Dataset: Application of the larger-the-better signal-to-noise ratio model to portfolio optimization

Published: 14 September 2020| Version 1 | DOI: 10.17632/wwjp2jzxmf.1
Contributor:
Vasilisa Makarova

Description

This data includes the monthly closing net asset values of five different US portfolios as samples: the American Funds Bond Fund of America, the PIMCO Total Return Fund, the Vanguard Inflation-Protected Securities Fund, the S&P500 and the Dow Jones Industrial Average indexes. That is, three fixed income portfolios (with low return variances) and two stock portfolios (with high return variances). The data ranges from August 31st, 2015 to July 31st, 2020, which includes some stability periods as well as some abnormal volatility periods, such as the January 2020 – July 2020 period. Some calculations in this data include: monthly returns, average monthly returns, standard deviations, variances and average yearly return. This raw data is required to perform the Mean-Variance and the Larger-the-Better Signal-to-Noise Ratio analysis used in portfolio selection processes.

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Finance

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