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I have a portfolio selection algorithm I want to backtest, but I don't want to limit the inputs at any point in time. For example, I don't want to exclude the Japanese stock market, just because it hasn't done well in recent history.

Ideally, I'll have a pool of ETFs that: 1. Cover broad market segments (i.e. "US Stocks," "Commodities," "Precious Metals," "Japanese stocks," "US Real Estate." etc.) 2. Are fairly liquid 3. Have low expense ratios 4. (Most important) Closely track an index that has a long history (This allows for a longer backtest).

For example, SPY is perfect. It's large, liquid, covers a major segment of the market, it has a long history, and I can substitute the S&P500 index if I need to go back further than the 1990's. CEF might also be a good option, as it's large, liquid, covers gold and silver, and has a pretty long history (back to about 1986 it seems).

Any other obvious choices

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2 Answers 2

I found this searchable/sortable list: http://www.etftrends.com/etf-analyzer.php . Premium membership is required to sort by inception date, $15/month.

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MSCI has country indices for developed markets going back to 1970 in many cases and a decent history for emerging markets (starting 1988). iShares has pretty liquid ETFs for many of the most popular countries and regions, such as EAFE (EFA), Emerging Markets (EEM), Japan (EWJ), Germany (EWC), Canada (EWC), etc.

Other major indices with very long histories include the German DAX, Japanese Nikkei 225, UK FT-30 (predecessor to FTSE), and Canada's TSX. These indices may also serve as substitutes for the corresponding MSCI indices to backfill even more data.

The most popular bond index with a long history is the Barclays Aggregate (1976), which iShares also covers (AGG). Intermediate Treasuries (IEF) and US Corporate Investment Grade (LQD) go back even further (1973).

I don't know much about other major asset classes, such as REITs and metals, as you've mentioned, but I believe they have very long histories as well. I'd track the main metals, such as gold and silver, directly rather than through a mixed commodity index. I'd also add crude oil to the mix, since that, too, has a pretty long history. The only "alternative" asset class you haven't mentioned is currencies. Each major currency has its own ETF (FXE, FXY, FXB, etc.), and the currencies themselves have been freely floating since the end of Bretton Woods in 1971. Here you would probably want to substitute DEM for EUR before 1999.

I worked on a similar project myself recently, so I believe that is all.

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