Disaggregation of Financial Market Data
Updated: Apr 24, 2019
Swiss Stocks, Bonds, Bills and Inflation Benchmarks for 1925 – 2010
The composition of historical economic and financial data for benchmarking long term investment strategies has a history of more than one decade.
Several studies for the United States, Great Britain, the Eurozone or the Emerging Markets are available. In this paper we focus on the Swiss market and create a public available benchmark index suite for the main asset classes of stocks, bonds, bills and inflation (SBBI) back to the year 1925.
For its creation only publicly available data will be used. To achieve the goal of monthly stock and bond benchmarks a new method for data disaggregation is presented. The basic idea behind this approach is to add the fluctuations from a closely related monthly time series to a time series that is only available on a yearly basis