Data

1 Course Data Files

The data files below will be used in the course labs and quizzes. Download them on your computer for easy access throughout the course.

File Description
asset_class_returns.xlsx Annual returns and inflation for major asset classes (Damodaran histretSP)
stock_returns_mag7.xlsx Monthly returns for Mag 7 stocks (from adjusted close)
etf_returns.xlsx Monthly returns for the ETF set (from adjusted close)
fama_french_3_factors.xlsx Fama-French 3 factors and risk-free rate (Mkt-RF, SMB, HML, RF)
industry_portfolios_10.xlsx Returns on 10 industry portfolios (Fama-French)
size_portfolios_10_ew.xlsx Equal-weighted size decile portfolio returns (Fama-French)
bm_portfolios_10_ew.xlsx Equal-weighted book-to-market decile portfolio returns (Fama-French)
mom_portfolios_10_ew.xlsx Equal-weighted momentum decile portfolio returns (Fama-French)
wacc.xls Cost of capital by industry (Damodaran)
fundgr.xls Fundamental growth rate in EPS by industry (Damodaran)
histgr.xls Historical growth rate in earnings by industry (Damodaran)
pedata.xls P/E ratios, PEG ratios, and expected growth by industry (Damodaran)
pbvdata.xls Price/book, EV/book, and ROE by industry (Damodaran)
vebitda.xls Enterprise value to EBIT and EBITDA by industry (Damodaran)
accounting_data_msft_comps.xlsx Accounting data and ratios for MSFT and comps

1.1 Usage Notes

  • asset_class_returns.xlsx: Columns include year, sp500, smallcap, tbill, tbond, cbond_baa, real_estate, gold, inflation
  • stock_returns_mag7.xlsx: Monthly data from 2016–2025; columns include Date plus AAPL, AMZN, GOOG, MSFT, META, NVDA, TSLA
  • etf_returns.xlsx: Monthly data from 2000–2025; columns include Date plus BIL, DBC, EEM, GLD, HYG, IEF, IWM, LQD, SPY, TIP, TLT, VEA, VNQ, VTI
  • fama_french_3_factors.xlsx: Columns include Date, Mkt-RF, SMB, HML, RF
  • industry_portfolios_10.xlsx: Columns include Date, NoDur, Durbl, Manuf, Enrgy, HiTec, Telcm, Shops, Hlth, Utils, Other
  • size_portfolios_10_ew.xlsx: Columns include Date and size1–size10
  • bm_portfolios_10_ew.xlsx: Columns include Date and bm1–bm10
  • mom_portfolios_10_ew.xlsx: Columns include Date and mom1–mom10
  • wacc.xls: Industry Averages columns include Industry Name, Number of Firms, Beta, Cost of Equity, E/(D+E), Std Dev in Stock, Cost of Debt, Tax Rate, After-tax Cost of Debt, D/(D+E), Cost of Capital, Cost of Capital (Local Currency)
  • fundgr.xls: Industry Averages columns include Industry Name, Number of Firms, ROE, Retention Ratio, Fundamental Growth
  • histgr.xls: Industry Averages columns include Industry Name, Number of Firms, CAGR in Net Income- Last 5 years, CAGR in Revenues- Last 5 years, Expected Growth in Revenues - Next 2 years, Expected Growth in Revenues - Next 5 years, Expected Growth in EPS - Next 5 years
  • pedata.xls: Industry Averages columns include Industry Name, Number of firms, % of Money Losing firms (Trailing), Current PE, Trailing PE, Forward PE, Aggregate Mkt Cap/ Net Income (all firms), Aggregate Mkt Cap/ Trailing Net Income (only money making firms), Expected growth - next 5 years, PEG Ratio
  • pbvdata.xls: Industry Averages columns include Industry Name, Number of firms, PBV, ROE, EV/ Invested Capital, ROIC
  • vebitda.xls: Industry Averages columns include Industry Name, Number of firms, EV/EBITDAR&D, EV/EBITDA, EV/EBIT, EV/EBIT (1-t)

2 Data sources

  • Datasets marked “Damodaran” are obtained from Prof. Aswath Damodaran’s data library
  • Datasets market “Fama-French” are obtained from Prof. Kenneth French’s data library
  • All other datasets are obtained from Yahoo Finance