Here are the eight standard asset classes used in our paper: "Empirical
Characteristics of Dynamic Trading Strategies: The Case of Hedge
Funds" (Review of Financial Studies, 1997, Vol 10, pp. 275-302).
1. US Equities:
MSCI North American Equities [Datastream series
MSUSAM$(RI) ]
2. Non-US Equities:
MSCI non-US Equities [Datastream series MSWXUS$(RI)
]
3. Emerging Market Equities:
IFC Emerging Markets [Datastream series IFCOMP$(RI)
]
4. US Government Bonds:
JPMorgan US Government Bonds [Datastream series
USMGUSRI ]
5. Non-US Government Bonds:
JPMorgan non-US Government Bonds [Datastream series
USMGEXRI ]
6. One-month Eurodollar Deposit Return:
One-month Eurodollar deposit rate of the previous
month [Datastream series ECUSD1M ]
7. Spot Gold:
London morning fixing [Datastream series GOLDBLN(UF)
]
8. US Dollar Index:
Federal Reserive Traded Weighted Index of the US
Dollar against Major Currencies, end of month of the daily series.
Pre 1990 Download site: http://www.federalreserve.gov/releases/h10/Summary/indexn89_b.txt
Post 1990 Download site: http://www.federalreserve.gov/releases/h10/Summary/indexn96_b.txt