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I'm looking to backtest this portfolio: Global Bonds, gold, Global Stocks, short-term t-bills (1/4 each) from 1990 up to this year, rebalanced monthly. Then take a variety of statistics on the time series such as VAR, max drawdown, etc...

1st: I know some python that could potentially handle this but it was suggested to use excel, which I don't know very well. Any links to good resources for the excel skills required would be greatly appreciated.

2nd: These data sets seem to be very tricky, especially the global bond and global stock data going back to 1990. Where could I find this data? If not I was thinking of using a one or two proxies then comparing the results, is this sound reasoning?

Many thanks

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  • $\begingroup$ FTSE All-World index series is a stock market index that covers over 3,100 companies in 47 countries starting in 1986. $\endgroup$
    – nbbo2
    Apr 28, 2021 at 17:34
  • $\begingroup$ The Bloomberg Barclays Global Aggregate Index is a measure of global investment grade debt from twentyfour [...] markets. The Global Aggregate Index was created in 2000, with index history backfilled to January 1, 1990. $\endgroup$
    – nbbo2
    Apr 28, 2021 at 17:39
  • $\begingroup$ The (annualized) yields on 3 month Tbills are available here fred.stlouisfed.org/series/TB3MS back to the 1940's. $\endgroup$
    – nbbo2
    Apr 28, 2021 at 17:42
  • $\begingroup$ I'll check them out! Thank you! $\endgroup$ Apr 28, 2021 at 18:41
  • $\begingroup$ It doesn't look like I can pull data on The Bloomberg Barclays Global Aggregate Index. Am I missing something? $\endgroup$ Apr 28, 2021 at 19:00

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