Portfolio Performance Metrics by Forecasting Strategy and Feature Representation

Portfolio performance by feature representation and estimation method reports Sharpe ratio, Sortino ratio, certainty equivalent return, maximum drawdown, and turnover for various forecasting strategies. The dataset was authored by Jeonggyu Huh and last updated on 2026-05-15. It is a 9.5 KB Excel file shared under a CC-BY-4.0 license on figshare.

Use Cases

• Comparing the risk-adjusted returns of forecasting strategies based on Sharpe and Sortino ratios.
• Evaluating portfolio turnover and maximum drawdown for different estimation methods.
• Analyzing the impact of a reliability threshold on combined feature set performance.
• Benchmarking certainty equivalent returns across different risk aversion parameters.

Strengths

• Includes multiple established financial performance metrics: Sharpe ratio, Sortino ratio, certainty equivalent return, maximum drawdown, and turnover.
• Dataset is small (9.5 KB), facilitating quick download and inspection.
• Published under a permissive CC-BY-4.0 license for broad reuse.

Limitations

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

Provenance

Source

Jeonggyu Huh via figshare

Freshness

Last updated 2026-05-15 17:56:30; freshness should be verified.