Portfolio Performance Metrics Net of Transaction Costs

5.5 KB Excel file contains Sharpe ratio, Sortino ratio, certainty equivalent return, maximum drawdown, and turnover metrics for forecasting strategies. All entries are computed after deducting proportional transaction costs of 25 basis points per unit of turnover. The dataset was authored by Jeonggyu Huh and uploaded to figshare in May 2026.

Use Cases

• Comparing the risk-adjusted performance of forecasting strategies based on Sharpe and Sortino ratios.
• Evaluating the impact of a 25 basis point transaction cost on portfolio turnover and returns.
• Analyzing the reliability of forward-looking signals based on out-of-sample R² thresholds mentioned in the description.

Strengths

• Performance metrics are calculated net of a specific transaction cost of 25 basis points per turnover unit.
• Includes multiple standard financial performance metrics: Sharpe ratio, Sortino ratio, CER, MDD, and turnover.

Limitations

• Row count is unknown, which may limit suitability assessment.
• Column-level documentation is absent; field semantics must be inferred after download.
• Description metadata is limited; actual data quality requires manual inspection after download.

Provenance

Source

figshare

Freshness

Last updated 2026-05-15 17:56:31; freshness should be verified.