Finding Monthly Index Market Capitalizations for a Value-Weighted Portfolio
Summary
The document seeks monthly market capitalization data for a set of equity, commodity, bond, and real estate indices. The intended use is to construct a value-weighted benchmark across asset classes for portfolio optimization and to estimate returns with CAPM. The author reports that university access to Datastream does not provide the needed figures for some MSCI indices and asks about alternative data sources or a global multi-asset benchmark.
A response recommends using Bloomberg’s historical data service to retrieve monthly index market capitalization, illustrating the approach with MSCI World and suggesting that tickers for other indices may be found similarly. The response does not confirm availability for every listed index or resolve the original access limitation, and it supplies no alternative benchmark construction or CAPM discussion. Coverage, licensing, index definitions, and consistent market-value measures across asset classes remain practical considerations.
Key ideas
- The proposed benchmark requires monthly market capitalizations across several asset classes.
- The intended portfolio is value weighted and supports portfolio optimization and CAPM return estimation.
- A response recommends Bloomberg historical data for retrieving monthly index market values.
- Data access and coverage for all indices are not established in the discussion.
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# Monthly market value data of indices: where to get?
# Monthly market value data of indices: where to get?
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).
Thanks!
## Answer by RandyF (score 1)
https://quant.stackexchange.com/a/24955
If you have Bloomberg (particularly the Excel API), that's my recommendation. You can use the bdh function to look up the historical data points. Particularly, for the MSCI World Index, you would use:
=BDH("MXWO INDEX","INDX_MARKET_CAP","1/31/2001","12/31/2015","Period","M").
For monthly data starting that the beginning of 2001 and going to the end of this past year as an example. I assume you can find the Bloomberg tickers for the other indices.
Or, is this the data that your university does not have access to?Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.