Bryan Taylor, Chief Economist, Finaeon<\/p>\n
Global Financial Data has created a proprietary database of over 5000 series that are calculated exclusively by GFD and cover financial markets from the year 1000 to the present day. The goal of calculating these indices is to use the resources of the Global Financial Database, the US Stocks Database and the Global Stocks Database to provide data series with the most history that is available for financial markets.<\/p>\n
Unfortunately, few analysts are aware of the extent of these indices, so this guide will provide potential users an understanding of what is included in the GFD Indices. We also provide information on the mnemonics that we have used to put together the file name codes for the GFD Indices.\u00a0\u00a0Simply by plugging in the ISO Code for each country, you can figure out the code for GFD\u2019s files.\u00a0\u00a0If you want the Canadian Bill Total Return Index, the mnemonic is TR + ISO +BIM, so put CAN for Canada into the code and you get TRCANBIM.\u00a0\u00a0If you want the file for France External Government Bond Price Index, the mnemonic is GFPR + ISO + XGVM, so put FRA for France into the code and you get GFPRFRAXGVM. This formula can be used for thousands of the files in the GFD Indices.<\/p>\n
Some indices may be available in both Monthly and Daily versions, which is designated by M(D).\u00a0\u00a0Other indices may be available in multiple periodicities.\u00a0\u00a0For example, CAPE Ratios are available at 3, 5, 7, 10 and 20 year intervals (3, 5, 7, 10, 20).\u00a0\u00a0Where sector indices are available, this is indicated by adding a Sector Code in the formula.<\/p>\n
GFD Indices \u2013 Bills<\/strong><\/b><\/span><\/p>\n Files: 295<\/p>\n Starts: 1695<\/p>\n Countries Covered: 66<\/p>\n The purpose of this set of indices is to provide information on the return to Cash that investors have received over time.\u00a0\u00a0The assumption is that there is no capital gain or loss, but only a payment of interest which is reinvested over time. Today, treasury bills are used as the primary measurement for calculating the return to cash.\u00a0\u00a0If no data are available on treasury bill yields, the central bank discount rate, interbank rate, the return to private bills or a similar measure is used to determine the historical yield.\u00a0\u00a0Returns are calculated on both a daily and a monthly basis. Bill indices adjusted for inflation are provided on a monthly basis.\u00a0\u00a0\u00a0Annualized returns to bills on a 5-year, 10-year and 20-year basis are also calculated.<\/p>\n Bill Total Return Indices in USD:<\/span> GFTC + ISO + M<\/p>\n Bill Total Return Inflation Adjusted Indices in USD:<\/span> GFTC + ISO + R<\/p>\n Bill Total Return Indices in Local Currency:<\/span> TR + ISO + BID<\/p>\n GFD Indices \u2013 Bond Price<\/strong><\/b><\/span><\/p>\n Files: 261<\/p>\n Starts: 1700<\/p>\n Countries Covered: 85<\/p>\n In order to calculate the return to bonds over time, you need to provide data on both the price of bonds and the total return to bonds, including reinvested interest payments. These series calculate the price of a theoretical bond over the life of the return index.\u00a0\u00a0Two types of bond price series are provided: GDP-weighted Government Bond Price Indices for aggregate global groups, the price of internal bonds for domestic investors, the price of external bonds for foreign investors, and domestic 10-year Government Bond Price Indices for individual countries.<\/p>\n External Government Bond Price Index:<\/span> GFPR + ISO + XGVM<\/p>\n Internal Government Bond Price Index:<\/span> GFPR + ISO + IGVM<\/p>\n 10-year Government Bond Price Index:<\/span> PR + ISO + GVM<\/p>\n GFD Indices \u2013 Bond Return<\/strong><\/b><\/span><\/p>\n Files: 353<\/p>\n Starts: 1694<\/p>\n Countries Covered: 80<\/p>\n These indices provide calculations for the total return to bond investors over time, including reinvested interest payments for bonds. Data are provided for both bonds issued in the domestic currency for domestic investors and for bonds issued in external currencies for foreign investors.\u00a0\u00a0These indices have been converted into US Dollars so returns to different countries can be compared directly.\u00a0\u00a0This eliminates the impact of inflation and hyperinflation on returns.\u00a0\u00a0These indices have also been adjusted for inflation as well. As is true of the bill indices, annualized returns to bonds on a 5-year, 10-year and 20-year basis are calculated in US Dollars.<\/p>\n Government Bond Return Index in USD:<\/span> GFTB + ISO + M<\/p>\n Government Bond Inflation-Adjusted Return Index in USD:<\/span> GFTB + ISO + R<\/p>\n External Government Bond Return Index:<\/span> GFTR + ISO + XGVM<\/p>\n Internal Government Bond Return Index:<\/span> GFTR + ISO + IGVM<\/p>\n GFD Indices \u2013 Bond Yield<\/strong><\/b><\/span><\/p>\n Files: 68<\/p>\n Begins: 1285<\/p>\n Countries Covered: 61<\/p>\n The bond indices were put together using price data for bonds traded in London, Paris, Berlin, New York and other exchanges.\u00a0\u00a0We have calculated the yield on those bonds and chain-linked different bonds to create a continuous series of Government bond yields for each country for both internal and external bonds.\u00a0\u00a0Before World War I, many countries issued perpetuities making the calculation of yields easier, but after World War I, countries issued primarily bonds with fixed maturities.\u00a0\u00a0By combining the information on Bond Prices, Bond Yields and Bond Returns, you can get a complete picture of returns to bonds over time.<\/p>\n External Government Bond Yield:<\/span> GFIG + ISO + XM<\/p>\n GFD Indices \u2013 Commodities<\/strong><\/b><\/span><\/p>\n Files: 113<\/p>\n Starts: 1000<\/p>\n GFD offers the most extensive historical indices for commodity prices available anywhere.\u00a0\u00a0GFD calculates two types of commodity indices.\u00a0\u00a0First, there are aggregate indices that group similar commodities together.\u00a0\u00a0This would include not only an index for all commodities, but ones for food, energy, non-food agriculturals, etc. Commodity data comes from a number of sources in both Europe and the United States with more recent data of a monthly periodicity from the United States and historical data of annual periodicity from Europe.\u00a0\u00a0These series are chain-linked together to provide long-term indices for individual commodities, such as gold, wheat, oil etc.\u00a0\u00a0All commodity indices have been converted into US Dollars. Indices that calculate the premium between commodities and stock, bonds and bills are also provided.<\/p>\n Commodity Indices:<\/span> GFDCO + Commodity<\/p>\n GFD Indices \u2013 Equity Indicators<\/strong><\/b><\/span><\/p>\n Files: 872<\/p>\n Begins: 1699<\/p>\n Countries Covered: 88<\/p>\n GFD has used the data in its US and Global Equity Databases to calculate equity indicators for analysis.\u00a0\u00a0GFD has calculated indicators for new highs, new lows, advances and declines for the S&P 500 and its sector indices as well as the Dow Jones Averages back to 1957, as well as advance, decline and unchanged indictors.\u00a0\u00a0GFD also calculates equity risk premia between Bonds and Bills, Bonds and Equities, and for Bills and Equities for 5 years, 10 years and 20 years.\u00a0\u00a0GFD has calculated these premia to save analysts the work of calculating them. GFD has calculated its share value index which measures by how much the number of shares outstanding has grown by in each country after adjusting for splits. Global Financial Data also provides data for the market tops and bottoms of global stock exchanges since 1900, an indicator that is exclusive to GFD.<\/p>\n Advance-Decline Line:<\/span> GFD + Index + ADL<\/p>\n Advances:<\/span> GFD + Index + ADV<\/p>\n Declines:<\/span> GFD + Index + DEC<\/p>\n Unchanged:<\/span> GFD + Index + UNC<\/p>\n New Highs:<\/span> GFD + Index + NH<\/p>\n New Lows:<\/span> GFD + Index + NL<\/p>\n Equity-Bond Premium:<\/span> GFER + ISO + (5, 10, 20) + BM<\/p>\n Equity-Bill Premium:<\/span> GFER + ISO + (5, 10, 20) + SM<\/p>\n Bond-Bill Premium:<\/span> GFER + ISO + (5, 10, 20) + M<\/p>\n Share Value Index:<\/span> SHV + ISO + M<\/p>\n Share Value Index Annual Percentage Change:<\/span> SHV + ISO + MAPC<\/p>\n GFD Indices – Equity PE and Yield<\/strong><\/b><\/span><\/p>\n Files: 683<\/p>\n Begins: 1792<\/p>\n Countries Covered: 46<\/p>\n GFD has calculated CAPE Ratios for 46 different countries.\u00a0\u00a0GFD has calculated the CAPE Ratios at 3-, 5-, 7-, 10-, 20-and 30-year intervals.\u00a0\u00a0Although 10 years is the standard for CAPE calculations, we have calculated different intervals to help analysts study the impact of these ratios. In addition to the CAPE Ratios, GFD also has calculated dividend yield and PE Ratios for different countries including their sector indices.<\/p>\n London Stocks Dividend Yield in GBP:<\/span> GFUK + ISO + DYM<\/p>\n CAPE Ratio:<\/span> SY + ISO + CAPE + (3, 5, 7, 10, 20) + M<\/p>\n Stocks-Bond Yield Spread:<\/span> GFSYIG + ISO + YM<\/p>\n GFD Indices \u2013 Equity Price<\/strong><\/b><\/span><\/p>\n Files: 1305<\/p>\n Begins: 1602<\/p>\n Countries Covered: 120<\/p>\n GFD has calculated over 1000 stock price indices covering four centuries of data on individual stocks from our US Stocks Database and Global Stocks Database. In addition to composites for all stocks in each country, GFD has calculated sector price indices for each country that listed stocks in London, New York and other European exchanges. We provide foreign price indices converted into US Dollars and also adjusted for inflation so the performance between different countries can be directly compared. The UK Top 100 index provides over 300 years of history on the price of British stocks in London.<\/p>\n We have calculated over a hundred composites that cover different geographic groups such as the world, Europe, Asia, etc. Indices based upon stocks listed in London have been converted into both US Dollars and British Pounds so they can be compared with one another.<\/p>\n A number of indices have been calculated based upon data from the United States.\u00a0\u00a0This includes the US-100 Index and its sectors, covering the period from 1792 to the present. Indices based upon regional exchanges, such as Boston, Philadelphia and Chicago are also included. Daily indices have been calculated back to March 1957 when the S&P 500 was established for both sectors and for size.\u00a0\u00a0This includes not only a dozen sector indices, but Blue Chip, Large Cap, Midcap, Small Cap and Tru-Cap Indices.<\/p>\n Equity Price Index in USD:<\/span> GFPR + ISO + STD<\/p>\n London Country Indices in GBP:<\/span> GFUK + ISO + MPM(D)<\/p>\n London Country Indices in USD:<\/span> GFUK + ISO + USDMPM(D)<\/p>\n London Country Sector Price Indices in GBP:<\/span> GFUK + ISO + Sector Code + MPM(D)<\/p>\n London Country Sector Price Indices in USD:<\/span> GFUK + ISO + Sector Code + MPM(D)<\/p>\n UK Top 100 Sector Price Indices:<\/span> GFUK100 + Sector Code + MPM(D)<\/p>\n USA Top 100 Sector Price Indices:<\/span> GFUS100 + Sector Code + MPM(D)<\/p>\n USA Large Cap Sector Price Indices:<\/span> GFUSL1000 + Sector Code + MPM(D)<\/p>\n USA Midcap Sector Price Indices:<\/span> GFUSM1000 + Sector Code + MPM(D)<\/p>\n USA Small Cap Sector Price Indices:<\/span> GFUSS1000 + Sector Code + MPM(D)<\/p>\n USA Tru Small Cap Sector Price Indices:<\/span> GFUSTS1000 + Sector Code + MPM(D)<\/p>\n GFD Indices \u2013 Equity Returns<\/strong><\/b><\/span><\/p>\n Files: 1219<\/p>\n Begins: 1602<\/p>\n Countries Covered: 84<\/p>\n GFD has calculated over 1000 stock return indices covering four centuries of data on individual stocks from our US Stocks Database and Global Stocks Database. In addition to composites for all stocks in each country, GFD has calculated sector return indices for each country that listed stocks in London, New York and other European exchanges. We provide foreign return indices converted into US Dollars and also adjusted for inflation so the performance between different countries can be directly compared. The UK Top 100 index provides over 300 years of history on the returns to British stocks in London. Returns for 5, 10 and 20 years are also calculated.<\/p>\n We have calculated over a hundred composites that cover different geographic groups such as the world, Europe, Asia, etc. Indices based upon stocks listed in London have been converted into both US Dollars and British Pounds so they can be compared with one another.<\/p>\n A number of indices have been calculated based upon data from the United States.\u00a0\u00a0This includes the US-100 Index and its sectors, covering the period from 1792 to the present. Indices based upon regional exchanges, such as Boston, Philadelphia and Chicago are also included. Daily indices have been calculated back to March 1957 when the S&P 500 was established for both sectors and for size.\u00a0\u00a0This includes not only a dozen sector indices, but Blue Chip, Large Cap, Midcap, Small Cap and Tru-Cap Indices.<\/p>\n Equity Domestic Return Indices in USD:<\/span> GFTR + ISO + STD\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0<\/p>\n Equity GFD Return Indices in USD:<\/span> GFTR + ISO + M<\/p>\n Equity GFD Return Indices Adjusted for Inflation in USD:<\/span> GFTR + ISO + R<\/p>\n London Country Sector Return Indices in GBP:<\/span> GFUK + ISO + Sector Code + MRM(D)<\/p>\n London Country Sector Return Indices in USD:<\/span> GFUK + ISO + Sector Code + MRM(D)<\/p>\n UK Top 100 Sector Return Indices:<\/span> GFUK100 + Sector Code + MRM(D)<\/p>\n USA Top 100 Sector Return Indices:<\/span> GFUS100 + Sector Code + MRM(D)<\/p>\n USA Large Cap Sector Return Indices:<\/span> GFUSL1000 + Sector Code + MRM(D)<\/p>\n USA Midcap Sector Return Indices:<\/span> GFUSM1000 + Sector Code + MRM(D)<\/p>\n USA Small Cap Sector Return Indices:<\/span> GFUSS1000 + Sector Code + MRM(D)<\/p>\n USA Tru Small Cap Sector Return Indices:<\/span> GFUSTS1000 + Sector Code + MRM(D)<\/p>\n GFD Indices \u2013 Market Capitalization<\/strong><\/b><\/span><\/p>\n Files: 228<\/p>\n Begins: 1692<\/p>\n Countries Covered: 73<\/p>\n GFD has used its extensive coverage of individual stocks that listed in New York, London and Europe to calculate the market capitalization of different countries and sectors. We calculate not only the total market capitalization of all stocks listed in London, but the market cap of individual countries and sectors.\u00a0\u00a0This shows us what the market cap of Indian stocks, Canadian stocks or South African stocks listed in London was in the past and how it has changed. We provide both the market cap and the market cap as a percentage of GDP. We also calculate the market cap for US and UK stocks by sector.<\/p>\n Stock Market Capitalization as a Percentage of GDP: SC + ISO + MPC<\/p>\n GFD Indices \u2013 Real Estate Data<\/strong><\/b><\/span><\/p>\n Files: 5<\/p>\n Begins: 1890<\/p>\n Countries Covered: 4<\/p>\n GFD has real estate data on over 50 countries in the GFDatabase.\u00a0\u00a0We have combined these indices, weighting by GDP, to calculate composite indices for the World, Europe, Asia and America.\u00a0\u00a0These composites can be compared with each other and with individual countries to provide data on broad trends in real estate prices over time.<\/p>\n GFD Indices \u2013 Total Returns<\/strong><\/b><\/span><\/p>\n Files: 181<\/p>\n Begins: 1694<\/p>\n Countries Covered: 67<\/p>\n Total returns are calculated for stocks, bonds and bills on a monthly basis by GFD.\u00a0\u00a0With these time series, you can calculate how the risk-free return to bills and the return to government bonds compares with the returns to stocks over time.<\/p>\n Bill Total Return Index:<\/span> TR + ISO + BIM<\/p>\n Bond Total Return Index:<\/span> TR + ISO + GVM<\/p>\n Stock Total Return Index:<\/span> TR + ISO + STM<\/p>\n","protected":false},"excerpt":{"rendered":" Bryan Taylor, Chief Economist, Finaeon Global Financial Data has created a proprietary database of over 5000 series that are calculated exclusively by GFD and…<\/p>\n","protected":false},"author":3,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[1,148],"tags":[],"class_list":["post-3000","post","type-post","status-publish","format-standard","hentry","category-insights","category-may-2023"],"acf":[],"_links":{"self":[{"href":"https:\/\/maxrezmedia.com\/website_131ddb8a\/wp-json\/wp\/v2\/posts\/3000","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/maxrezmedia.com\/website_131ddb8a\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/maxrezmedia.com\/website_131ddb8a\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/maxrezmedia.com\/website_131ddb8a\/wp-json\/wp\/v2\/users\/3"}],"replies":[{"embeddable":true,"href":"https:\/\/maxrezmedia.com\/website_131ddb8a\/wp-json\/wp\/v2\/comments?post=3000"}],"version-history":[{"count":6,"href":"https:\/\/maxrezmedia.com\/website_131ddb8a\/wp-json\/wp\/v2\/posts\/3000\/revisions"}],"predecessor-version":[{"id":3002,"href":"https:\/\/maxrezmedia.com\/website_131ddb8a\/wp-json\/wp\/v2\/posts\/3000\/revisions\/3002"}],"wp:attachment":[{"href":"https:\/\/maxrezmedia.com\/website_131ddb8a\/wp-json\/wp\/v2\/media?parent=3000"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/maxrezmedia.com\/website_131ddb8a\/wp-json\/wp\/v2\/categories?post=3000"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/maxrezmedia.com\/website_131ddb8a\/wp-json\/wp\/v2\/tags?post=3000"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}