Digging Up Data

Business cycles: The National Bureau of Economic Research contains many more pieces of interesting data, including this file on dates and duration of business cycles and expansions.

IPO data: Ivo Welch, a professor at Yale, keeps track of a lot of interesting data on IPOs at his IPO Resources page.

Hedge-fund data: Not everyone needs to track this one, of course, but for those who are interested, I like the CSFB/Tremont index for keeping track of the various hedge fund strategies. I use www.iasg.com or www.cogenthedge.com to look up the returns of various hedge funds.

Futures data: In addition to Qcharts, mentioned above, data for some contracts can be found at Turtle Trader. I also like Global Financial Data for futures as well as spot-price data for many commodities. The latter site has a wealth of data ranging from economic data to stock market data from other countries.

Fundamental macro market data: For a list of P/E ratios, dividend yields, market capitalization of the whole market, etc., Global Financial Data is great.

Index changes: It's good to keep track of index changes to avoid survivorship bias in testing and to perhaps develop systems based on the change of index such as Russell 2000 changes or S&P 600 deletions (written about in Trade Like a Hedge Fund).

• For Nasdaq 100 changes, check out this file.

• For S&P additions/deletions, look here.

• For an interesting study on S&P 500 additions/deletions, look here.

• And for Russell 2000 additions/deletions, look here.

Discount rate: In addition to Global Financial Data mentioned above, this site has reliable data from 1914 to 2003.

Bankruptcy data:In my book Trade Like a Hedge Fund, I discuss a system for playing large-cap bankruptcies on the day they file Chapter 11. For bankruptcy data, there's BankruptcyData.com.

Trading halts: This Nasdaq site keeps track.

Art: If you ever get sick of the stock market and want to retreat into the world of fine art, this site discusses how it's not the worst investment you can make, with data.

Quick annual returns: Look here for the Dow and for the S&P 500.

In my view, its impossible to make a serious investment decision without looking at all the underlying data and studying the history of an event. Making a decision based on gut instinct ("The market feels frothy here") seldom works for long. The data sources above are quick to access, cheap and easy to massage into a form that is conducive to efficient analysis. Most of these data sources allow you to download results into excel or .csv files, and there are a variety of programs one can use to process the data from that point.

Anyway, it's a start. Happy data crunching.

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James Altucher is a managing partner at Formula Capital, an alternative asset management firm that runs several quantitative-based hedge funds as well as a fund of hedge funds. He is also the author of Trade Like a Hedge Fund and the upcoming Trade Like Warren Buffett. At the time of publication, neither Altucher nor his fund had a position in any of the securities mentioned in this column, although positions may change at any time. Under no circumstances does the information in this column represent a recommendation to buy or sell stocks. Altucher appreciates your feedback and invites you to send it to [e-mail].

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