I have a portfolio allocation strategy I want to backtest, but I need a large "universe" of ETFs for it to choose from at each time period. I was thinking of starting with a criteria such as "all ETFs available in 2000" or something like that to ensure sufficient data for a backtest.
Any suggestions as to where I can find a databse of all the ETFs out there, complete with their inception date?
Yahoo! Finance allows you to list all ETFs and sort by inception date or size.
Considering your follow-up question, though, I think you are asking the wrong question here. ETFs are a relatively recent innovation. Only 32 of these ETFs were around in 2000. For example, the Russell 2000 ETF (IWM), today's third most actively traded ETF overall, was only introduced in May 2000, thus missing your cutoff date. The CBOE only started listing options on SPY in 2006, and now it is one of the most liquid and popular options series. If your real goal is to backtest an ETF strategy, then think first about what indices/asset classes belong in your backtest then see what ETFs match those choices best.
Alternatively, start with what is most actively traded today. Unlike single stocks, a backtest involving index ETFs is not subject to backfill bias (a.k.a. survivorship bias) in quite the same way. Instead, you'll have to think hard about whether the index on which the ETF is based could reasonably have been considered one of a handful of popular indices as of your backtest date. Russell 2000 (EF: IWM) and MSCI EAFE (ETF: EFA) can reasonably be considered survivor-bias free index choices as of at least 1990, but Brazil (ETF: EWZ) wasn't on most people's radar until some time in the 2000s. This is despite the fact that their ETFs were all created around the same time.
I seriously don't think such a thing exists.
I recently saw an ETF specialist who was working along with his team to standardize their own database in order to be able to sell its access to the public.
It's a question I've heard several times and I seriously don't think you'll find that for free anywhere.
ETF HELP command would tell you there are more than 3200. Anyway, this data on Yahoo Finance is not really a database which you can access in a standardized way. Can you get this list using their webservice?
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http://funds.ft.com/us/Screener/PreScreen can screen by inception date, i.e. <1 yr, 1-3, 3-5, 5-10, >10 years.
See www.nanlee.net for a book doing what you are trying to do.
It scientifically tested 26 older ATFs and found that the average annual return doubled using a moving average of weekly unemployment claims as a buy and sell indicator. A summary of the results is in the Fall, 2015 issue of the Journal of Index Investing.
