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).