Data Dictionary

This document maps discussion notebooks to their Excel data dependencies and the build notebooks that generate those data files.

Risk and Return

Discussion Notebook	Excel Files Used	Build File	Data Source
1.1. Risk and Return Metrics.ipynb	risk_etf_data.xlsx	Build Yahoo - Risk Assets.ipynb	Yahoo
1.2. Optimizing Risk and Return.ipynb	risk_etf_data.xlsx	Build Yahoo - Risk Assets.ipynb	Yahoo
1.3. MV of S&P500.ipynb	spx_returns_weekly.xlsx	BuildData BB SPX Complete.ipynb	BB
1.X.2. MV Optimization via Regression.ipynb	risk_etf_data.xlsx	Build Yahoo - Risk Assets.ipynb	Yahoo

Linear Factor Decomposition

Discussion Notebook	Excel Files Used	Build File	Data Source
2.1. Linear Factor Decomposition.ipynb	risk_etf_data.xlsx	Build Yahoo - Risk Assets.ipynb	Yahoo
2.2. LFD for Dimension Reduction.ipynb	sector_etf_data.xlsx spx_returns_weekly.xlsx	Build Yahoo - Sector ETFs.ipynb BuildData BB SPX Complete.ipynb	Yahoo BB

Dynamics

Discussion Notebook	Excel Files Used	Build File	Data Source
3.1. Value-at-Risk.ipynb	risk_etf_data.xlsx	Build Yahoo - Risk Assets.ipynb	Yahoo
3.3. TA Discussion.ipynb	risk_etf_data.xlsx spx_returns_weekly.xlsx	Build Yahoo - Risk Assets.ipynb BuildData BB SPX Complete.ipynb	Yahoo BB
3.X.1. Coherent Risk Measures.ipynb	risk_etf_data.xlsx	Build Yahoo - Risk Assets.ipynb	Yahoo

The CAPM

Discussion Notebook	Excel Files Used	Build File	Data Source
4.3. TA Discussion - CAPM.ipynb	crsp_corp_fin_2013.xlsx	Missing	Missing

Multi-factor Pricing Models

Discussion Notebook	Excel Files Used	Build File	Data Source
5.2. TA Review - Multi-Factor Models.ipynb	crsp_corp_fin_2013.xlsx dfa_analysis_data.xlsx	Missing Build PDR - FamaFrench.ipynb	Missing Missing
5.X.1. Factor Models and Tangency Portfolios.ipynb	factor_pricing_data_{TAG_FREQUENCY}.xlsx	Missing	Missing

Momentum and Misc

Discussion Notebook	Excel Files Used	Build File	Data Source
6.4. TA Review - Momentum.ipynb	momentum_data.xlsx	Build PDR - Momentum Portfolios.ipynb	Missing

Carry and Forecasting

Discussion Notebook	Excel Files Used	Build File	Data Source
8.1. TA Review.ipynb	gmo_analysis_data.xlsx	Missing	Missing

Exams

Discussion Notebook	Excel Files Used	Build File	Data Source
10.1. Open Midterm 1.ipynb	midterm_1_fund_returns.xlsx midterm_1_stock_returns.xlsx	Missing Process Midterm 1.ipynb	Missing Missing
10.2. Solution - Open Midterm 1.ipynb	midterm_1_fund_returns.xlsx midterm_1_stock_returns.xlsx	Missing Process Midterm 1.ipynb	Missing Missing
10.4. Open Midterm 2.ipynb	commodity_factors.xlsx	Process Midterm 2.ipynb	Missing
10.5. Solution - Open Midterm 2.ipynb	commodity_factors.xlsx	Process Midterm 2.ipynb	Missing

Case Studies

Case Study Notebook	Excel Files Used	Build File	Data Source
C.1.0. Harvard’s Endowment.ipynb	multi_asset_etf_data.xlsx	Build Yahoo - Multi-Asset ETFs.ipynb	Yahoo
C.1.2. MV Optimization of the Harvard Endowment.ipynb	multi_asset_etf_data.xlsx	Build Yahoo - Multi-Asset ETFs.ipynb	Yahoo
C.1.3. Constrained Optimization of the Harvard Endowment.ipynb	harvard_tips_exhibits.xlsx	Missing	Missing
C.2.0. ProShares Replication.ipynb	proshares analysis data.xlsx	Missing	Missing
C.2.1. Solution to ProShares Replication.ipynb	proshares analysis data.xlsx proshares_analysis_data.xlsx	Missing Missing	Missing Missing
C.3.0. Barnstable and Long-Run Risk.ipynb	barnstable_analysis_data.xlsx	Missing	Missing
C.3.1. Solution to Barnstable.ipynb	barnstable_analysis_data.xlsx	Missing	Missing
C.4.0. DFA and Factor Investing.ipynb	dfa_analysis_data.xlsx	Build PDR - FamaFrench.ipynb	Missing
C.4.1. Statistics of the DFA Factors.ipynb	dfa_analysis_data.xlsx	Build PDR - FamaFrench.ipynb	Missing
C.5.0. Smart Beta and Factor Investing.ipynb	factor_pricing_data.xlsx	Missing	Missing
C.5.1. Solution to Smart Beta.ipynb	factor_pricing_data.xlsx factor_pricing_data_monthly.xlsx	Missing Missing	Missing Missing
C.6.0. AQR Momentum Strategies.ipynb	momentum_data.xlsx	Build PDR - Momentum Portfolios.ipynb	Missing
C.6.1. Solution to AQR Momentum.ipynb	momentum_data.xlsx	Build PDR - Momentum Portfolios.ipynb	Missing
C.7.0. GMO Forecasting.ipynb	gmo_data.xlsx	Missing	Missing
C.7.1. TA Solutions GMO Forecasting.ipynb	gmo_analysis_data.xlsx gmo_data.xlsx	Missing Missing	Missing Missing
C.7.2. GMO Performance.ipynb	gmo_returns.xlsx gmo_returns_weekly.xlsx	Missing Missing	Missing Missing
C.8.0. LTCM.ipynb	ltcm exhibits data.xlsx spy_data.xlsx	Missing Build Equity Data.ipynb	Missing Missing
C.8.1. TA Solutions LTCM.ipynb	ltcm exhibits data.xlsx ltcm_exhibits_data.xlsx spy_data.xlsx	Missing Missing Build Equity Data.ipynb	Missing Missing Missing

Unused Excel Files in Data Directory

Excel File	Data used by	Data Source
global_index_data.xlsx	No file found	Yahoo
gmo_returns_data.xlsx	No file found	Missing
market_returns_dividend_price_ratio.xlsx	No file found	Missing
spx_data_daily.xlsx	No file found	BB
spy_forecasting_data.xlsx	No file found	Missing

Build Files That Don’t Generate Excel Files

Build File	Data Source	Notes
Build BB - GMO Returns.ipynb	BB	No Excel files generated
Build BB - ProShares Analysis.ipynb	BB	No Excel files generated
Build BB - SPY Forecasting.ipynb	BB	No Excel files generated
Build PDR - Value Portfolios.ipynb	Missing	No Excel files generated
Build WRDS - Barnstable.ipynb	Missing	No Excel files generated

Notes

• Files marked with * in the filename contain date variables that change based on analysis date

• “Missing” in Build File column indicates the Excel file is used but no corresponding build notebook was found

• “Missing” in Data Source column indicates no clear data source tag in the build file name

• Some build files generate data that may be used for research but not in the current discussion/exercise notebooks

• Files marked as missing from data directory may be referenced but not actually present