| --- |
| language: |
| - en |
| license: apache-2.0 |
| task_categories: |
| - time-series-forecasting |
| - text-generation |
| tags: |
| - finance |
| - portfolio-management |
| - multi-asset |
| - benchmark |
| - market-data |
| - macroeconomics |
| size_categories: |
| - 10M<n<100M |
| --- |
| |
| [](https://arxiv.org/abs/2605.27887) |
| [](https://github.com/AgenticFinLab/portbench) |
|
|
| # PortBench Market Base Dataset |
|
|
| ## Dataset Description |
|
|
| A ten-year (Jan 2015–Dec 2025) daily financial dataset covering **183 instruments** across six heterogeneous asset classes, designed for multi-asset portfolio management research and LLM evaluation. |
|
|
| ### Asset Coverage |
|
|
| | Asset Class | Instruments | Data Fields | Sources | |
| |-------------|-------------|-------------|---------| |
| | Equities | 126 | OHLCV + return | Yahoo Finance (ETFs: broad market, sector, factor, international) | |
| | Bonds | 16 | Close + return (ETFs); yield levels (FRED) | Yahoo Finance, FRED | |
| | Commodities | 16 | OHLCV + return | Yahoo Finance, Kaggle (spot prices) | |
| | Real Estate | 10 | OHLCV + return (REITs); housing indices (FRED) | Yahoo Finance, FRED | |
| | Cryptocurrency | 12 | OHLCV + return | Yahoo Finance, Kaggle (market cap, supply) | |
| | Cash | 4 | Close + return (money market ETFs); macro indicators (FRED) | Yahoo Finance, FRED | |
|
|
| ### Additional Features |
|
|
| - **Macroeconomic indicators** (FRED): Fed funds rate, CPI, unemployment, GDP, yield curve spreads, breakeven inflation, credit spreads, mortgage rates, VIX, and 40+ additional series |
| - **News text**: monthly aggregated financial news for equities and cryptocurrency (JSON-encoded columns) |
| - **Cross-asset correlation structures**: intra-class and inter-class correlation matrices available as companion artifacts |
|
|
| ### Dataset Structure |
|
|
| Single CSV file with 4,017 rows (trading days) × 1,087 columns. |
|
|
| Column naming convention: `{asset_class}_{ticker}_{field}` |
|
|
| ``` |
| date,equities_ACWI_open,equities_ACWI_high,...,bonds_FRED_DGS10,...,cash_FRED_FEDFUNDS,... |
| 2015-01-02,52.34,52.45,...,2.17,...,0.11,... |
| ... |
| 2025-12-31,... |
| ``` |
|
|
| Fields per instrument (where applicable): `open`, `high`, `low`, `close`, `volume`, `return` |
|
|
| ### Temporal Coverage |
|
|
| - **Full range**: 2015-01-02 to 2025-12-31 |
| - **Frequency**: Daily (trading days) |
| - **Three stress windows highlighted**: 2015 China Shock (Aug 2015–Feb 2016), 2020 COVID Crash (Feb–May 2020), 2022 Crypto Collapse (May–Dec 2022) |
|
|
| ### Intended Use |
|
|
| This dataset serves as the foundation for PortBench's dual-layer evaluation. It supports: |
| - Static QA generation for financial reasoning tasks |
| - Dynamic five-stage pipeline evaluation with realistic market replay |
| - Stress testing under historical crisis regimes |
| - Cross-asset correlation analysis and portfolio optimization research |
|
|
| ### Point-in-Time (PiT) Constraint |
|
|
| All features strictly respect temporal integrity — no look-ahead bias. Any derived feature uses only information available at or before the corresponding date. |
|
|
|
|
