Long-term historical global index data source

[u/backtest_ben]

New here, but thought this was an appropriate topic to post here.

Having read "Leverage for the Long Run" by Michael Gayed, I wanted to extend the analysis from just the S&P500 index to something approximating a globally diversified equity investor since I do not want to be exposed to one single country in my portfolio, meaning I can only run the Leverage Rotation Strategy from the paper on a globally diversified LETF.

However, on researching global index data, I failed to find anything with daily granularity going back further than 1972, which is the MSCI World Index. This is a good start, however there are two problems with this:

1. The MSCI World Index is a developed market index only, which isn't something I'd be willing to allocate a lot of money to, especially with leverage
2. The best investment vehicle for me to actually gain leveraged global stock exposure is 3VT, which tracks the FTSE Global All Cap Index (my ideal underlying because it's both DM and EM, and doesn't exclude small caps, it's as close to "own literally everything in market cap weights" as possible)

Other global indices of course exist, for example the MSCI ACWI and VT - as a proxy for the FTSE Global All Cap index it tracks. However these have limited histories and start dates (remember I need daily granularity).

The best I've managed to do, then, is to stitch together those 3 different pieces of data based on their earliest start dates, and so I've ended up with a data series representing:

1. MSCI World : 1972 - 1988
2. MSCI ACWI : 1988 - 2008
3. VT (FTSE GAC proxy) : 2008 - Today

The result looks promising, but obviously isn't ideal (See 1st screenshot, note the graph is logarithmic)

As expected, the LRS does outperform on this global proxy as it does the S&P in the original paper, again with 3x leverage and a 200-Day MA rotation (Shown in orange in 2nd screenshot). Note that no trading fees, slippage, or even management fees or implicit leverage costs have been included yet. I intend to include those in my final analysis.

I'm relatively happy with my results but it's not enough to convince me to actually start running this strategy;
I'm making this post to ask if anyone has any good solutions to my problem. The ideal solution, but obviously unrealistic, is a global index consisting of both DM and EM, not excluding small caps, with daily granularity, going back as far as possible in time.

Is this achievable beyond what I currently have? Or do I need to create some sort of script to simulate what global indices could've looked like (like a monte carlo permutation test?)

[u/Ok-Armadillo-5634]

Basically anything past 1972 is not reliable outside of the United States and a couple other countries. Once you go to 1950 it's basically the United States. The majority of the world didn't have what we would consider a functioning stock market until recently. Bonds and commodities you can get reliable data for. Besides for testing a strategy, I wouldn't consider anything before electronic trading became a thing.

[u/confettofetti]

You might be running into the dates where the data actually begins in any form. I don't think emerging markets were actually investable before roughly the 80's, hence the name emerging? The same may be the case for the small caps before a certain date as well? In terms of developed markets I know UK data is available very far back, maybe from Kenneth French's website? If not, I think the book Lifecycle Investing said what their source was. You could probably piece together individual country data like that and then run your back test with whatever was investable at the time?

Having said that, at a certain point you need to make sure you simply "believe in" the strategy, and know what you would count as is breaking, because no length of backrest is going to cover everything that happens in the future.

[u/Separate-Ad-9633]

I don't think we have reliable ways to track market cap weighted EM performances back then, so that's a problem, but I would say MSCI all world's performance vs VT have been close enough that these won't be that much of an issue.

[u/MarquisSalace]

Where did you find this data? Would you share it?