Asset allocation backtest

[probtrader]

Mebane Faber builds a portfolio composed of 5 different asset classes (REIT, bonds, stocks, commodities, emerging markets) and sells (buy) each asset class when the index crosses below (above) its 10 months SMA. The result is a portfolio that never incurs a negative year since 1972 with a CAGR of 11.92% and a Sharpe of 1.2: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461.

I would like to backtest the strategy, including some variations I have in mind but I don't have access to Global Financial Data. I subscribed to Reuters Datalink but their data is only available from 2000. CSI could be an option but they don't have the specific indexes used by Faber. It's around $400 for 20 years of data subscribing to their budget bundle offer. Are there any other options? Ideally I would like to use the same indexes:

+ Standard and Poor's 500 Index (S&P 500)
+ Morgan Stanley Capital International Developed Markets Index (MSCI EAFE)
+ Goldman Sachs Commodity Index (GSCI)
+ National Association of Real Estate Investment Trusts Index (NAREIT)
+ United States Government 10-Year Treasury Bonds

NAREIT historical data is available at http://www.nareit.com/library/domestic/monthly_indexes.cfm

[probtrader]

I ran a backtest using monthly data from 1/1/1991 for EAFE, REIT, DJC, TNX and SPX but I was unable to reproduce Mebane results. I'm including here a comparison of overall portfolio results vs. SPX BnH and the details of all trades. Way too much whipsawing in TNX and DJC:

[probtrader]

Nice site here with data for a variety of world indexes, but only from 2001: http://www.econstats.com/fut/xcmi_em14.htm
Looks like long term index data is still not available to the internet crowd, but why am I complaining after all

[nodoodahs]

Try searching here for data.
http://rfe.org/

You and I are on the same track.

Mebane uses more than 5 asset classes for his larger accounts. 40, I believe. He splits the segments out further (think Morningstar style grid for U.S. stocks) in various ways and applies the same trend technique. That's not the path I am looking at in terms of tweaking it, though.
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