of 1925 they started tracking data daily.
http://www.reuters.com/article/us-usa-s ... WL20130506
Well, that doesn't mean that the weekly or daily numbers were properly archived and available today... The '1936' Morningstar series that we both just provided is quarterly to start with. I remember reading from Prof. Shiller (or somebody criticizing Prof. Shiller, maybe?) how he interpolated to fill the blanks (I didn't keep an exact pointer though, so my memory might be fuzzy).
The "Total Return" including dividends was updated quarterly, but the price data for the stocks was updated daily back to 1925... and archived and available today. Gathering, publishing (and archiving) the data is what the company did.
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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by JoMoney » Fri Sep 15, 2017 10:20 pm

If you're looking at the Shiller data, his data 'interpolates' price and dividend data into an 'average' for each month, but that doesn't mean daily data wasn't available.
http://www.econ.yale.edu/~shiller/data.htm
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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by siamond » Fri Sep 15, 2017 10:20 pm

JoMoney wrote:
Fri Sep 15, 2017 10:16 pm
The "Total Return" including dividends was updated quarterly, but the price data for the stocks was updated daily back to 1925... and archived and available today. Gathering, publishing (and archiving) the data is what the company did.
Yes, you're right, see the EDIT in my previous post. Was mixed up in my time periods. Thanks for correcting me.

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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by OkieIndexer » Fri Sep 15, 2017 10:46 pm

AlohaJoe wrote:
Fri Sep 15, 2017 9:55 pm
OkieIndexer wrote:
Fri Sep 15, 2017 9:45 pm
stlutz wrote:
Fri Sep 15, 2017 9:42 pm
Prior to '57 it was a 90 stock index.
Yeah, I've heard that, but I've never been able to find the 90 stock index data myself anywhere. Yahoo Finance doesn't have it, the St. Louis Fed website doesn't have it, can't find it on the S&P website, etc. Anyone have that index data?
You just linked to it. It is everywhere. Any number below 1957 is from the 90 stock daily index.
I've just never seen an official "S&P 90" index, or any S&P index, that went before the 1950s on sites like the St. Louis Fed site, Yahoo Finance, S&P's site, etc. I've always kind of wondered why those sites didn't have the S&P 90 index as a downloadable spreadsheet (especially since it apparently was a daily index from 1926 on), it would be nice. I know Shiller and Simba have S&P spreadsheets back to the 1800s, but it's monthly averages, and sometimes I like to see something more specific like daily, weekly, last day of month, etc. on my index spreadsheets. :)

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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by jalbert » Fri Sep 15, 2017 11:03 pm

Yeah, and the 46% decline from Nov. 1938-April 42 surprised me. I didn't think it was nearly that big. I'm not sure why the market was so negative in the 1939-42 years since, well, war stimulates the economy and there was no official recession in those years. The Great Depression was coming to a close.
The New Deal programs led to substantial but incomplete recovery in the mid-1930's. Govt officials felt that with the economy on the mend despite unemployment still being well into double digit territory, it was time to address the growing debt from the New Deal programs by cutting spending. This caused the painful double-dip recession/depression of 1937/1938, which is the cause of the equity bear market.
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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by OkieIndexer » Fri Sep 15, 2017 11:55 pm

jalbert wrote:
Fri Sep 15, 2017 11:03 pm
Yeah, and the 46% decline from Nov. 1938-April 42 surprised me. I didn't think it was nearly that big. I'm not sure why the market was so negative in the 1939-42 years since, well, war stimulates the economy and there was no official recession in those years. The Great Depression was coming to a close.
The New Deal programs led to substantial but incomplete recovery in the mid-1930's. Govt officials felt that with the economy on the mend despite unemployment still being well into double digit territory, it was time to address the growing debt from the New Deal programs by cutting spending. This caused the painful double-dip recession/depression of 1937/1938, which is the cause of the equity bear market.
That explains the big 1937-early 1938 recession/depression bear, but there was a big market recovery from March-Nov 1938, and then the -46% bear started going into early 1942. I guess that bear was entirely due to war fears? The market dropped about 20% in May 1940 alone after Hitler took Paris. Just seems surprising to me that the market was THAT scared about the U.S. having to fight in the war, especially when WWI went well for us.

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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by oldzey » Sat Sep 16, 2017 12:52 am

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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by JoMoney » Sat Sep 16, 2017 1:20 am

OkieIndexer wrote:
Fri Sep 15, 2017 10:46 pm
AlohaJoe wrote:
Fri Sep 15, 2017 9:55 pm
OkieIndexer wrote:
Fri Sep 15, 2017 9:45 pm
stlutz wrote:
Fri Sep 15, 2017 9:42 pm
Prior to '57 it was a 90 stock index.
Yeah, I've heard that, but I've never been able to find the 90 stock index data myself anywhere. Yahoo Finance doesn't have it, the St. Louis Fed website doesn't have it, can't find it on the S&P website, etc. Anyone have that index data?
You just linked to it. It is everywhere. Any number below 1957 is from the 90 stock daily index.
I've just never seen an official "S&P 90" index, or any S&P index, that went before the 1950s on sites like the St. Louis Fed site, Yahoo Finance, S&P's site, etc. I've always kind of wondered why those sites didn't have the S&P 90 index as a downloadable spreadsheet (especially since it apparently was a daily index from 1926 on), it would be nice. I know Shiller and Simba have S&P spreadsheets back to the 1800s, but it's monthly averages, and sometimes I like to see something more specific like daily, weekly, last day of month, etc. on my index spreadsheets. :)
S&P's data is still getting licensed/charged for how it can be used, so it's not as easy/free to get as some would want. It's only the monthly data, but you can find the Pre-1957 S&P data spliced to the Cowles Commision data going back to 1871 on the Fed site here:
Index of All Common Stock Prices, Cowles Commission and Standard and Poor's Corporation for United States
https://fred.stlouisfed.org/series/M1125AUSM343NNBR

(It's also price only, not total return w/dividends)
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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by OkieIndexer » Sat Sep 16, 2017 5:03 am

JoMoney wrote:
Sat Sep 16, 2017 1:20 am
OkieIndexer wrote:
Fri Sep 15, 2017 10:46 pm
AlohaJoe wrote:
Fri Sep 15, 2017 9:55 pm
OkieIndexer wrote:
Fri Sep 15, 2017 9:45 pm
stlutz wrote:
Fri Sep 15, 2017 9:42 pm
Prior to '57 it was a 90 stock index.
Yeah, I've heard that, but I've never been able to find the 90 stock index data myself anywhere. Yahoo Finance doesn't have it, the St. Louis Fed website doesn't have it, can't find it on the S&P website, etc. Anyone have that index data?
You just linked to it. It is everywhere. Any number below 1957 is from the 90 stock daily index.
I've just never seen an official "S&P 90" index, or any S&P index, that went before the 1950s on sites like the St. Louis Fed site, Yahoo Finance, S&P's site, etc. I've always kind of wondered why those sites didn't have the S&P 90 index as a downloadable spreadsheet (especially since it apparently was a daily index from 1926 on), it would be nice. I know Shiller and Simba have S&P spreadsheets back to the 1800s, but it's monthly averages, and sometimes I like to see something more specific like daily, weekly, last day of month, etc. on my index spreadsheets. :)
S&P's data is still getting licensed/charged for how it can be used, so it's not as easy/free to get as some would want. It's only the monthly data, but you can find the Pre-1957 S&P data spliced to the Cowles Commision data going back to 1871 on the Fed site here:
Index of All Common Stock Prices, Cowles Commission and Standard and Poor's Corporation for United States
https://fred.stlouisfed.org/series/M1125AUSM343NNBR

(It's also price only, not total return w/dividends)
Thanks. Do you know if those are monthly averages or last-day-of-month values?
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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by JoMoney » Sat Sep 16, 2017 5:53 am

OkieIndexer wrote:
Sat Sep 16, 2017 5:03 am
...
Thanks. Do you know if those are monthly averages or last-day-of-month values?
I didn't prior to your asking, but in referencing the descriptions, I was lead back to the data published on NBER's web page, and a document with more descriptions on the data:
http://www.nber.org/chapters/c0715.pdf (see pg.24)
... Cowles Commission index, in general, are arithmetic averages of the
highest and lowest prices of the month
weighted by the number of shares
outstanding at the end of the month.
...
From January 1918 through February 1957, the monthly common
stock price index, 1935—39:100, is an average of Standard and Poor's
weekly composite stock price index
, a base weighted aggregative expressed
in relatives. The weekly data are based upon Wednesday's closing prices
or the last preceding sale price, the midweek observation being considered
most representative. The coverage of the index increased from 198 stocks
in 1918 to 480 in 1957. ...
I also went looking for another chart I had seen on Morningstar that shows S&P (price only) back to 1928
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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by nisiprius » Sat Sep 16, 2017 6:53 am

OkieIndexer wrote:
Fri Sep 15, 2017 9:21 pm
Stockcharts.com has an S&P 500 Daily data chart that goes back to 1925 (see link below for their 1925-57 S&P 500 chart, before the actual S&P 500 started in March 1957). From what I can tell, DFA uses very similar S&P 500 data for their online calculator that also extends the S&P 500 back to 1928. The actual S&P 500 didn't start until March 1957, so how do they have data for the "S&P 500" back to 1925? Is this data even close to being accurate?

http://stockcharts.com/h-sc/ui?s=%24SPX ... 7339565222
Yes and no. It bugs me, too, and I've never succeeded in winkling out a complete answer. The financial industry is sloppy as hell about this.

For starters, there wasn't even a "Standard and Poor's" before Poor's Publishing and Standard Statistics merged in 1941.

The partial answer is that there are two traditional data sets--I'm not sure what the exact relationship between them is--both of which go back to 1926: the CRSP data set, and the data set used, first in a paper, then it a set of annual yearbook volumes, entitled "Stocks, Bonds, Bills and Inflation," by Roger G. Ibbotson and Rex A. Sinquefield. The original 1976 paper is: "Stocks, Bonds, Bills, and Inflation: Year-by-Year Historical Returns (1926-1974)," The Journal of Business, 49(1), 1976, pp. 11-47, and it says:
Our common stock total return index is basedupon the Standard and Poor's
(S &P) Composite Index... currently the S & P Composite includes 500 of the largest stocks (in terms of stock market value) in the United States; prior to March 1957i t consisted of 90 of the largest stocks.
Yes, the composite index did go to 1923 or thereabouts, but it says something for the vagueness and sloppiness that I've just spent ten minutes Googling without being able to find out for sure whether it was Standard's index or Poor's!

Notice, too, that while the price index itself is probably more or less accurate--apart from details like wondering just how the 90 stocks were chosen and what the nature of the inconsistency or discontinuity between the 90-stock and the 500-stock index might be--things definitely get fuzzier when you start to look at total return. Every paper I've seen that talks about compiling older data always goes into a long song-and-dance about dividend data and how hard it was to get and how they filled in occasional lacunae and had to make adjustments because the dates of the data didn't line up with the dates they were trying to calculate between.

Another problem that gets overlooked is that I am used to a world in which, from the 1950s to the 1990s or so, "the stock market" was dominated by three exchanges, all located in New York: the NYSE, the "curb exchange" -> AMEX, and later the NASDAQ. (Nowadays there are, I don't know, a dozen or so exchanges but they are so tightly connected electronically that can be treated as the same). But before the 1950s, various regional exchanges in a other cities--Boston, Philadelphia etc. were a significant part of the market, something like 1/3rd or more. I'm not sure whether the S&P Composite in the 90-stock days tried to include data outside New York or not. The Cowles Commission, mentioned below, did; they looked at stock data in something like two dozen cities to compile their totals.

From 1870 to 1940 there is a corpus of data called the "Cowles Commission" data, and it was certainly a noble effort. It was literally compiled by a team of about thirty or so volunteer students at a college, under the supervision of members of the Cowles Commission, reading numbers out of newspapers and entering them into rotary desk calculators. It was a serious effort to produce real indices of the whole market and many interesting subsets of it.

Any stuff before 1870 is sort of a joke; see Jason Zweig's article, Does stock market data really go back 200 years?
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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by AlohaJoe » Sat Sep 16, 2017 9:10 am

OkieIndexer wrote:
Fri Sep 15, 2017 10:46 pm
AlohaJoe wrote:
Fri Sep 15, 2017 9:55 pm
OkieIndexer wrote:
Fri Sep 15, 2017 9:45 pm
stlutz wrote:
Fri Sep 15, 2017 9:42 pm
Prior to '57 it was a 90 stock index.
Yeah, I've heard that, but I've never been able to find the 90 stock index data myself anywhere. Yahoo Finance doesn't have it, the St. Louis Fed website doesn't have it, can't find it on the S&P website, etc. Anyone have that index data?
You just linked to it. It is everywhere. Any number below 1957 is from the 90 stock daily index.
I've just never seen an official "S&P 90" index, or any S&P index, that went before the 1950s on sites like the St. Louis Fed site, Yahoo Finance, S&P's site, etc.
There is no "S&P 90" index. There is only (what is now called) the "S&P 500". It is the same thing, it just underwent name changes over the years. The first link in this thread has "S&P 90" data from before the 1950s.

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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by siamond » Sat Sep 16, 2017 9:12 am

JoMoney wrote:
Sat Sep 16, 2017 5:53 am
I also went looking for another chart I had seen on Morningstar that shows S&P (price only) back to 1928
Here is a simpler pointer to the S&P 500 PR chart page. And this one does provide daily numbers if we go to the corresponding data series. Unfortunately, such a price series without dividends isn't terribly meaningful.

In the same vein, if the OP is interested, the Dow Jones Industrial Average is available as a price-only data series with daily values, check it out here. And this one starts on 01/02/1900, amazingly enough. Don't know much about the quality of the underlying data though.

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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by nisiprius » Sat Sep 16, 2017 11:57 am

This is very, very fallible memory but I think I remember TV news commentators, when I was a kid in the fifties, talking about "S&P's five-hundred-stock average." You can test my memory if you can find any clips from back then, because my memory is that they used the word "average" rather than "index." I think the reason why they did it was that the change to the S&P 500 was new. S&P probably called it an "index," the distinction between an average and an index going back to Irving Fisher's "The Making of Index Numbers" in 1923. The commentators were probably being inaccurate because they thought listeners knew what an "average" was, but not what an "index" was.

I don't remember this, but guessing from what I've read, it might have been called "the composite" index.

I am too lazy to dig it out but I am pretty sure that this was not a name change in a single index.

I am pretty sure that "the composite index" was calculated daily, while because of the immense computational power needed to average five hundred stocks, it was one of a number of "weekly indexes." Thus, I think the two ran in parallel for a while, the composite index being published daily and the 500-stock index being published only weekly.

I am also pretty sure that the composite index was not constrained to include exactly 90 stocks, and that the number of stocks in it varied.
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.

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nisiprius
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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by nisiprius » Sat Sep 16, 2017 12:06 pm

Well, I was wrong about what I was "pretty sure" about. But I was sort of right.

The S&P 500 itself was calculated hourly. Before it, there had been 420-stock industrial and 480-stock composite indexes, but they had been available only weekly.

This of course instantly prompts the question: why do all the "classic" sources use a 90-stock index before 1957, if a 480-stock index was available?

Found: A Realistic Market Measure
Author(s): Saul A. Smerling
Source: The Analysts Journal, Vol. 13, No. 2 (May, 1957), pp. 59-62 Published by: CFA Institute
Thoughtful members of the analytical profession and commentators on the financial scene have long mulled over these problems, concluding that a more accurate and comprehensive average produced on an hourly, or even a daily, basis would entail insurmountable problems. To be sure, broadly representative measures, based on a scientific weighting principle, existed in Standard & Poor's 420-stock industrial and 480-stock composite indexes. These were available only weekly, however, limiting their usefulness.

Endorsement of this approach no longer need be qualified, thanks to the modern magic of electronics. Working in cooperation with Melpar, Inc., the electronics research and development arm of Westinghouse Air Brake Company, Standard & Poor's recently inaugurated a 500-stock
index, together with three component indexes of 425 in- dustrials, 25 rails and 50 utilities. These indexes are avail- able hourly (together with opening, closing and daily high and low) on the American Stock Exchange nationwide system of stock quotation tickers, the Commodity News Service Ticker and the Cotton Ticker, as well as daily in many newspapers.

Quick synthesis of the huge mass of raw data presented a number of formidable problems, on which electronic technicians worked for nearly a year. Among these was the development and construction of a code converter that transforms six-channel information (of the type produced by the stock ticker) into the four-channel information normally handled in perforated-tape processes. The converter is unique, and is being used solely in preparation of the Standard & Poor's indexes.

Basic to the project was the development of a computer program that enables the Burroughs Datatron to receive information directly from the New York Stock Exchange ticker on perforated-tape...
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.

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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by AlohaJoe » Sat Sep 16, 2017 7:59 pm

nisiprius wrote:
Sat Sep 16, 2017 12:06 pm
This of course instantly prompts the question: why do all the "classic" sources use a 90-stock index before 1957, if a 480-stock index was available?
My understanding (which is entirely based on Wilson & Jones' paper "An Analysis of the S&P 500 Index and Cowles's Extension" is that "everyone forgot". The S&P made the change in 1957 -- which was in the dark ages. That's when they stopped updating the weekly 480-stock index. It used to be described in a footnote but eventually even the footnote was dropped from their publications.
In March 1957, S&P abandoned its historical weekly series with the statement, “To avoid confusion, Standard & Poor’s has standardized on its former daily price index . . . for the back record.”3 This caution by S&P was repeated in the biennial editions of their historical data (the “Blue Books”) for many years, but is not mentioned in recent editions. Simultaneously, S&P ceased estimating the S&P 90 Index. The decision to abandon the historical record of the broad-based weekly index in favor of the S&P 90, which ceased, has been the cause of much confusion.
I've never seen an "official statement" from Siegel or Shiller or Ibbotson on this. My guess is they didn't know when they did their work originally -- even Ibboton's earliest publications came 15 years after S&P made this change, I think -- and for whatever reason don't want to go back and change things now.

For everyone else, I assume they don't know any better and are just using one of those 3 sources.

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Re: Stockcharts.com has an S&P 500 Daily chart going back to 1925

Post by F150HD » Sun Sep 17, 2017 12:18 pm

As of Thursday, it had been exactly 10 months since the S&P 500 saw a pullback of 3 percent, Detrick pointed out. That makes this only the second-longest streak without a 3 percent pullback that has been since 1928, beaten by an 11-month run that took place from the end of 1994 to December 1995.

The S&P 500 is doing something it hasn’t since 1995 - CNBC

Just found it interesting....

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