If I want to really backtest a buy and hold strategy I need to have the financial information of all the stocks back then even the ones that no longer exist. Do you know where to find it?
Yeah, it's called broad based market index. The index sponsor has done the work for you. Nobody creates their own buy and hold index. Buy and hold is a benchmark based on a broad based market index. No need to re-create the wheel, especially not when none of the big guys do.
Go to a library and look for old Morning Star or similar resources...that is were I went for research pre-internet. My fear is that those institutions have sold the data off to raise funds and make space. If so an academic or larger library system might have it. Also, try the way back machine for data that was on the internet (company investor relations pages). Just some thoughts.
Congratulations on asking the question. Very few people. understand survivorship bias when making statistical studies. The Perils of “Survivorship Bias” Computational and behavioral scientist Sendhil Mullainathan describes how to avoid a common fault in reasoning By Katy Milkman An aspiring entrepreneur could be forgiven for thinking that dropping out of college to start a company is the key to success. After all, it worked beautifully for Steve Jobs, Bill Gates and Mark Zuckerberg. These business moguls’ well-known stories give the impression that to become a triumph in business, all you need is a big idea in college and the will to quit school to pursue it. The problem is that college dropouts do not usually become billionaires—there are many more budding entrepreneurs who dropped out of college to start companies and failed than those who succeeded. When you focus on the people who left school and made it big and ignore the far larger set of dropouts who never got anywhere, you are succumbing to what is known as “survivorship bias.” Sendhil Mullainathan, a professor of computation and behavioral science at the University of Chicago Booth School of Business, has thought a lot about how to avoid such logical errors. Recently, Katy Milkman, a professor at the Wharton School at the University of Pennsylvania, got to chat with Mullainathan about survivorship bias and the poor decisions it can produce in an interview for the podcast Choiceology. [An edited excerpt of the interview follows. https://www.scientificamerican.com/article/the-perils-of-survivorship-bias/ ]
Buy and hold based 9n fundamentals,no rebalancing and you want to account for survivorship bias??? Portfolio 123 is my best guess
SEC reports are available back to 1994. However, this is not nicely packaged or standardized. Vendors of that data also normalize various figures to ensure that the accounting is treated the same across all of the securities covered. For example, in the tech boom, various operating losses were capitalized to avoid them affecting EPS figures (MCI Worldcom did this I think) but the data needed to be reinterpreted to fix this sort of accounting trick. What you are seeking is an institutional-level product with associated price tag, and my experience is that the quality of such databases is questionable for companies that have significant merger, acquisition and spinoffs that it's practically unusable. The treatment of foreign companies/fx conversion is also another area that was complicated and mostly done wrong. Changes in capital structure also was a significant issue (class A+B going to single class, convertible notes etc.) But you might want to consider Portfolio 123 (which now uses FactSet, used to be S&P Compustat and prior to that was Reuters). I think Reuters/Refinitiv might have an institutional-level product that does this too. Expect to pay tens of thousands of dollars a year for it. I no longer use fundamentals at all in my trading (it gave me no edge) but you might have better luck if you can find accurate data.