I am looking for historical index return figures to use for a Post Modern Portfolio Theory based allocation calculation. I am having a very difficult time finding these data sets. Could anyone help guide me to where I may find this information? I can work with annual return % but would really like to have monthly figures and back as far as I can get. Specifically, these are the indexes that I am looking for:
Large Cap Equity S&P 500 Large Cap Value Wilshire L.C. Value Large Cap Growth Wilshire L.C. Growth Small Cap Equity Russell 2000 Small Cap Value Russell 2000 Value Small Cap Growth Russell 2000 Growth Foreign Equity/EAFE MSCI EAFE Emerging Markets MSCI Emerging Mkts
3-Month T-Bill ML 3-Mth US T-Bills Core Fixed Income Lehman Aggregate Global Bonds ML Global Govt. Bond High Yield Bond ML High Yield Master Hedge Funds Tremont Private Equity Cambridge PE Index Managed Futures Tremont Managed Fut. Commodities GSCI Real Estate/REIT's MSCI US REIT Index Long-Duration Lehman US Long Govt/Credit Index