File size: 7,072 Bytes
a2ef01f | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 | ---
license: mit
language:
- en
size_categories:
- 1GB < n < 10GB
tags:
- finance
- portfolio-management
- multi-asset
- benchmark
- LLM
- correlation
---
[](https://arxiv.org/abs/2605.27887)
[](https://github.com/AgenticFinLab/portbench)
[](https://portbench.github.io/)
# PortBench-RawData
This repository contains the **raw collected data and preprocessed asset files** for [PortBench](https://github.com/AgenticFinLab/portbench).
The data spans **2015–2025** across **six heterogeneous asset classes**: Equities, Bonds, Commodities, Real Estate, Cryptocurrency, and Cash.
---
## Repository Structure
```
PortBench-RawData/
├── raw_data/ # Raw collected data (~4.6 GB)
│ ├── fred/ # FRED macroeconomic indicators (60 series)
│ │ ├── bonds/ # Yield curve, credit spreads, TIPS
│ │ ├── cash/ # Fed funds rate, CPI, GDP, employment
│ │ ├── commodities/ # Oil, gold, agriculture spot indices
│ │ └── real_estate/ # Case-Shiller, HPI, REIT indices
│ ├── kaggle/ # Kaggle supplementary data (~4 GB)
│ │ ├── commodities/ # Commodity futures and spot prices
│ │ ├── cryptocurrency/ # Crypto OHLCV data
│ │ ├── equities/ # Stock data with news text
│ │ └── real_estate/ # REIT and property data
│ ├── sec/ # SEC EDGAR filings
│ │ └── equities/ # 10-K, 10-Q filings for US equities
│ ├── yahoo/ # Yahoo Finance price data
│ │ ├── bonds/ # Bond ETF prices and yields
│ │ ├── cash/ # Money market and treasury ETF data
│ │ ├── commodities/ # Commodity ETF data
│ │ ├── cryptocurrency/ # Crypto ETF and trust data
│ │ ├── equities/ # 72 tickers (broad-market, sector, factor ETFs)
│ │ └── real_estate/ # REIT ETF data
│ └── metadata.json # Dataset metadata summary
│
└── processed/ # Preprocessed asset data
├── equities.csv # 126 equity tickers, aligned daily
├── bonds.csv # 15 bond series, aligned daily
├── commodities.csv # 16 commodity series, aligned daily
├── real_estate.csv # 10 real estate series, aligned daily
├── cryptocurrency.csv # 12 cryptocurrency series, aligned daily
├── cash.csv # 4 cash equivalent series, aligned daily
├── correlation_matrix.csv # 183×183 Pearson correlation matrix
├── asset_class_map.json # Ticker-to-asset-class mapping
└── time_ranges.json # Per-ticker date coverage ranges
```
---
## Data Sources
| Source | Coverage | Content | Tickers/Series |
|--------|----------|---------|----------------|
| [Yahoo Finance](https://finance.yahoo.com/) | 2015–2025 | Daily OHLCV, adjusted close, volume for ETFs and stocks across all 6 asset classes | 72 tickers |
| [FRED](https://fred.stlouisfed.org/) | 2015–2025 | Macroeconomic indicators: yield curve (DGS1–DGS30), TIPS real yields (DFII5/10/30), breakeven inflation (T5YIE/T10YIE), Fed funds rate (DFF/FEDFUNDS), CPI (CPIAUCSL/CPILFESL), GDP, employment (PAYEMS), housing (CSUSHPINSA), VIX | 60 series |
| [Kaggle](https://www.kaggle.com/) | 2015–2025 | Supplementary cryptocurrency OHLCV, commodity futures, equities with news sentiment, real estate data | ~45 datasets |
| [SEC EDGAR](https://www.sec.gov/edgar/) | 2015–2025 | 10-K and 10-Q filings for US equities, parsed text | Equity filings |
---
## Coverage by Asset Class
| Asset Class | Raw Tickers | Processed | Role in Portfolio |
|-------------|------------|-----------|-------------------|
| **Equities** | 127 | 126 | Return engine; diversified via sector/factor ETFs (SPY, QQQ, XLE, XLF, VXUS, etc.) |
| **Bonds** | 15 | 15 | Fixed-income hedging; Treasury, corporate, high-yield (TLT, IEF, HYG, LQD, etc.) |
| **Commodities** | 16 | 16 | Inflation hedge; gold, oil, natural gas, agriculture (GLD, USO, UNG, DBC, etc.) |
| **Real Estate** | 10 | 10 | Diversification; REIT sector ETFs (VNQ, IYR, SCHH, etc.) |
| **Cryptocurrency** | 12 | 12 | High-risk allocation; major + mid-cap (BTC, ETH, SOL, DOGE, etc.) |
| **Cash** | 4 | 4 | Capital preservation; money market, short-term Treasuries (BIL, SGOV, SHV) |
Cross-asset correlations exhibit the key structural property exploited by PortBench's dual-layer scoring: **intra-class correlations are strongly positive** (0.4–0.6+), while **inter-class correlations are near-zero or negative**, meaning true diversification requires cross-class allocation, not just many tickers within one class.
---
## Preprocessing Details
- **Calendar alignment**: All series aligned to a common business-day calendar; gaps ≤5 days forward-filled; longer gaps retained as NaN for pairwise-complete correlation estimation.
- **Market regime labels**: Each asset class labeled as bull/bear/sideways/crisis using MA crossover (50/200-day) + 15% max-drawdown crisis threshold.
- **Data splits**: Train (2015–2022), Validation (2023–2024), Test (2025), with year-end boundaries.
- **Correlation matrix**: 183×183 Pearson correlation matrix computed from daily simple returns over the full training period using pairwise-complete observations; frozen and not re-estimated.
---
## Related Datasets
This repository contains the raw data foundation. See also:
- [PortBench-Market](https://huggingface.co/datasets/AgenticFinLab/PortBench-Market) — The processed market base dataset (`portbench.csv`) with all six asset classes merged at daily frequency, plus visualization figures.
- [PortBench-QA](https://huggingface.co/datasets/AgenticFinLab/PortBench-QA) — 6,269 question-answer pairs across 7 templates (T1–T7) probing correlation-based financial reasoning, with train/val/test splits.
Both are part of the [PortBench collection](https://huggingface.co/collections/AgenticFinLab/portbench).
---
## Citation
```bibtex
@article{zhao2026portbench,
title={PortBench: A Correlation-Aware, Full-Pipeline Benchmark for LLM-Driven Portfolio Management},
author={Zhao, Yuxuan and Chen, Sijia and Su, Ningxin},
journal={arXiv preprint arXiv:2605.27887},
year={2026}
}
```
---
## License
This dataset is released under the MIT License. Data sourced from Yahoo Finance, FRED, Kaggle, and SEC EDGAR is subject to their respective terms of service.
|