Data for finance and portfolio optimization

We provide a dataset for portfolio optimization and other finance applications. It covers 10 years, from January 2006 to December 2016, and comprises a set of 52 popular exchange traded funds (ETFs) and the US central bank (FED) rate of return (here is the list of assets).

The data consists of three data files, tables of

For convenience we provide scripts in Python, Julia, and Matlab that load data and define

  • an assets array of dimension n

  • a dates array of dimension T

  • a prices matrix of dimension T by n, in dollars

  • a volumes matrix of dimension T by n, in dollars

  • a returns matrix of dimension T by n (non-dimensional).

To run these scripts, download the three data files above, and place them in the same directory as the script.

Asset risk and return

The following plot shows the average return and standard deviation, annualized, for each asset in the dataset.