[jcdavis]

Thank You!

Its ridiculous how many of the timing/tactical strategies ignore these factors because of the complexity, even though they introduce massive drag vs buy & hold.

With the amount of data available, we should be able to do these sorts of backtests fairly accurately. At some point I hope I can compile a bunch of open prices/distribution data sets for people to use. You can easily get, for instance, daily close and distributions for VFINX (Vanguard's S&P 500 fund) back to 1980, but its not neatly compiled anywhere. Trickier is classifying distributions (dividend/LCG/SCG), but again all the required data exists (Sadly it means manually trawling through Edgar)

[zhte415]

In case you're unaware, or someone reading this is, have a trawl through the MSCI [1] and FT websites [2] for detailed pricing data.

[1] http://www.msci.com/ [2] http://www.ftse.com/

If you're interested in getting hold of historic tick data you could go to a data provider (for a price) or perhaps more convenient would be to see if you could get access to a Bloomberg terminal.

Academics that research this area, especially questions of policy and market efficiency of both market pricing and funds, can be extremely open about their work, and are often keen to share.