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I am currently working on a paper related to portfolio optimization. As of this moment, I am considering to use a dataset consisting of the following indices:

  • MSCI World
  • MSCI Emerging Markets
  • SP GSCI
  • BofA U.S Gov (all maturities)
  • BofA HY 100
  • FTSE REIT

The challenge that I am against is that I need monthly data of the total market cap of these indices. For some reason, I cannot access this data for e.g. MSCI World and MSCI Emerging markets as my university seems to not have the highest level of subscription to the Datastream-services. As this data is crucial for my work, I am turning to you guys. Do you have any advice or recommendations on how I can access monthly market cap data of these indices? Does this data even exist on services such as Bloomberg?

I need it in order to create a benchmark (value-weighted) market portfolio of a multi-asset universe. If you have any other recommendations, e.g. an index that mimics a global market portfolio consisting of various asset classes (bonds, equity, commodity) that I can use as an benchmark: then please feel free to comment on such an index. (I need it for estimating returns via CAPM).

Thanks!

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If you have Bloomberg (particularly the Excel API), that's my recommendation. You can use the bdh function to look up the historical data points. Particularly, for the MSCI World Index, you would use:

=BDH("MXWO INDEX","INDX_MARKET_CAP","1/31/2001","12/31/2015","Period","M").

For monthly data starting that the beginning of 2001 and going to the end of this past year as an example. I assume you can find the Bloomberg tickers for the other indices.

Or, is this the data that your university does not have access to?

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  • $\begingroup$ Hi RandyF. I sincerely appreciate your answer! My university does not seem to have access to market cap data for indices such as MSCI World as the Datastream service says "Access denied" when I try to extract the data. Thus, it seems I have to try and get hold of Bloomberg. Are you certain that Bloomberg has historical market cap data for e.g. MSCI World? I was told that Bloomberg and Thomson Reuters are bad at providing such particular data. I'm not sure how to get access to Bloomberg, but it would be nice to know for sure that the data exist before I attempt to get hold of the services. $\endgroup$
    – S.Hanne
    Commented Mar 21, 2016 at 9:39

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