Does anyone have some recommendations for good historical sector data for the US markets? I use Reuters for my stock and index data, but they only go back to 2000 for Dow Jones indices and 98 for S&P. Given that a sector strategy is going to be medium to longer term, if the average business cycle is 4 years, seems to me you're going to need at least 20 years (5 cycles) of data before you can get any statistical significance. Also Reuters must have longer dated info available somewhere - maybe just not for their retail clients?

Thanks Patrick I have been able to find daily Dow Jones sector and industry index data back to 1992, although not in an updatable or convenient format. It's still a mystery to me. Seems like some institutional investors have been doing top down, sector based investing for decades, so they must have used some sort of data. Any retired money managers out there who can shed light on this? Andrew

You can get it on the DJ website if you dig deep enough - ASCII or Excel. But there were some changes to the data series in the 90's so there's some duplication overlap, and the sites download capacity is limited, so its hard to download more than one industry at a time (and there are a lot of industries...) Is there a way I can add the data from Dow Jones to the existing Reuters file for that symbol (for example, .DJUSFD) (from 2000) so that in one file I will have the historical data and the ability to update as part of the regular daily process? Andrew

www.premiumdata.net offers Australian Securities Exchange (ASX) historical data back to 1992 for AUD$99 and for an additional AUD$22 for postage+handling will send this to you on CD. We also have US stock data back to 1950 too.