Special data series are the market-wide reference series Fincanva keeps alongside instrument prices — interest rates, an inflation series, and broad valuation indicators — used as inputs to a simulation or as comparison series rather than as things a strategy holds. They are not instruments: you cannot buy an inflation rate. Six of them exist today, and each has a defined behavior when a requested date falls outside the data it covers.
Also seen as: reference series, macro series, special symbols
Which special data series does Fincanva keep?
| Series | What it measures | Where it is used |
|---|---|---|
| Risk-free rate | The 3-month US Treasury Bill secondary-market rate, published by FRED as DTB3 | The near-riskless baseline that risk-adjusted metrics subtract — see risk-free rate |
| Margin-loan rate | A short-term reference interest rate — today the same 3-month US Treasury Bill series as the risk-free rate | The base rate that the borrowing markups sit on top of, and the rate idle cash is credited from — see interest-rate markups |
| Inflation | A long-history monthly US inflation series | Inflation-adjusted figures and inflation-based comparisons |
| Shiller PE | The cyclically adjusted price-to-earnings ratio of the US market: price divided by the average of the last ten years of inflation-adjusted earnings | A market-wide valuation reference |
| Buffett Indicator | Total US market capitalisation divided by US GDP | A market-wide valuation reference |
| Buffett Deviation | A proprietary Fincanva variant of the Buffett Indicator | A market-wide valuation reference |
Two of the six are worth a note on how they are produced. The Shiller PE is taken exactly as its public reference series publishes it rather than recomputed, so Fincanva's value matches the widely quoted figure instead of a private recalculation. The Buffett Indicator is computed inside Fincanva as the standard ratio above, from market-capitalisation and GDP data. The Buffett Deviation's construction is proprietary and is not published — only the existence of the series is documented here.
What happens when a date falls outside a series?
A date outside a series' coverage — before its first data point or after its last — falls back to a fixed assumed value rather than failing the run. The rule is the same for the three rate and inflation series; what differs is the value and how it enters your results.
| Series | What stands in outside the series |
|---|---|
| Risk-free rate | A flat 2% a year for each month of the backtest window outside the series, blended into the window's period average — see risk-free rate |
| Margin-loan rate | A fixed assumed rate on each date outside the series. Its value is not published. |
| Inflation | A fixed assumed rate on each month outside the series. Its value is not published. |
The fallback covers dates outside a series, not a missing series. These series are loaded before any backtest runs, and if one of them could not be loaded no backtest would run at all.
You will rarely meet the start-of-series case, because the simulation start year defaults to 2000 and these series reach back decades further. The end-of-series case can occur: when a series ends before your backtest window does — because it is published less often, or later, than prices — the dates past its end use the fallback.
How does Fincanva handle it?
- Six special data series exist today: risk-free rate, margin-loan rate, inflation, Shiller PE, Buffett Indicator, and Buffett Deviation.
- The risk-free rate is a live market series matched to your backtest's own dates, not a constant — see risk-free rate.
- The risk-free fallback is a flat 2% a year; the margin-loan and inflation fallbacks are fixed values that are not published.
- Special data series are references rather than holdings: they are not tradable instruments a strategy buys, so they never appear as a position in a backtest.
- They refresh alongside instrument prices, so a series' last data point moves forward as new data lands — see data freshness and frontier.
What does it look like in practice?
Suppose a backtest window runs 120 months and its first 12 fall before the risk-free series begins. The risk-free rate for that window is then a month-weighted blend: 2% a year for those 12 months and the series' own average for the other 108. If the series averaged 4% over its part, the window's rate is (12 × 2% + 108 × 4%) ÷ 120 = 3.8%, and the Sharpe ratio for that window subtracts 3.8%. Those 12 months are held to a 2% bar whatever short-term rates actually were then, and the longer the window, the smaller the share of it they can move.