Each row below is one source input for an asset: the source fetched, the exact field or series used, and how it is used in returns, forecasts, or mean-reversion views. Yahoo Finance data is accessed through the yfinance Python library.
| Asset | Data source | Date range | Fields and usage |
|---|---|---|---|
| Bitcoin | bitcoin.zorinaq.com all-time Bitcoin price chart | 2009-10-16 to 2014-09-19 | Embedded daily USD prices are sampled to Friday closes and converted into weekly returns for the pre-Yahoo backfill. |
| Yahoo Finance BTC-USD | 2014-09-26 onward |
Adjusted close is sampled on Fridays; weekly returns are calculated for Sharpe, correlations, diversification, ATH, and forecast-volatility views. For the power-law page, Yahoo weekly prices are appended after the Zorinaq pre-Yahoo weekly price history and fitted against days since the Bitcoin genesis date in a log-log model using the trailing prior 8 years of prices, then projected 12 years forward. |
|
| S&P 500 | Yahoo Finance ^GSPC | 1928-01-06 onward | Adjusted close is sampled on Fridays; weekly returns are calculated and used to scale MarketCap/GVA between quarterly FRED anchors. |
| Robert Shiller CAPE data | 1881-02-04 onward | The linked page is resolved to Robert Shiller's ie_data.xls spreadsheet. Monthly S&P Composite CAPE is parsed from the Data sheet, forward-filled to Fridays, and regressed against subsequent 12-year S&P 500 annualised returns. |
|
| FRED NCBEILQ027S, BOGZ1FU106902501Q, A464RC1Q027SBEA, B394RC1Q027SBEA | 1952-04-04 onward | Nonfinancial market cap, domestic GVA, and domestic/rest-of-world profits are combined into a Hussman-style MarketCap/GVA ratio, then scaled weekly with ^GSPC returns. | |
| MSCI World | Yahoo Finance ^990100-USD-STRD | 1972-01-14 onward | Adjusted close is sampled on Fridays; weekly MSCI World returns are calculated. |
| WorldPERatio MSCI World P/E | 2004-12-17 onward | Trailing P/E is combined with the MSCI World return index to derive a weekly CAPE-like valuation series for 12-year return forecasts. | |
| NASDAQ Composite | Yahoo Finance ^IXIC | 1971-02-12 onward | Adjusted close is sampled on Fridays; weekly NASDAQ Composite returns are calculated. |
| WorldPERatio Nasdaq 100 P/E | 2000-04-14 onward | Nasdaq 100 trailing P/E is used as a proxy valuation series and combined with NASDAQ Composite returns to derive CAPE-like forecasts. | |
| Dow Jones Industrial Average | Yahoo Finance ^DJI | 1992-01-10 onward | Adjusted close is sampled on Fridays; weekly live DJIA returns are calculated. |
| DJA.csv daily close snapshot | 1885-05-15 to 1992-01-03 | Daily closes are resampled to Friday closes and converted into weekly returns. The linked repository documents DJA.csv as a Yahoo Finance-format conversion of Dow Jones data originally sourced from MeasuringWorth. |
|
| WorldPERatio Dow Jones P/E | 2003-04-18 onward | Trailing P/E is combined with the DJIA return index to derive a weekly CAPE-like valuation series for 12-year return forecasts. | |
| FTSE 100 | Yahoo Finance ^FTSE | 1984-01-13 onward | Adjusted close is sampled on Fridays; weekly FTSE 100 returns are calculated. |
| WorldPERatio UK P/E | 2004-11-12 onward | Trailing P/E is combined with the FTSE return index to derive a weekly CAPE-like valuation series for 12-year return forecasts. | |
| DAX | Yahoo Finance ^GDAXI | 1988-01-08 onward | Adjusted close is sampled on Fridays; weekly DAX returns are calculated. |
| WorldPERatio Germany P/E | 2004-11-12 onward | Trailing P/E is combined with the DAX return index to derive a weekly CAPE-like valuation series for 12-year return forecasts. | |
| Nikkei 225 | Yahoo Finance ^N225 | 1965-01-15 onward | Adjusted close is sampled on Fridays; weekly Nikkei 225 returns are calculated. |
| WorldPERatio Japan P/E | 2004-12-17 onward | Trailing P/E is combined with the Nikkei return index to derive a weekly CAPE-like valuation series for 12-year return forecasts. | |
| Gold | Yahoo Finance GC=F | 2000-09-08 onward | Adjusted futures close is sampled on Fridays; weekly live gold returns are calculated. |
| FreeGoldAPI latest.csv | 1792-01-13 to 1949-01-07 | Rows are kept as the early gold backfill. | |
| DataHub monthly gold prices | 1949-01-14 to 2000-08-25 | Monthly prices are converted to last-Friday-of-month returns, with interior weekly gaps filled as 0% returns. | |
| FRED M2SL | 1959-01-02 onward | M2 money stock is divided by the gold return index to calculate the M2/gold valuation ratio used for forecasts and mean reversion. | |
| Silver | Yahoo Finance SI=F | 2000-09-08 onward | Adjusted futures close is sampled on Fridays; weekly live silver returns are calculated. |
| Eco3min silver price | 1960-01-08 to 2000-09-01 | Monthly silver prices are converted to weekly Friday returns. | |
| Our gold price, FRED M2SL | — | Silver is compared with the gold price implied by gold's expanding M2/gold trend to calculate the silver forecast ratio. | |
| US REITs | Yahoo Finance VNQ | 2004-10-08 onward | Adjusted close is sampled on Fridays; weekly US REIT returns are calculated. |
| Yahoo Finance VNQ distributions and FRED DGS10 | 2005-09-30 onward | The last year of VNQ distributions is divided by VNQ price, then reduced by DGS10 for the REIT yield-spread forecast. | |
| US Treasuries | Yahoo Finance IEF | 2002-08-09 onward | Adjusted ETF close is sampled on Fridays; weekly live Treasury returns are calculated. |
| FRED DGS10 | 1962-01-05 onward | The 10-year Treasury yield is used for modeled pre-IEF backfill returns and as the yield predictor for 12-year IEF return forecasts. For modeled returns and mean-reversion price moves, an 8.0-year duration is assumed. | |
| US Investment-Grade Corporate Bonds | Yahoo Finance LQD | 2002-08-09 onward | Adjusted ETF close is sampled on Fridays; weekly live investment-grade corporate bond returns are calculated. |
| FRED DBAA | 1986-01-03 onward | Moody's Baa corporate yield is used for modeled pre-LQD backfill returns and as the yield predictor for 12-year LQD return forecasts. For modeled returns and mean-reversion price moves, an 8.5-year duration is assumed. | |
| UK Gilts | Yahoo Finance IGLT.L | 2008-01-11 onward | Adjusted ETF close is sampled on Fridays; weekly live UK gilt returns are calculated. |
| FRED IRLTLT01GBM156N | 1960-01-01 onward | The 10-year UK government bond yield is used for modeled pre-IGLT backfill returns and as the yield predictor for 12-year IGLT return forecasts. For modeled returns and mean-reversion price moves, a 7.25-year duration is assumed. | |
| Risk-free rate | Yahoo Finance ^IRX | 1960-01-08 onward | The 3-month US T-bill yield is sampled weekly and converted to weekly returns for historical-risk-free Sharpe calculations. |