Q: I can find a lot of detailed data about the performance of the U.S. stock market in every part of the market, but I struggle to find the same quality and depth of data on Canadian companies. Can you tell me where I can find good stock data on the Canadian stock market? I’m hoping this data will help me finalize my asset allocation.
A: Whenever I watch a baseball game, I’m amazed by the exotic statistics. Someone is counting the percentage of curveballs thrown by every pitcher, and measuring how each batter performs when his team is down three or more runs in the seventh inning or later.
When it comes to rich data sets, the U.S. stock market isn’t far behind Major League Baseball. Not only can you obtain historical returns for stocks and bonds going back to 1926, but the data have been parsed into subcategories according to company size and style (that is, value and growth stocks). A lot of these data are freely available online.
Unfortunately for Canadians, homegrown data are more limited: historical returns for the broad market are generally unavailable before the 1950s, and narrower indexes such as those covering large-cap value stocks typically start later than that. Moreover, they may be accessible only to professionals who pay subscription fees to the index providers.
If you’re a DIY investor looking for historical returns on specialized Canadian equity indexes, you’ll need to know your way around a spreadsheet. That’s because several index providers make the raw data available online free, but not the more useful information, such as annual returns.
Probably the best source for these data is MSCI, one of the largest market research firms in the world. The company has created indexes for all major countries, and these are subdivided by size (small, mid and large cap) and style (vale and growth). The indexes are updated daily and the data are downloadable in spreadsheet format from the End of Day Data Country page on the MSCI website.
Alas, the index data aren’t very helpful on their own. For example, if you download the data for the MSCI Canada Large Cap Value Index, you’ll learn that its value was 1,072 on August 31, 2017, and 968 the year before. To calculate the returns, you need to do the math yourself. In this case, the one-year return is 10.74%, which is calculated as (1,072 – 968) / 968.
Hardcore DIY investors may love this stuff, but it’s safe to say most have neither the skill nor the inclination to compile and analyze index data. And that leads to the really important part of your question, Bhaskar. I don’t think any DIY investors need to dig this deeply into narrow segments of the Canadian market—or any market, for that matter.
You mention that more detailed data would help you determine the asset allocation for your portfolio. But I’d suggest not overthinking this decision and instead just sticking to total-market index funds that include large, mid-sized and small companies, as well as value and growth stocks. I don’t think you can expect to improve your portfolio’s long-term performance by adding narrowly focused funds that zero in on segments of the market.
This is especially true in Canada, where the options for specialized index ETFs are less than ideal. Our market is small and poorly diversified, to begin with (it’s dominated by banks and energy stocks), and narrowly focused ETFs often compound this problem. They also inevitably increase your costs.
My suggestion is to simplify your portfolio—and your life—by sticking to traditional index funds.
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