An index presented in the book: The Dao of Capital by Mark Spitznagel. A similiar unscaled index can be found here.
All source code is available here.
The MS index is the expected return on invested capital (equity) divided by the invested capitals replacement value (net worth), and can be calculated for the U.S. as follows.
The Z.1 Federal quarterly reports give us the data we need. On table B.103 (Balance Sheet of Nonfinancial Corporate Business) line 40 holds the market value of equities outstanding and line 39 holds the net worth.
These reports only come out each quarter, therefore we want a way to estimate the MS Index in the meantime. We can use the U.S. stock market value (S&P 500 Index) to estimate U.S. corporate equity and the most recent Z1 net worth number to estimate the current U.S. corporate net worth.
The final step requires us to scale the index values by the running geometric mean (P.231 Dao of Capital). To do this, for each nth point
The MS Index data files can be downloaded here
Since FED data starts at 1945, the 1900-45 data can be found here.