Stress-Window Performance of Diversified Investment Portfolios

A 5.5 KB Excel file contains backtest results for portfolio strategies. The data, authored by Youssef El Khatib and last updated in May 2026, compares a volatility-penalized investment objective against benchmarks like Markowitz and risk-parity. Performance is evaluated across major stress episodes including the Global Financial Crisis, COVID-19, and the 2022 rate shock.

Use Cases

• Comparing realized volatility and maximum drawdowns between different portfolio optimization strategies based on the described backtests.
• Evaluating the robustness of a volatility-penalized investment objective during market stress episodes mentioned in the description.
• Benchmarking new portfolio strategies against established methods like Sharpe-maximizing, equal-weight, and risk-parity approaches referenced in the study.

Strengths

• Dataset is small (5.5 KB), facilitating quick download and inspection.
• Performance is evaluated across specific historical stress periods (GFC, COVID-19, 2022 rate shock).
• Results include statistical significance testing (paired t-test p < 0.01) for key metrics.

Limitations

• Row count is unknown, which may limit suitability assessment.
• Column-level documentation is absent; field semantics must be inferred after download.
• The dataset's scope is limited to the specific backtests and Fama-French equity portfolios described.

Provenance

Source

figshare

Collection Method

Generated from rolling out-of-sample backtests on standard Fama-French equity portfolios.

Time Range

Covers periods including the Global Financial Crisis, COVID-19 pandemic, and 2022 rate shock.

Freshness

Last updated 2026-05-15 17:38:26; freshness should be verified.