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Yale - Valuation Confidence Index

by Patrick Fonce, 3649 days ago
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Download Valuation Confidence Index data starting from October 1989, for institutional and individual investors, from the Yale School of management. The following item creates two symbols (^YALE_VCI_INSTITUTIONAL and ^YALE_VCI_INDIVIDUAL). The first one concerns the Valuation index for institutional investors, while the second concerns the valuation index for individual investors.

I have created a Post-Script code to add one month to the month component of these valuation index time-series. This is because the index value reported is calculated at the end of its corresponding month-year, and thus to avoid look-ahead bias when using these time-series in backtesting, the date month value had to be offset. As an example: The index value for Oct 1989 is 80.58, but in Oct 89, the value of this index was not available because it is calculated only at the beginning of Nov 89.

Along with the Index Value of the valuation confidence index, the standard error of this variable is also downloaded. It is saved in the 'Volume' field of the ^YALE_VCI_INSTITUTIONAL and ^YALE_VCI_INDIVIDUAL symbols.
Example:
In Aug 2009, the valuation confidence index has a value of 79.73 and a standard deviation of 3.3 (Institutional investors).
In Aug 2009, the valuation confidence index has a value of 76.19 and a standard deviation of 3.51 (Individual investors).

The historical data is obtained from the following URL (http://icf.som.yale.edu/Confidence.Index/ValueIndex.shtml).


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Type: Download Script

Object ID: 182


Country:
United States

Market: Economic

Style:
Fundamental Analysis

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